Unexploited Gains From International Diversification: Patterns Of Portfolio Holdings Around The World
利用不同投资范围的共同基金数据，研究发现基金持有的股票数量出奇地少（约100只），且投资范围越广，来自特定区域的持股越少；通过增持同一基金家族中更专业基金持有的股票，全球投资基金可获得更好的风险调整后收益。
Abstract Using unique data on mutual fund portfolios with different investment scopes, we study the extent of international diversification. Mutual funds invest in a surprisingly limited number of stocks—about 100. The number of holdings from a given region declines as the investment scope broadens. Moreover, unexploited gains exist from international diversification. Funds that invest globally could achieve better risk-adjusted returns by adding stocks held by more specialized funds within the same family. These findings are not driven by different sectoral allocations, lack of information or instruments, transaction costs, or different tail risks. Instead, organizational factors might play an important role.