International Asset Pricing Under Segmentation and PPP Deviations
Author | : Ines Chaieb |
Publisher | : |
Total Pages | : 49 |
Release | : 2006 |
ISBN-10 | : OCLC:1291218365 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book International Asset Pricing Under Segmentation and PPP Deviations written by Ines Chaieb and published by . This book was released on 2006 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.