International asset pricing under segmentation and PPP deviations

• 成果类型: Article
• 署名作者: Chaieb, Ines; Errunza, Vihang
• 署名单位: University of Amsterdam; McGill University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2006.06.008
• 发表日期: 2007
• 页码: 543-578
• 关键词: international asset pricing; segmentation; Currency risk; Purchasing power; Emerging markets

摘要

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. (c) 2007 Elsevier B.V. All rights reserved.