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Význam odvetvových a národných efektov v tvorbe diverzifikovaného portfólia cenných papierov

In: Ekonomický časopis/Journal of Economics, vol. 53, no. 4
Tomáš Výrost Číslo ORCID - Mária Farkašovská

Details:

Year, pages: 2005, 399 - 414
Keywords:
diversification, portfolio theory, industry effects, country effects, stock returns JEL Classification: F40, G11, G15
About article:
The paper assesses the importance of industry effects present in stock returns, and compares them to country effects. We follow the assumption that strong industry effects might be present as a result of increasing power of globalization and economic integration, which lower the country-level differences. We find this development to be a contradiction to the theories of previous decades that suggested a dominance of country over the industry effects. As the economies change, we expect the country effect to become less dominant, or even fall behind the industry effects. These ideas are used in an application of portfolio management, in which we compare the risk and return characteristics of portfolios created using different strategies. By forming diversified and concentrated portfolios with industrial and country emphasis we show that industry diversification provides the greatest risk reduction.
How to cite:
ISO 690:
Výrost, T., Farkašovská, M. 2005. Význam odvetvových a národných efektov v tvorbe diverzifikovaného portfólia cenných papierov. In Ekonomický časopis/Journal of Economics, vol. 53, no.4, pp. 399-414. 0013-3035.

APA:
Výrost, T., Farkašovská, M. (2005). Význam odvetvových a národných efektov v tvorbe diverzifikovaného portfólia cenných papierov. Ekonomický časopis/Journal of Economics, 53(4), 399-414. 0013-3035.