Bhamra, Harjoat S.; Coeurdacier, Nicolas; Guibaud, Stéphane - In: Journal of Economic Theory 154 (2014) C, pp. 490-542
This paper analyzes the determination of global equity portfolios and stock returns in the context of imperfectly integrated stock markets. We consider a continuous-time, two-country endowment economy, where the level of financial integration is captured by a proportional tax on foreign...