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Financial Integration, International Portfolio Choice and the European Monetary Union · Study

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PreprintFinancial Integration, International Portfolio Choice and the European Monetary Union

Roberto A. De Santis2006

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Preprintgreen2006

Financial Integration, International Portfolio Choice and the European Monetary Union

Roberto A. De Santis · Bruno Gérard

97 citations·0/0 files stored·SSRN Electronic Journal

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Global Financial Crisis and Policies Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1996Law and Finance 2001The Geography of Investment: Informed Trading and Asset Prices 2001Familiarity Breeds Investment 2000One money, one market: the effect of common currencies on trade 2004The determinants of cross-border equity flows 1983International Portfolio Choice and Corporation Finance: A Synthesis

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Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations97

Files0 public / 0

ShelfGlobal Financial Crisis and Policies

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doi10.2139/ssrn.891133

openalex_workW1540467702

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2010Time-varying integration, interdependence and contagion 2006Home Bias in Global Bond and Equity Markets: The Role of Real Exchange Rate Volatility 2012Government Bonds and their Investors 2008European Economic and Monetary Integration, and the Optimum Currency Area Theory 2008Measuring Financial Integration in New EU Member States 2011Sovereign Default Risk and Bank Fragility in Financially Integrated Economies 2010What Lies Beneath the Euro's Effect on Financial Integration? Currency Risk, Legal Harmonization, or Trade?2010The Euro as a Reserve Currency for Global Investors