The concept of “one world” continues to gain acceptance. Regarding investment decisions, the attraction of foreign assets appears more compelling than ever. This is particularly evident from recent worldwide political and economic developments and from the rapidly expanding options for investing around the globe. Alternatives for international investment include, among other choices, a wide array of foreign government bills, notes and bonds, corporate bonds, common stocks and real estate. Additionally, a U.S. investor has the option of investing in foreign assets through American Depository Receipts (ADR’s) and mutual funds which specialize in international investments. Also available on U.S. stock exchanges, are a proliferating number of closed-end country funds and a limited, but growing number of select foreign corporate stocks. It has even been suggested that an investor could capture a portion of the international investment action by investing in the stocks of U.S. multinational corporations, such as Coca Cola, Merck and others who derive a significant proportion of their revenues and profits from international operations. Since the 196Os, academicians have strongly advocated international investment citing, in particular, the positive diversification gains to be achieved through the transnational allocation of one’s investment funds. Grubel [B] was the first to observe that portfolio risk reduction was possible through foreign diversification. Adler and Dumas [l], Errunza and Senbet [6] and others suggested that such diversification benefits could be indirectly achieved through investing in the equities of Multinational Corporations. It was Solnik [16] who conceptualized this diversification phenomenon as a reduction in national systematic risk. In essence, the argument is that there are limits to the investor’s ability to increase return for a given level of risk or, alternatively, to lower risk for a given level of return if investors restrict their diversification activities to home country assets. Returns on purely domestic investments are dependent, in varying degrees, on the given country’s economy. The economies of different coun-