Investment in Microfinance Equity: Risk, Return, and Diversification Benefits
Amundi Asset Management; Paris Dauphine University; Université Libre de Bruxelles
Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi
January 5, 2013
This paper is the first to draw a global picture of worldwide microfinance equity by taking full advantage of daily quoted prices. We revisit previous findings showing that investors should consider microfinance as a self-standing sector. Our results are threefold: 1) Microfinance has become less risky and more closely correlated with the financial sector, 2) Microfinance shares exhibit higher market betas than those of conventional financial institutions, and have equivalent currency exposure, and 3) Introducing a self-standing microfinance sector presents few diversification benefits. This paper confirms that microfinance has changed dramatically during the last decade.
Number of Pages in PDF File: 42
Keywords: Microfinance, Portfolio Management, Equity, Emerging Markets
JEL Classification: G11, G15, O16, C58, G21
Date posted: March 7, 2011 ; Last revised: January 15, 2013
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