The Asset Allocation of Emerging Market Mutual Funds

Author/Editor:

Piti Disyatat ; R. G Gelos

Publication Date:

August 1, 2001

Electronic Access:

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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:

English

Publication Date:

August 1, 2001

ISBN/ISSN:

9781451853476/1018-5941

Stock No:

WPIEA1112001

Format:

Paper

Pages:

27

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