iShares and the US Market Risk Exposure
重新检验了国家iShares对美国市场风险的暴露程度，发现直接暴露比以往研究更弱，多数iShares与其标的指数表现无显著差异，因此对美投资者而言，iShares作为分散化工具并不逊于直接投资外国市场。
Abstract: Previous researchers find that country iShares are directly and strongly exposed to US market risk in addition to home country market risk. This finding contradicts the fact that by design these iShares should behave as their underlying market indices behave. With monthly data and the appropriate orthogonalization choice, we find that direct US market risk exposure is weaker, less significant and less prevalent than previously suggested. Further tests indicate that in fact a strong majority of country iShares do not behave significantly differently from their underlying market indices. Hence, they are not less effective as diversification instruments to US investors than direct investments in the foreign markets as represented by their underlying market indices.