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Super premiums in the Finnish stock market : evidence on international asset pricing

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  • Pekka T. Hietala

    (INSEAD)

Abstract

In this paper we analyze international asset pricing in a market selling where different investors have different investment opportunity sets depending on their nationality. In this kind ofmarket selling different investors may require different required rate of returns on their investments. This occurs, e.g. if the riskless interest rates and the market risk premiums are the same for all investors but investors perceive the undiversifiable risk of a stock differently depending on their investment opportunity sets. In the paper we derive the equilibrium required rate of returns for different investors in this kind of selling which perfectly occurs in Finland and furthermore test several hypotheses of this equilibrium model in the Finnish stock market. Empirical results are consistent with the hypotheses derived from the equilibrium model.

Suggested Citation

  • Pekka T. Hietala, 1988. "Super premiums in the Finnish stock market : evidence on international asset pricing," Finnish Economic Papers, Finnish Economic Association, vol. 1(2), pages 148-171, Autumn.
    • Handle: RePEc:fep:journl:v:1:y:1988:i:2:p:148-171
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    Cited by:

    1. Aarni Pursiainen, 1998. "Relationship between volatility and multilisting : evidence from the Finnish stock market," Finnish Economic Papers, Finnish Economic Association, vol. 11(2), pages 65-85, Autumn.
    2. G. Booth & Mustafa Chowdhury & Teppo Martikainen, 1994. "The effect of foreign ownership restrictions on stock price dynamics," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 130(4), pages 730-746, December.

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