International Asset Pricing under Mild Segmentation: Theory and Test

International Asset Pricing under Mild Segmentation: Theory and Test 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Finance Wiley

International Asset Pricing under Mild Segmentation: Theory and Test

The Journal of Finance, Volume 40 (1) – Mar 1, 1985

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Publisher
Wiley
Copyright
1985 The American Finance Association
ISSN
0022-1082
eISSN
1540-6261
DOI
10.1111/j.1540-6261.1985.tb04939.x
Publisher site
See Article on Publisher Site

Abstract

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.

Journal

The Journal of FinanceWiley

Published: Mar 1, 1985

References

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