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Author: | Chaieb, I. Errunza, V. |
Title: | International asset pricing under segmentation and PPP deviations |
Journal: | Journal of Financial Economics
2007 : NOV, VOL. 86:2, p. 543-578 |
Index terms: | asset valuation emerging markets financial risk purchasing power parity segmentation |
Language: | eng |
Abstract: | The study analyzes the impact of both purchasing power parity (PPP) deviations and market segmentation on asset pricing and investor's portfolio holdings. The freely traded securities command a world market risk premium and an inflation risk premium. The securities that can be held by only a subset of investors command two additional premiums: a conditional market risk premium and a segflation risk premium. |
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