of segmentation that ultimately determines how much idiosyncratic risk traders bear in their micro market and derive … aggregate asset pricing implications. We pick segmentation parameters to match facts about systematic and idiosyncratic return … volatility. We find that if the same level of segmentation prevails in every market, traders bear 20% of their idiosyncratic risk …

observed negative relation between expected inflation and real interest rates. With moderate amounts of segmentation, the model …

We propose a new, valuation-based measure of world equity market segmentation. While we observe decreased levels of … segmentation in many developing countries, the level of segmentation is still significant. In contrast to previous research, we … characterize the factors that account for variation in market segmentation both through time as well as across countries. While a …