International Asset Pricing Under Segmentation And Ppp Deviations PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download International Asset Pricing Under Segmentation And Ppp Deviations PDF full book. Access full book title International Asset Pricing Under Segmentation And Ppp Deviations.
Author | : Ines Chaieb |
Publisher | : |
Total Pages | : 49 |
Release | : 2006 |
Genre | : |
ISBN | : |
Download International Asset Pricing Under Segmentation and PPP Deviations Book in PDF, ePub and Kindle
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.
Author | : Ines Chaieb |
Publisher | : |
Total Pages | : 294 |
Release | : 2006 |
Genre | : Capital assets pricing model |
ISBN | : |
Download Essays on International Asset Pricing Under Segmentation and PPP Deviations Book in PDF, ePub and Kindle
"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." --
Author | : Cesare Robotti |
Publisher | : |
Total Pages | : 52 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download The Price of Inflation and Foreign Exchange Risk in International Equity Markets Book in PDF, ePub and Kindle
In this paper the author formulates and tests an international intertemporal capital asset pricing model in the presence of deviations from purchasing power parity (II-CAPM[PPP]). He finds evidence in favor of at least mild segmentation of international equity markets in which only global market risk appears to be priced. When using the Hansen amp; Jagannathan (1991, 1997) variance bounds and distance measures as testing devices, the author finds that, while all international asset pricing models are formally rejected by the data, their pricing implications are substantially different. The superior performance of the II-CAPM (PPP) is mainly attributable to significant hedging against inflation risk.
Author | : Riad Nourallah |
Publisher | : Sudwestdeutscher Verlag Fur Hochschulschriften AG |
Total Pages | : 252 |
Release | : 2011 |
Genre | : |
ISBN | : 9783838129693 |
Download Taxation and International Capital Asset Pricing Theory Book in PDF, ePub and Kindle
Adler and Dumas (1983) laid the foundation for pricing international assets under deviation from Relative Purchasing Power Parity (PPP). Only Lally (1996) regards the spectrum of international taxation but in his model - he disregards the tremendous impact of exchange gains taxation in International Capital Asset Pricing Theory (IntCAPT). This dissertation develops a theory of taxation in pricing international assets. The new result is that the integration of exchange gains taxation into the Tax - IntCAPM leads to an international pricing relationship composed of the risky asset's excess return and its world risk premium, which is adapted by exchange gains tax factors. The non-linear deterministic behavior of exchange rates and the determination of inflation by monetary policy lead to the integration of the market equilibrium exchange and inflation rate into the Tax - IntCAPM.
Author | : Sundaram Janakiramanan |
Publisher | : |
Total Pages | : 356 |
Release | : 1986 |
Genre | : |
ISBN | : |
Download Essays on International Asset Pricing in Partially Segmented Markets Book in PDF, ePub and Kindle
Author | : Maria Vassalou |
Publisher | : |
Total Pages | : 60 |
Release | : 1995 |
Genre | : Capital assets pricing model |
ISBN | : |
Download Tests of Alternative International Asset Pricing Models Book in PDF, ePub and Kindle
Author | : H. Kent Baker |
Publisher | : Oxford University Press |
Total Pages | : 701 |
Release | : 2013-01-17 |
Genre | : Business & Economics |
ISBN | : 0199754659 |
Download International Finance Book in PDF, ePub and Kindle
Understanding the current state of affairs and tools available in the study of international finance is increasingly important as few areas in finance can be divorced completely from international issues. International Finance reflects the new diversity of interest in international finance by bringing together a set of chapters that summarizes and synthesizes developments to date in the many and varied areas that are now viewed as having international content. The book attempts to differentiate between what is known, what is believed, and what is still being debated about international finance. The survey nature of this book involves tradeoffs that inevitably had to be made in the process given the vast footprint that constitutes international finance. No single book can cover everything. This book, however, tries to maintain a balance between the micro and macro aspects of international finance. Although each chapter is self-contained, the chapters form a logical whole that follows a logical sequence. The book is organized into five broad categories of interest: (1) exchange rates and risk management, (2) international financial markets and institutions, (3) international investing, (4) international financial management, and (5) special topics. The chapters cover market integration, financial crisis, and the links between financial markets and development in some detail as they relate to these areas. In each instance, the contributors to this book discuss developments in the field to date and explain the importance of each area to finance as a field of study. Consequently, the strategic focus of the book is both broad and narrow, depending on the reader's needs. The entire book provides a broad picture of the current state of international finance, but a reader with more focused interests will find individual chapters illuminating on specific topics.
