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...

A country's net flow of capital consists of simultaneously occurring imports and exports. Because a tax on the income from capital imports affects the quantity of capital exports and vice versa, tax policies toward inbound and outbound capital should be jointly formulated in order to avoid...

Many currencies, especially those of countries with negative net foreign assets, tend to depreciate during times of financial turbulence. Using a panel of 26 currencies over the period 1/1997-6/2016, I show that the composition of net foreign assets matter for the exchange rate sensitivity to...

This paper investigates to what extent low-income developing countries (LIDCs) characterized as frontier markets (FMs) have begun to be subject to capital flows dynamics typically associated with emerging markets (EMs). Using a sample of developing countries covering the period 2000-14, we show...

The weak empirical evidence linking diversification and international equity flows calls into question the diversification paradigm at the international level and the analytical framework it implies. Using a novel measure of diversification that includes all the moments of the distribution of...

The paper develops a model of foreign direct investments (FDI) and foreign portfolio investments (FPI). FDI is characterized by hands-on management style which enables the owner to obtain relatively refined information about the productivity of the firm. This superiority, relative to FPI, comes...

The paper develops a model of foreign direct investments (FDI) and foreign portfolio investments (FPI). FDI is characterized by hands-on management style which enables the owner to obtain relatively refined information about the productivity of the firm. This superiority, relative to FPI, comes...