Are the Gains from Foreign Diversification Diminishing? Assessing the Impact with Cross-listed Stocks
---- Acknowledgements -----
We thank Choong Tze Chua, Magnus Dahlquist, Gangadhar Darbha, Bernard Dumas, Vihang Errunza, Bob Hodrick, Andrew Karolyi, Craig MacKinlay, David Ng, Paolo Soderlind, Jessica Wachter, Frank Warnock, Amir Yaron, and participants at the Darden Emerging Markets Conference, Duke University, the International Monetary Fund, the Kansas City Federal Reserve Bank, Singapore Management University, the Society for Financial Econometrics Meetings, the Swedish Institute for Financial Research, and the Wharton Finance and International Finance lunch seminars for useful comments and suggestions. We acknowledge funding from the Wharton-SMU Research Center at Singapore Management University. Of course, any errors are our responsibility. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.