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Richard Roll (1977)
A Critique of the Asset Pricing Theory''s Tests: Part I
Michael Adler, Bruno Solnik (1974)
Session Topic: Capital Asset Pricing Models in an International Context: THE INTERNATIONAL PRICING OF RISK: AN EMPIRICAL INVESTIGATION OF THE WORLD CAPITAL MARKET STRUCTUREJournal of Finance, 29
M. Adler, B. Dumas (1975)
OPTIMAL INTERNATIONAL ACQUISITIONSJournal of Finance, 30
R. Stapleton, M. Subrahmanyam (1977)
MARKET IMPERFECTIONS, CAPITAL MARKET EQUILIBRIUM AND CORPORATION FINANCEJournal of Finance, 32
F. Black (1974)
International capital market equilibrium with investment barriersJournal of Financial Economics, 1
Solnik (May 1974)
The International Pricing of Risk: An Empirical Investigation of the World Capital Market StructureJournal of Finance, 29
F. Milne, Clifford Smith (1980)
Capital Asset Pricing with Proportional Transaction CostsJournal of Financial and Quantitative Analysis, 15
René Stulz (1980)
Essays on international asset pricing.
R. Abrams, U. Karmarkar (1980)
Optimal Multiperiod Investment-Consumption PoliciesEconometrica, 48
ABSTRACT A simple model is presented in which it is costly for domestic investors to hold foreign assets. The implications of the model for the composition of optimal portfolios at home and abroad are derived. It is shown that all foreign assets with a beta larger than some beta β* plot on either one of two security market lines. Some foreign assets with a beta smaller than β* are not held by domestic investors even if their expected return is increased slightly.
The Journal of Finance – Wiley
Published: Sep 1, 1981
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