Al. Turner et Cr. Hensel, WERE THE RETURNS FROM STOCKS AND BONDS OF DIFFERENT COUNTRIES REALLY DIFFERENT IN THE 1980S, Management science, 39(7), 1993, pp. 835-844
Citations number
31
Categorie Soggetti
Management,"Operatione Research & Management Science
We analyzed the total equity returns of indexes from Australia, Canada
, Germany, Japan, the UK, and the US and total fixed income returns of
indexes from all but Australia (excluded due to lack of data) to see
if the returns of stocks and bonds were statistically different across
markets during the 1980s. At the end of 1989, these countries represe
nted over 87% of the market capitalization of the Morgan Stanley Capit
al International (MSCI) World Equity Index and over 88% of the Salomon
Brothers World Bond Index. This study used monthly observations from
January 1980 through December 1989 and examined returns based in local
currency and hedged and unhedged US dollars. We found that sample mea
n stock and bond returns during the 1980s were statistically indisting
uishable across countries. However, because the sample variances were
so large relative to the sample means, it would have been difficult to
detect differences in population means by any test. We found evidence
of variance heterogeneity, which may be explainable by other economic
factors. We also found that intercountry stock and bond correlations
were not significantly different. Thus, we confirmed the results of ot
her researchers, such as Jobson and Korkie (1981), but in a broader gl
obal context using more asset types and different statistical tests. O
ur work suggests reducing the number of input estimates to a MV global
asset allocation problem. For practitioners trying to put MV analysis
to use, these findings could have a significant effect on the practic
e of asset allocation.