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Pricing Capital Assets in an International Setting: An Introduction

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  • Ren� M Stultz

    (Ohio State University)

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    Abstract

    This paper shows how differences across countries of 1) inflation rates, 2) consumption baskets of investors, and 3) investment opportunity sets of investors matter when one applies capital asset pricing models in an international setting. In particular, the fact that countries differ is shown to affect the portfolio held by investors, the equilibrium expected returns of risky assets, and the financial policies of firms.© 1984 JIBS. Journal of International Business Studies (1984) 15, 55–73

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    Bibliographic Info

    Article provided by Palgrave Macmillan in its journal Journal of International Business Studies.

    Volume (Year): 15 (1984)
    Issue (Month): 3 (September)
    Pages: 55-73

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    Handle: RePEc:pal:jintbs:v:15:y:1984:i:3:p:55-73

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    Cited by:
    1. Wayne Ferson & Campbell R. Harvey, 1994. "An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns," NBER Chapters, National Bureau of Economic Research, Inc, in: The Internationalization of Equity Markets, pages 59-147 National Bureau of Economic Research, Inc.
    2. Clyman, Dana R., 1997. "International arbitrage pricing theory: Relating risk premia," International Review of Financial Analysis, Elsevier, Elsevier, vol. 6(1), pages 13-20.
    3. Tai, Chu-Sheng, 2004. "Looking for risk premium and contagion in Asia-Pacific foreign exchange markets," International Review of Financial Analysis, Elsevier, Elsevier, vol. 13(4), pages 381-409.
    4. Tai, Chu-Sheng, 2001. "A multivariate GARCH in mean approach to testing uncovered interest parity: evidence from Asia-Pacific foreign exchange markets," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 41(4), pages 441-460.
    5. Chaieb, Ines & Errunza, Vihang, 2007. "International asset pricing under segmentation and PPP deviations," Journal of Financial Economics, Elsevier, Elsevier, vol. 86(2), pages 543-578, November.
    6. Wayne E. Ferson & Campbell R. Harvey, 1996. "Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing," NBER Working Papers 5860, National Bureau of Economic Research, Inc.
    7. Claessens, Stijn, 1993. "Equity portfolio investment in developing countries : a literature survey," Policy Research Working Paper Series 1089, The World Bank.
    8. Carol C. Bertaut, 2008. "Assessing the potential for further foreign demand for U.S. assets: Has financing U.S. current account deficits made foreign investors overweight in U.S. securities?," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 950, Board of Governors of the Federal Reserve System (U.S.).
    9. Bong-Chan, Kho, 1996. "Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 41(2), pages 249-290, June.
    10. Carol C. Bertaut & Linda S. Kole, 2004. "What makes investors over or underweight? explaining international appetites for foreign equities," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 819, Board of Governors of the Federal Reserve System (U.S.).
    11. Walter Dolde & Carmelo Giaccotto & Dev R. Mishra & Thomas O'Brien, 2012. "Should managers estimate cost of equity using a two-factor international CAPM?," Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 38(8), pages 708-728, August.
    12. Tai, Chu-Sheng, 2003. "Can currency risk be a source of risk premium in explaining forward premium puzzle?: Evidence from Asia-Pacific forward exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 13(4), pages 291-311, October.

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