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
Sparse Modeling Under Grouped Heterogeneity with an Application to Asset Pricing
Lin William Cong,Guanhao Feng,Jingyu He,Junye Li +3 more
TL;DR: Sparse modeling techniques can be unstable and ineffective for economic predictions. This paper introduces a new Bayesian Clustering Model (BCM) that jointly clusters observations and selects variables for panel data with potential grouped heterogeneity. BCM outperforms benchmark common-factor models in asset pricing and investments.
Interests and Limits of Globalisation as an Investment-Creating Process
Sophie Nivoix,Dominique Pépin +1 more
TL;DR: In the last thirty years, national financial systems of both developed and developing countries have experienced a serious wave of deregulation, which led to financial markets being far better integrated today than they were thirty years ago as discussed by the authors.
Why Foreign Investors Trade More Frequently
Kalok Chan,Vicentiu Covrig +1 more
TL;DR: The authors examined the portfolio turnover of mutual funds from 29 countries across the world and for the period 1999 to 2004 and found that turnover in foreign securities is higher in the countries that are less developed, have less investor protection, have lower information disclosure standard, and are less familiar to the fund managers.
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