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ArticleOn the optimality of international capital market integration

Marti G. Subrahmanyam1975

Article1975

On the optimality of international capital market integration

Marti G. Subrahmanyam

75 citations·0/0 files stored·Journal of Financial Economics

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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*1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 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.]1966Equilibrium in a Capital Asset Market 1970International Diversification of Investment Portfolios 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows 1973Studies in the Theory of Capital Markets.1974

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1973IMPERFECTIONS IN INTERNATIONAL FINANCIAL MARKETS: IMPLICATIONS FOR RISK PREMIA AND THE COST OF CAPITAL TO FIRMSarticle · 8 shared references 1981Investor Benefits from Corporate International Diversificationarticle · 7 shared references 1997Foundations of Financial Economicschapter · 7 shared references 1973FRENCH MUTUAL FUND PERFORMANCE: EVALUATION OF INTERNATIONALLY‐DIVERSIFIED PORTFOLIOSarticle · 7 shared references 2003Capital Markets: Theory and Evidencepreprint · 6 shared references 1974Fallacy of the log-normal approximation to optimal portfolio decision-making over many periodsarticle · 6 shared references

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Year1975

Typearticle

Published1975-03-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations75

Files0 public / 0

ShelfGlobal Financial Crisis and Policies

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doi10.1016/0304-405x(75)90021-5

openalex_workW2018795108

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International capital market equilibrium with investment barriers

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2001International Portfolio Investment: Theory, Evidence, and Institutional Framework 1979Investment Performance of U.S.-Based Multinational Corporations 1996An Intertemporal Model of International Capital Market Segmentation 1999Global Diversification, Growth and Welfare with Imperfectly Integrated Markets for Goods 2011Data Snooping and Market-Timing Rule Performance 1983SHAREHOLDER RETURNS TO USA ACQUIRED FIRMS IN FOREIGN AND DOMESTIC ACQUISITIONS 1989Cash and Foreign Exchange Management: Theory and Corporate Practice In Three Countries 2006International Capital Asset Pricing: Evidence from Options