Diversification Benefits of European Small-Cap Stocks after the Global Financial Crisis and Brexit
Abstract
In this article, we investigate the diversification gains obtained from investing in European small-cap stocks, focusing on the periods since the Global Financial Crisis and Brexit. We find mixed evidence to support the assertion that European small-caps provide diversification benefits to a benchmark portfolio of large US stocks. The benefits are also limited when benchmark assets include both a US large-cap portfolio as well as a portfolio of...
Paper Details
Title
Diversification Benefits of European Small-Cap Stocks after the Global Financial Crisis and Brexit
Published Date
Oct 18, 2019
Journal
Volume
29
Issue
1
Pages
95 - 118
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