Risk-return puzzle in internationally diversified equity portfolios – the Romanian perspective
Risk-return puzzle in internationally diversified equity portfolios – the Romanian perspective

Summary/Abstract: Our paper highlights the benefits derived from holding internationally diversified portfolios,from the perspective of Romanian investors, by assessing the risk and return levels for threeportfolio structures, constructed with equities from: (1) Romania and emerging countries; (2)Romania and developed countries; (3) Romania and all countries analysed in this study.Moreover, we undertake a comparative analysis between the results obtained for the periodJanuary 2015-February 2018 and the results obtained during the global financial crisis, whenincreased correlations among global financial markets threatened their diversificationpotential. Our findings indicate that for both periods considered, portfolios diversified amongall equity markets outperform the other two portfolio structures analysed. The performanceof portfolios diversified among emerging countries equities is significantly higher than theperformance of portfolios diversified with equities from Romania and the developedcountries considered, during both the crisis and January -February 2018 period, but the resultis reversed when analysing the results for the last six months.

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