Some Models of the International Capital Market

Details

Serval ID
serval:BIB_8DFEB2D9AF99
Type
Article: article from journal or magazin.
Collection
Publications
Title
Some Models of the International Capital Market
Journal
European Economic Review
Author(s)
Dumas  B.
Publication state
Published
Issued date
1994
Volume
38
Number
3-4
Pages
923-931
Abstract
The original feature of international portfolio theory is that it considers investors of different countries who look at returns differently from each other because of deviations from Purchasing Power Parity. Its purposes are: (i) to explain the different portfolio compositions of investors of different countries, (ii) to explain the structure of expected returns across securities worldwide. I show here that this theory fails on the first count (‘home equity bias’) but may still have some potential on the second count. I also discuss some results of general-equilibrium models of the international economy that incorporate frictions.
Keywords
Financial equilibrium, Capital asset pricing model, Exchange risk
Create date
19/11/2007 10:39
Last modification date
20/08/2019 14:51
Usage data