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Asset Pricing With In‐ And Outflow Constraints: Theory And Empirical Evidence From Sweden

Author

Listed:
  • Clas Bergström
  • Kristian Rydqvist
  • Peter Sellin

Abstract

The paper analyzes asset pricing and portfolio choice when domestic investors collectively cannot hold foreign assets beyond a maximum value. We add the constraint that foreign investors cannot hold more than a fraction of the shares of domestic assets. Consistent with Swedish stock market data, both domestic and foreign investors pay premiums for investing in the other country's assets. Some empirical observations are inconsistent with the CAPM framework.

Suggested Citation

  • Clas Bergström & Kristian Rydqvist & Peter Sellin, 1993. "Asset Pricing With In‐ And Outflow Constraints: Theory And Empirical Evidence From Sweden," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 20(6), pages 865-879, November.
    • Handle: RePEc:bla:jbfnac:v:20:y:1993:i:6:p:865-879
    DOI: 10.1111/j.1468-5957.1993.tb00298.x
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    References listed on IDEAS

    as
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    3. Gordon, Roger H. & Varian, Hal R., 1989. "Taxation of asset income in the presence of a world securities market," Journal of International Economics, Elsevier, vol. 26(3-4), pages 205-226, May.
    4. Pekka T. Hietala, 1989. "Asset Pricing in Partially Segmented Markets: Evidence from the Finnish Market," Journal of Finance, American Finance Association, vol. 44(3), pages 697-718, July.
    5. Errunza, Vihang & Losq, Etienne, 1985. "International Asset Pricing under Mild Segmentation: Theory and Test," Journal of Finance, American Finance Association, vol. 40(1), pages 105-124, March.
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