Some Models of the International Capital Market

Détails

ID Serval
serval:BIB_8DFEB2D9AF99
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Some Models of the International Capital Market
Périodique
European Economic Review
Auteur(s)
Dumas  B.
Statut éditorial
Publié
Date de publication
1994
Volume
38
Numéro
3-4
Pages
923-931
Résumé
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.
Mots-clé
Financial equilibrium, Capital asset pricing model, Exchange risk
Création de la notice
19/11/2007 10:39
Dernière modification de la notice
20/08/2019 14:51
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