"This paper examines the impact of short-sale constraints on the magnitude of international diversification benefit for U.S. investors during the period of 1976-1998. The diversification benefit is measured as the increase in expected return when switching from the U.S. equity index portfolio to...

A common prediction of macroeconomic models of credit market frictions is that the tightness of financial constraints is countercyclical. As a result, theory implies a negative collateralizability premium; that is, capital that can be used as collateral to relax financial constraints provides...