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A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership
6 references·16 citing·45 second hop
A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership (1986)A Model of International Asset Pricing wi…International Asset Pricing under Mild Segmentation: Theory and Test (1985)International Asset Pricing u…International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…On the Effects of Barriers to International Investment (1981)On the Effects of Barriers to…A model of international asset pricing (1981)A model of international asse…International capital market equilibrium with investment barriers (1974)International capital market …An equilibrium model of the international capital market (1974)An equilibrium model of the i…Large Foreign Ownership and Firm-Level Stock Return Volatility in Emerging Markets (2011)Large Foreign Ownership and F…The only game in town: Stock-price consequences of local bias☆ (2008)The only game in town: Stock-…The Euro and European financial market dependence (2007)The Euro and European financi…Time-Varying World Market Integration (2005)Time-Varying World Market Int…The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom (2004)The World of Cross-Listings a…Chapter 16 Are financial assets priced locally or globally? (2003)Chapter 16 Are financial asse…FOREIGN OWNERSHIP RESTRICTIONS AND MARKET SEGMENTATION IN CHINA'S STOCK MARKETS (2001)FOREIGN OWNERSHIP RESTRICTION…Protection of Minority Shareholder Interests, Cross-Listings in the United States, and Subsequent Equity Offerings (2000)Protection of Minority Shareh…Market Segmentation and the Cost of Capital in International Equity Markets (2000)Market Segmentation and the C…Information asymmetry, market segmentation and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares (1998)Information asymmetry, market…Market Segmentation and Stock Prices: Evidence from an Emerging Market (1997)Market Segmentation and Stock…Foreign Equity Investment Restrictions, Capital Flight, and Shareholder Wealth Maximization: Theory and Evidence (1995)Foreign Equity Investment Res…Foreign ownership restrictions and stock prices in the Thai capital market (1994)Foreign ownership restriction…International Investment Restrictions and Closed‐End Country Fund Prices (1990)International Investment Rest…Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets (1989)Capital Controls and Internat…Asset Pricing in Partially Segmented Markets: Evidence from the Finnish Market (1989)Asset Pricing in Partially Se…Bank Runs, Deposit Insurance, and Liquidity (1983)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Common risk factors in the returns on stocks and bonds (1993)Time-varying market integration and expected returns in emerging markets (2005)What Segments Equity Markets? (2009)Do foreigners facilitate information transmission in emerging markets? (2012)Biases in Dynamic Models with Fixed Effects (1981)Panel data and unobservable individual effects (1981)The Long-Run Performance of Global Equity Offerings (2000)Analysis of Panel Data (2003)Multi-market trading and arbitrage☆ (2010)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE 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.] (1975)Capital Market Equilibrium with Restricted Borrowing (1972)The capital asset pricing model: Some empirical tests (1972)Integration vs. Segmentation in the Canadian Stock Market (1986)An Equilibrium Model with Restricted Stock Market Participation (1998)Are Financial Assets Priced Locally or Globally? (2002)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Time‐Varying World Market Integration (1995)Value versus Growth: The International Evidence (1998)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)The cost of capital, corporation finance and the theory of investment (2008)A Note on Uncertainty and Indifference Curves (1969)Size, value, and momentum in international stock returns (2012)… and the Cross-Section of Expected Returns (2015)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Foundations of Finance. (1977)The market reaction to international cross-listings: evidence from Depositary Receipts (1999)Emerging markets finance (2003)What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide (2005)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Are Government Bonds Net Wealth? (1974)Empirical Tests of the Consumption‐Oriented CAPM (1989)The World Price of Foreign Exchange Risk (1995)International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)Money and Capital in Economic Development. (1974)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Investor Psychology and Security Market Under‐ and Overreactions (1998)Stock market liberalization and the information environment (2006)Company reputation and the cost of equity capital (2014)Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World (1992)Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium (1994)
this work references cited by second hop

References

  • 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
  • 1974An equilibrium model of the international capital market1,130 cited
  • 1985International Asset Pricing under Mild Segmentation: Theory and Test1,021 cited
  • 1981A model of international asset pricing807 cited
  • 1981On the Effects of Barriers to International Investment699 cited
  • 1974International capital market equilibrium with investment barriers551 cited

Cited by

  • 1997Market Segmentation and Stock Prices: Evidence from an Emerging Market322 cited
  • 2003Chapter 16 Are financial assets priced locally or globally?321 cited
  • 2000Market Segmentation and the Cost of Capital in International Equity Markets318 cited
  • 1989Asset Pricing in Partially Segmented Markets: Evidence from the Finnish Market273 cited
  • 1994Foreign ownership restrictions and stock prices in the Thai capital market265 cited
  • 2008The only game in town: Stock-price consequences of local bias☆261 cited
  • 1995Foreign Equity Investment Restrictions, Capital Flight, and Shareholder Wealth Maximization: Theory and Evidence254 cited
  • 2005Time-Varying World Market Integration240 cited
  • 2004

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The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom
238 cited
  • 2007The Euro and European financial market dependence233 cited
  • 1998Information asymmetry, market segmentation and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares230 cited
  • 1989Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets212 cited
  • 1990International Investment Restrictions and Closed‐End Country Fund Prices206 cited
  • 2001FOREIGN OWNERSHIP RESTRICTIONS AND MARKET SEGMENTATION IN CHINA'S STOCK MARKETS201 cited
  • 2000Protection of Minority Shareholder Interests, Cross-Listings in the United States, and Subsequent Equity Offerings198 cited
  • 2011Large Foreign Ownership and Firm-Level Stock Return Volatility in Emerging Markets198 cited