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Query: faculty: "FEB" and publication year: "2007"

AuthorsI. Chaieb, V. Errunza
TitleInternational asset pricing under segmentation and PPP deviations
JournalJournal of Financial Economics
Volume86
Year2007
Issue2
Pages543-578
ISSN0304405X
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam Business School Research Institute (ABS-RI)
AbstractWe analyze the impact of both purchasing power parity (PPP) deviations and market segmentation on asset pricing and investor's portfolio holdings. The freely traded securities command a world market risk premium and an inflation risk premium. The securities that can be held by only a subset of investors command two additional premiums: a conditional market risk premium and a segflation risk premium. Our model is empirically supported with important implications for tests of international asset pricing.
Document typeArticle
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