The Asset Allocation of Emerging Market Mutual Funds
27 Pages Posted: 20 Sep 2001
Date Written: August 2001
Benchmark following and portfolio rebalancing effects have often been cited when trying to explain international 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.
Keywords: Asset allocation, portfolio choice, contagion, emerging markets
JEL Classification: G11, G15, F21
Suggested Citation: Suggested Citation