Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World

57 Pages Posted: 14 Oct 2016

See all articles by John Cotter

John Cotter

University College Dublin; UCLA Anderson School of Management

Stuart A. Gabriel

University of California, Los Angeles - Anderson School of Management

Richard Roll

California Institute of Technology

Multiple version iconThere are 2 versions of this paper

Date Written: October 2, 2016

Abstract

We present new international diversification indexes across equity, sovereign debt, and real estate. The indexes reveal a marked and near ubiquitous decline in diversification potential across asset classes and markets for the post-2000 period. Analysis of panel data suggests that the decline is related to higher levels of market credit risk and volatility as well asto technology and communications innovation as proxied by internet diffusion. The decline in diversification opportunity is associated with sharply higher levels of investment risk.

Keywords: Asset Return Integration and Diversification, Equities, Fixed Income, Real Estate

JEL Classification: G01, G10, G11, G12, G14, G15

Suggested Citation

Cotter, John and Gabriel, Stuart A. and Roll, Richard W., Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World (October 2, 2016). Available at SSRN: https://ssrn.com/abstract=2852164 or http://dx.doi.org/10.2139/ssrn.2852164

John Cotter

University College Dublin ( email )

School of Business, Carysfort Avenue
Blackrock, Co. Dublin
Ireland
353 1 716 8900 (Phone)
353 1 283 5482 (Fax)

HOME PAGE: http://www.ucd.ie/bankingfinance/staff/professorjohncotter/

UCLA Anderson School of Management ( email )

110 Westwood Plaza
Los Angeles, CA 90095-1481
United States

Stuart A. Gabriel (Contact Author)

University of California, Los Angeles - Anderson School of Management ( email )

110 Westwood Plaza
Los Angeles, CA 90095-1481
United States
310-825-2922 (Phone)
310-206-5455 (Fax)

HOME PAGE: http://www.anderson.ucla.edu

Richard W. Roll

California Institute of Technology ( email )

1200 East California Blvd
Mail Code: 228-77
Pasadena, CA 91125
United States
626-395-3890 (Phone)
310-836-3532 (Fax)

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