Spanning Tests for Replicable Small-Cap Indexes as Separate Asset Classes
检验不同资产组合发现，基准组合的构成决定可复制的七国集团小盘股组合能否扩展有效前沿；仅少数小盘股组合在对比美国股市或国际大盘组合时表现出独立资产类别的特征。
Empirical tests of different asset combinations show that the composition of a benchmark portfolio determines whether a replicable G–7 small-cap portfolio can expand the original efficient frontier. Interaction among all assets in a portfolio is key to the effectiveness of a small-cap index in efficient portfolios, and constraints do not always reduce diversification benefits of the small-cap assets. Only a few small-cap portfolios of G-7 countries appear to behave as separate asset classes with portfolio performance-enhancing characteristics when an investor benchmarks these portfolios against the U.S. equity market or an international large-cap portfolio. <b>TOPICS:</b>Risk management, statistical methods