International asset pricing under segmentation and PPP deviations
| Authors |
|
| Publication date |
2007
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| Journal |
Journal of Financial Economics
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| Volume | Issue number |
86 | 2
|
| Pages (from-to) |
543-578
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| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam Business School Research Institute (ABS-RI)
|
| Abstract |
We 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 type |
Article
|
| Published at |
https://doi.org/10.1016/j.jfineco.2006.06.008
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