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The Asset Allocation of Emerging Market Mutual Funds

Author/Editor: Disyatat, Piti | Gelos, Gaston
Authorized for Distribution: August 1, 2001
Electronic Access: Free Full Text (PDF file size is 772KB)
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.

Summary: Benchmark following and portfolio rebalancing effects have often been cited when trying to explain international financial contagion phenomena. Using a dataset containing the country allocation of individual dedicated emerging market equity funds, we assess the relevance of mean-variance optimization and benchmark following, finding strong evidence for both. We also present a framework to systematically extract useful information about market expectations from funds' holdings.
 
Series: Working Paper No. 01/111
Subject(s): Financial assets | Emerging markets | Stock markets | Investment
Author's keyword(s): asset allocation | portfolio choice | contagion
 
English  
    Published:   August 1, 2001        
    ISBN/ISSN:   1934-7073   Format:   Paper
    Stock No:   WPIEA1112001   Pages:   27
    Price:   US$15.00
       
     
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