Essays on International Asset Pricing Under Segmentation and PPP Deviations
Author | : Ines Chaieb |
Publisher | : |
Total Pages | : 294 |
Release | : 2006 |
ISBN-10 | : OCLC:253795724 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Essays on International Asset Pricing Under Segmentation and PPP Deviations written by Ines Chaieb and published by . This book was released on 2006 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The second essay uses our theoretical model to address the question of whether the IFC investable indices are priced globally or locally. Indeed S&P/IFC provides two emerging market indices: the IFC global index (IFCG) and its subset the IFC investable index (IFCI). Since the IFCI is fully investable, both the academic and practitioners implicitly assume that this subset of emerging markets is priced in the global context. This is a critical assumption for corporate finance decisions and portfolio management. Hence, this essay investigates the pricing behavior of the IFCI index returns using a conditional version of our model that allows for segmentation and PPP deviations. The results suggest that local factors are important in explaining returns of the IFC investable indices and that the return behavior of IFCI indices is similar to that of the IFCG." --