News
17.09.2018
The Ben Graham Centre for Value Investing at the Ivey Business School is proud to announce the 6th Annual MBA Stock Picking Competition made possible by our key sponsors Burgundy Asset Management and Robotti & Company Advisors, as well as Bristol Gate Capital Partners Inc., Foyston, Gordon & Payne Inc., Stacey Muirhead Capital Management and Peters MacGregor Capital Management.
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12.09.2018
The deadline for the 6th Winter MFS Conference is September 14, 2018. Last chance to submit your paper!
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10.09.2018
The deadline for paper submission of the 6th Winter MFS Conference is September 10, 2018. The portal will be open as much as 48 hours after the deadline.
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Forthcoming MFJ Article
09.07.2018



Dynamic Autocorrelation and International Portfolio Allocation

Jyri Kinnunen, Hanken School of Economics, Finland
Minna Martikainen, Hanken School of Economics, Finland

We explore the relevance of dynamic autocorrelation in modeling expected returns and allocating funds between developed and emerging stock markets. Using stock market data for the US and Latin America, we find that autocorrelation in monthly returns vary with conditional volatility, implying some investors implement feedback trading strategies. Dynamic autocorrelation models fit the data considerably better than a conditional version of the zero-beta CAPM, while differences between models with an autoregressive term are modest. Investors can improve their portfolio optimization between developed and emerging stock markets by considering time-varying autocorrelation. The most drastic difference in portfolio performance is not due to allowing autocorrelation to vary over time, but realizing that stock returns are autocorrelated, especially in emerging stock markets.

Keywords: vautocorrelation; volatility; portfolio; international; emerging markets

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