Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
960583 | Journal of Financial Economics | 2007 | 36 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Accounting
Authors
Ines Chaieb, Vihang Errunza,