We propose an international asset pricing model in a two-country framework where trading in the foreign market encounters barriers to portfolio flows and short-sale constraints. Under ownership restrictions, free assets are priced with a global risk premium whereas the restricted assets command...

We propose an international asset pricing model in a two-country framework where trading in the foreign market encounters barriers to portfolio flows and short-sale constraints. Under ownership restrictions, free assets are priced with a global risk premium whereas the restricted assets command...

Using the framework of the International Capital Asset Pricing Model (ICAPM), we explore two central topics associated with equity foreign exchange (FX) risk premia. First, we estimate FX risk premia for a large cross-section of firms. Second, we study the diversifiability of FX risk. Using...

The paper describes and analyzes the application of the capital asset pricing model (CAPM) and the single-index model on the Zagreb stock exchange during the drop in the total trade turnover, and mostly in the trade of equity securities. This model shows through the analysis techniques used to...

We revisit financial market integration and study the impact of multiple risk factors and model specification on inference. Our tests exploit a method correct in finite sample that jointly assesses coefficient significance and detects identification problems. Results on four countries show that...

Proposal for this study is meant to analyze a capital market phenomenon in the Indonesian Stock Exchange who shows various results. Husnan and Pudjiastuti (1994), and Roida (2004) claim that Indonesia Capital Market tend to be segmented. They both claim that due to weak correlation between stock...

Unconditional asset pricing models have generally found it challenging to identify evidence ofrisk aversion. This paper addresses this challenge by examining whether currency portfolios display an intertemporal risk-return relationship. We consider time-varying relations because investors'...

Output fluctuations in nontraded sectors are a primary country-specific risk factor because nontraded outputs are consumed domestically. While nontraded sector growth risks are mostly non-diversifiable, they can be partially mitigated by international trades in other sectors. The mitigation...

Many recent papers have investigated the role played by volatility in determining the cross-section of currency returns. This paper employs two time-varying factor models: a threshold model and a Markov-switching model to price the excess returns from the currency carry trade. We show that the...