International asset pricing under segmentation and PPP deviations
| Authors |
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| Publication date | 2007 |
| Journal | Journal of Financial Economics |
| Volume | Issue number | 86 | 2 |
| Pages (from-to) | 543-578 |
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| 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
(Final published version)
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