Diversification, Integration and Emerging Market Closed‐End Funds
利用美国与英国交易的新兴市场封闭式基金数据，检验了分散化投资的收益，发现英国国家基金有显著收益而美国基金没有，差异源于投资组合持有而非溢价行为。
ABSTRACT We study a new class of unconditional and conditional mean‐variance spanning tests that exploits the duality between Hansen‐Jagannathan bounds (1991) and mean‐standard deviation frontiers. The tests are shown to be equivalent to standard spanning tests in population, but we document substantial differences in the small sample performance of alternative tests. Our empirical application examines the diversification benefits from emerging equity markets using an extensive new data set on U.S. and U.K.‐traded closed‐end funds. We find significant diversification benefits for the U.K. country funds, but not for the U.S. funds. The difference appears to relate to differences in portfolio holdings rather than to the behavior of premiums in the United States versus the United Kingdom.