An Optimal World Portfolio on the Eve of World War I: Was There a Bias to Investing in the New World Rather Than in Europe?

• 成果类型: Article
• 署名作者: Universite de Lorraine; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute for Humanities & Social Sciences (INSHS); Universites de Strasbourg Etablissements Associes; Universite de Strasbourg; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute for Humanities & Social Sciences (INSHS)
• 刊物名称: JOURNAL OF ECONOMIC HISTORY
• ISSN/ISSBN: 0022-0507
• DOI: 10.1017/S002205071300034X
• 发表日期: 2013
• 页码: 498-530
• 关键词: lessons; MARKETS; assets

摘要

The geographical distributions of French and British foreign investment portfolios differ markedly before World War I. Did French portfolios favor European investments just as British portfolios favored New World assets? Should economic rationality have encouraged investors to invest widely in the New World rather than in Europe? Combining Modern Portfolio Theory and a new data set comprising assets listed on the Paris and London Stock Exchanges, we show that investing in the New World did not yield higher returns than investing in Europe. The European preference of the Paris Bourse and, by extension, of French investors was not inefficient.