That’s Where The Money Was: Foreign Bias and English Investment Abroad, 1866–1907
收集1866至1907年间50多万个月度英美证券回报数据，研究外国资产是否扩展了英国投资者的均值-方差有效前沿，发现外国资产显著扩大了前沿并带来相当于财富大幅增长的效用收益。
Why did Victorian Britain send so much capital abroad? We collect over 500, 000 monthly British and foreign security returns between 1866 and 1907 and investigate the effect of international diversification on Victorian investors' portfolios. This is the first study to use nineteenth-century data that is both broad enough and sampled at a high enough frequency to examine if foreign assets expanded the mean-variance efficient frontier of British investors and how valuable this expansion was in terms of utility. We find that foreign assets significantly expanded the mean-variance frontier and resulted in utility gains equivalent to large increases in wealth. Copyright © The Author(s). Journal compilation © Royal Economic Society 2010.