Journal Article10.1111/J.1540-6261.1985.TB04939.X
International Asset Pricing under Mild Segmentation: Theory and Test
Vihang R. Errunza,Etienne Losq +1 more
1.1K
TL;DR: In this article, the authors conduct a theoretical and empirical investigation of the pricing and portfolio implications of investment barriers in the context of international capital markets and provide tentative support for the mild segmentation hypothesis.
read more
Abstract: This paper conducts a theoretical and empirical investigation of the pricing (and portfolio) implications of investment barriers in the context of international capital markets. The postulated market structure-labelled "mildly segmented"-leads to the existence of "super" risk premiums for a subset of securities and to a breakdown of the standard separation result. The empirical study uses an extended data base including LDC markets and provides tentative support for the mild segmentation hypothesis. THE QUESTION AS TO whether the international capital market is integrated or segmented appears particularly elusive. Indeed, the difficulties surrounding this important issue abound, as was made vividly clear by Solnik [20]. At the risk of tackling too ambitious a task, we undertake here to build a model and develop an empirical methodology to provide at least a partial answer to the
read more
Chat with Paper
AI Agents for this Paper
Find similar papers on Google Scholar, PubMed and Arxiv
Write a critical review of this paper
Analyze citations of this paper to find unaddressed research gaps
Citations
Cross-Listings and the Dynamics between Credit and Equity Returns
TL;DR: Karolyi et al. as discussed by the authors studied how listing in multiple markets affects the dynamics between firms' credit default swap (CDS) and stock returns and found that cross-listing increases the sensitivity of CDS to stock returns.
11
Foreign Project Financing in Segmented Capital Markets: Equity versus Debt
TL;DR: In this paper, the authors arrive at an optimal international capital structure comprised of country A equity and country B debt in segmented international capital markets and show that risky foreign debt can enhance shareholder wealth beyond that of default-free debt.
11
Pricing of the currency risk in the Canadian equity market
TL;DR: In this paper, the authors examined whether the world market, the local market and the currency risks are priced in the Canadian equity market based on data collected from 2003 to 2010, and the empirical results presented in this paper are based on the quasi maximum likelihood estimation (QMLE) based multivariate GARCH-in-Mean specification and the generalized method of moments (GMM) techniques.
11
An Experimental Investigation of Asset Pricing in Segmented Markets
TL;DR: In this article, the authors report the results of experimental asset markets in which participants trade two assets with distinct dividend claims, where some traders are able to transact in the markets for both assets, whereas others can trade in only one market.
11
Foreign portfolio capital flows and stock returns : a study of Brazilian listed firms
Tiago Loncan,João Frois Caldeira +1 more
TL;DR: In this paper, the authors analyzed the effect of foreign portfolio capital flows on stock returns of Brazilian listed firms through a 6-factors APT model, in which an additional risk factor was included.
References
A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory
TL;DR: In this paper, a mathematical equivalence between the individual return/beta linearity relation and the market portfolio's mean-variance efficiency is discussed, which implies that every individual asset must be included in a correct test.
3.4K
A model of international asset pricing
TL;DR: In this article, an intertemporal model of international asset pricing is constructed which admits differences in consumption opportunity sets across countries, and it is shown that the real expected excess return on a risky asset is proportional to the covariance of the return of that asset with changes in the world real consumption rate.
935
On the Effects of Barriers to International Investment
TL;DR: In this article, a simple model is presented in which it is costly for domestic investors to hold foreign assets and the implications of the model for the composition of optimal portfolios at home and abroad are derived.
794
The Effects of International Operations on the Market Value of the Firm: Theory and Evidence
TL;DR: In this article, the authors investigate the existence of monopoly rents associated with international operations in a market-value theoretic framework and find that the benefits of international operations evolve from such factors as (1) imperfections in the product and factor markets, (2) differential international taxation, and (3) imperfection in the financial markets.
409