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ASSET PRICING WITH IN‐ AND OUTFLOW CONSTRAINTS: THEORY AND EMPIRICAL EVIDENCE FROM SWEDEN
12 references·1 citing·44 second hop
ASSET PRICING WITH IN‐ AND OUTFLOW CONSTRAINTS: THEORY AND EMPIRICAL EVIDENCE FROM SWEDEN (1993)ASSET PRICING WITH IN‐ AND OUTFLOW CONSTR…Capital Flow Controls, International Asset Pricing, and Investors' Welfare: A Multi-Country Framework (1989)Capital Flow Controls, Intern…Asset Pricing in Partially Segmented Markets: Evidence from the Finnish Market (1989)Asset Pricing in Partially Se…Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection (1988)Exchange Rate Uncertainty, Fo…A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership (1986)A Model of International Asse…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…Market Imperfections, Capital Market Equilibrium and Corporation Finance (1977)Market Imperfections, Capital…MARKET IMPERFECTIONS, CAPITAL MARKET EQUILIBRIUM AND CORPORATION FINANCE (1977)MARKET IMPERFECTIONS, CAPITAL…International capital market equilibrium with investment barriers (1974)International capital market …Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…A rolling test of granger causality between the Finnish and Japanese security markets (1997)A rolling test of granger cau…TAXES, MARKET VALUATION AND CORPORATE FINANCIAL POLICY (1970)The effects of dividend yield and dividend policy on common stock prices and returns (1974)Multimarket trading and liquidity: a transaction data analysis of Canada–US interlistings (1998)The Long-Run Performance of Global Equity Offerings (2000)The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom (2004)An equilibrium model of the international capital market (1974)Market Segmentation and Stock Prices: Evidence from an Emerging Market (1997)Market Segmentation and the Cost of Capital in International Equity Markets (2000)Chapter 16 Are financial assets priced locally or globally? (2003)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)Foreign ownership restrictions and stock prices in the Thai capital market (1994)Information asymmetry, market segmentation and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares (1998)The only game in town: Stock-price consequences of local bias☆ (2008)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)The Behavior of Stock-Market Prices (1965)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)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)International Diversification of Investment Portfolios (1970)An Analytic Derivation of the Efficient Portfolio Frontier (1972)The sensitivity of bank stock returns to market, interest and exchange rate risks (1992)Currency Hedging for International Portfolios (1993)Systematic Risk of the Multinational Corporation (1998)Optimal Hedging Policies (1984)Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium (1994)Empirical Tests of the Consumption‐Oriented CAPM (1989)Idiosyncratic Volatility and the Cross Section of Expected Returns (2008)Taming the Factor Zoo: A Test of New Factors (2020)
this work references cited by second hop

References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
  • 1985International Asset Pricing under Mild Segmentation: Theory and Test1,021 cited
  • 1973Studies in the Theory of Capital Markets.737 cited
  • 1981On the Effects of Barriers to International Investment699 cited
  • 1974International capital market equilibrium with investment barriers551 cited
  • 1988Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection360 cited
  • 1986A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership349 cited
  • 1989Asset Pricing in Partially Segmented Markets: Evidence from the Finnish Market273 cited
  • 1977MARKET IMPERFECTIONS, CAPITAL MARKET EQUILIBRIUM AND CORPORATION FINANCE239 cited
  • 1977Market Imperfections, Capital Market Equilibrium and Corporation Finance199 cited
  • 1989Capital Flow Controls, International Asset Pricing, and Investors' Welfare: A Multi-Country Framework157 cited

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  • 1997A rolling test of granger causality between the Finnish and Japanese security markets16 cited

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