Essays On International Asset Pricing Under Segmentation And Ppp Deviations
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Essays On International Asset Pricing Under Segmentation And Ppp Deviations
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Author : Ines Chaieb
language : en
Publisher:
Release Date : 2006
Essays On International Asset Pricing Under Segmentation And Ppp Deviations written by Ines Chaieb and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Capital assets pricing model categories.
"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." --
International Asset Pricing Under Segmentation And Ppp Deviations
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Author : Ines Chaieb
language : en
Publisher:
Release Date : 2006
International Asset Pricing Under Segmentation And Ppp Deviations written by Ines Chaieb and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
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.
Essays On International Asset Pricing In Partially Segmented Markets
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Author : Sundaram Janakiramanan
language : en
Publisher:
Release Date : 1986
Essays On International Asset Pricing In Partially Segmented Markets written by Sundaram Janakiramanan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with categories.
Three Essays On International Asset Pricing
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Author : Chu-Sheng Tai
language : en
Publisher:
Release Date : 1999
Three Essays On International Asset Pricing written by Chu-Sheng Tai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
Abstract: Two dimensions that complicate finance in an international setting are market segmentation and foreign exchange risk. With the increasing globalization of financial markets, these two effects require that many issues such as investment analysis, risk management, asset pricing and capital budgeting confronting financial professionals have to rethink in an international context. My dissertation consists of three essays that intend to address the following questions: "Can time-varying risk premia explain the deviations from Uncovered Interest Parity (UIP)?", "Is foreign exchange risk priced in international financial markets?", and "Are emerging financial markets integrated with world markets?"
Dissertation Abstracts International
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Author :
language : en
Publisher:
Release Date : 2007
Dissertation Abstracts International written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Dissertations, Academic categories.
Currency Risk And The Corporation
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Author : Boris Antl
language : en
Publisher:
Release Date : 1980
Currency Risk And The Corporation written by Boris Antl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1980 with Business & Economics categories.
Three Essays In International Macroeconomics And Finance
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Author : Enrique Martinez-Garcia
language : en
Publisher:
Release Date : 2007
Three Essays In International Macroeconomics And Finance written by Enrique Martinez-Garcia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Exchange Rate Economics
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Author : Ronald MacDonald
language : en
Publisher: Routledge
Release Date : 2005
Exchange Rate Economics written by Ronald MacDonald and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Foreign exchange categories.
''In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.'' ""Journal of International Economics""
The Integration Of World Capital Markets
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Author : Mr.Michael Mussa
language : en
Publisher: International Monetary Fund
Release Date : 1993-12-01
The Integration Of World Capital Markets written by Mr.Michael Mussa and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993-12-01 with Business & Economics categories.
This paper discusses the extent to which national capital markets have become linked, and identifies several of the more important consequences of that increased degree of integration. Alternative approaches to the measurement of capital market integration are reviewed, including deviations from the law of one price, differences between actual and optimally diversified portfolios, correlations between domestic investment and domestic saving, and cross-country links in consumption behavior. Two recent episodes of large-scale international capital flows—namely, the turmoil in the European Monetary System in the fall of 1992, and the surge of capital inflows into Latin America during the last three years—are examined for insights into the workings of today’s global capital market. Finally, the paper offers some concluding remarks on the future development of international capital markets, on exchange rate management, on alternative approaches to living with larger and more influential financial markets, and on the financing of investment in the formerly centrally planned economies.
Handbook Of International Economics
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Author : Peter Bain Kenen
language : en
Publisher:
Release Date : 1990
Handbook Of International Economics written by Peter Bain Kenen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with International economic relations categories.