Author | : Michael Beenstock |
Publisher | : |
Total Pages | : 18 |
Release | : 1982 |
Genre | : Foreign exchange |
ISBN | : |
Download Purchasing Power Parity and Exchange Rate Risk in a Model of International Asset Pricing Book in PDF, ePub and Kindle
Author | : Jaeyoung Sung |
Publisher | : |
Total Pages | : 40 |
Release | : 2008 |
Genre | : |
ISBN | : |
Download Jump-Diffusion International Asset Pricing with Nontraded Consumption Goods Book in PDF, ePub and Kindle
We present a jump-diffusion international asset pricing model with stochastic exchange rates and inflation rates when investors consume both traded and nontraded goods. We argue that in general, the Adler-Dumas inflation rate differential may not fully capture PPP deviation risks, unless all volatilities, drift rates and jumps rates of PPP deviations/excchange rates are constant. The structure of optimal portfolios for investors from different countries reveals that country-specific demand for risky assets can arise from two sources of risks: PPP-deviation risks and nontraded-good-specific inflation-rate-differential risks. Consequently, equilibrium asset returns can be expressed in a multi-beta linear asset pricing model with a number of benchmark portfolios including hedge portfolios for PPP deviation risks and nontraded-good-specific inflation rate risks. The optimal portfolio structure further reveals that even if jump risks were added to otherwise pure diffusion assets in a no-jump world, investors' existing optimal portfolios of risky assets wouldn't change. We also note that risk premia on PPP deviation risks can be positive, zero, or even negative, that in the presence of inflation risks, hedging against exchange rate risks in isolation can sometimes make the investor's real wealth riskier than no hedging at all, and that a global investor optimally increases his consumption in both traded and nontraded goods as the price of the traded good of his own country increases.
Author | : Abraham Lioui |
Publisher | : |
Total Pages | : |
Release | : 2010 |
Genre | : |
ISBN | : |
Download International Asset Allocation Book in PDF, ePub and Kindle
A systematic empirical finding is that foreign exchange risk is priced in international markets. The theoretical foundation for virtually all empirical models is the seminal contribution by Adler and Dumas [1983]. In that paper, the authors show that, in an international economy in which the purchasing power parity (PPP) does not hold, the intertemporal market equilibrium will lead to a risk premium associated with currency risk. They obtain this result by using Merton's well-known result in intertemporal portfolio choice that at the optimum economic agents hedge against the fluctuations of each and every state variable driving the economy. Consequently, these hedging components lead to asset prices that in equilibrium include a risk premium for each and every state variable. Assuming a priori that one state variable is (related to) currency risk then leads to a currency risk premium. In contrast to this approach, we propose a new analysis of a representative investor's optimal strategy that leads to optimal currency risk hedging in a natural and general way without quot;ad hocquot; assumptions. In our international economy, PPP is violated and financial asset real returns and real exchange rates follow general diffusion processes driven by K state variables. The optimal portfolio of an expected utility maximizer is shown to contain, in addition to the usual speculative component, only two hedging components, irrespective of the magnitude of K. The first one hedges domestic interest rate risk. The second one hedges the risk associated with the co-variation of the interest rates and the international market prices of risk, depends on interest rate differentials across countries and/or real exchange rates variability, and therefore encompasses hedging against PPP deviations. Thus our decomposition gives sound foundations as to why currency risk is hedged at the optimum and priced in market equilibrium.