Diversification and Asset Valuation in an International Capital Market
AbstractThis paper analyzes the structure of an international capital market characterized by differing consumption patterns across boundaries and by uncertainty on the exchange rates, the national inflation rates and the commodity and security prices. The crucial assumption is that, independently of their nationality, investors share the same beliefs about the stochastic processes that generate the random variables. Thus the paper is compatible with a divergence, across boundaries, of the relative spot commodity prices but not with differing beliefs about how these relative prices will adjust through time. At the micro-level, the paper indicates the separation properties of portfolio allocation in an international setting. At the macro or valuation level, it expresses the risk-return tradeoff in nominal term and it shows that, in real terms, the standard CAPM still holds. The paper ends up by analyzing the factors that affect the discount rate on a forward exchange contract.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Wharton School Rodney L. White Center for Financial Research in its series Rodney L. White Center for Financial Research Working Papers with number 18-77.
Date of creation:
Date of revision:
Contact details of provider:
Postal: 3254 Steinberg Hall-Dietrich Hall, Philadelphia, PA 19104-6367
Phone: (215) 898-7616
Fax: (215) 573-8084
Web page: http://finance.wharton.upenn.edu/~rlwctr/
More information through EDIRC
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel).
If references are entirely missing, you can add them using this form.