A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership
构建了一个两国世界中的封闭式估值模型，其中国内投资者最多只能持有外国公司一定比例（δ）的股份。当约束生效时，外国证券市场出现两种价格，分别反映国内投资者的溢价和外国投资者的折价，溢价与折价之比等于两国投资者总体风险厌恶之比。
ABSTRACT This paper derives a closed‐form valuation model in a two‐country world in which the domestic investors are constrained to own at most a fraction, δ , of the number of shares outstanding of the foreign firms. When the “ δ constraint” is binding, two different prices rule in the foreign securities market, reflecting the premium offered by the domestic investors over the price under no constraints and the discount demanded by the foreign investors. The premium is shown to be a multiple of the discount, the multiple being the ratio of the aggregate risk aversion of the domestic and foreign investors. Given the aggregate risk‐aversion parameters, the equilibrium premium and discount are determined by the severity of the δ constraint and the “pure” foreign market risk.