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? - LET - Laboratoire d'Economie des Transports Accéder directement au contenu
Article Dans Une Revue Journal of Economic History Année : 2013

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?

Résumé

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.
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halshs-01077390 , version 1 (24-10-2014)

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Cécile Edlinger, Maxime Merli, Antoine Parent. 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?. Journal of Economic History, 2013, 73 (02), pp.498-530. ⟨10.1017/S002205071300034X⟩. ⟨halshs-01077390⟩
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