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
Further Evidence on Closed‐End Country Fund Prices and International Capital Flows*
TL;DR: In this paper, the authors used cointegration analysis to establish a long run relationship between country fund premiums and international capital flows in six out of 10 emerging markets and in two out of seven developed markets examined.
9
The China-U.S. Equity Valuation Gap
TL;DR: This article examined the dynamics and sources of valuation differentials between comparable Chinese and U.S. firms using data from 1995 to 2018, and found that financial openness and changing growth expectations are the most important contributors.
9
Financial Crises and the Global Value Premium: Revisiting Fama and French
TL;DR: In this paper, the authors examined the impact of financial contagion resulting from global financial crises based on analyses of the global value premium as represented by thirteen countries and proposed a new model that is a composite of the asymmetric GARCH model and the Fama-French two factor model.
9
•Posted Content
The Effect of Implicit Market Barriers on Stock Trading and Liquidity
TL;DR: In this paper, the authors compare the performance of Islamic and conventional stock returns in Saudi Arabia in order to determine whether the Saudi market exhibits characteristics that are consistent with segmented markets and investor recognition effects.
9
The relaxation of foreign ownership limits and market integration: the case of Thailand
TL;DR: In this paper, the authors show that the Thai banking industry was segmented before the 1997 financial crisis, but when the foreign ownership limits were removed, the banking industry integrated, and that the price premium is both a measure and evidence of market segmentation.
9
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