The Asset Allocation of Emerging Market Mutual Funds
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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. 2001/111
Subject:
Asset allocation Asset and liability management Emerging and frontier financial markets Financial institutions Financial markets Market capitalization Mutual funds
English
Publication Date:
August 1, 2001
ISBN/ISSN:
9781451853476/1018-5941
Stock No:
WPIEA1112001
Pages:
27
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