Asset Pricing in Partially Segmented Markets: Evidence from the Finnish Market
研究小国公民只能持有本国证券而外国投资者可持有所有证券的部分分割市场中的资产定价，推导出均衡收益率模型并用芬兰数据检验，结果支持模型假设。
ABSTRACT This paper analyzes asset pricing in a partially segmented market where citizens of a small country are allowed to hold only their domestic securities, whereas the rest of the investors (“foreigners”) are essentially allowed to hold all securities. In this market setting it may occur that the citizens of the small country are willing to pay less for their domestic securities than are the foreign investors. The paper derives equilibrium required rates of return for different investors in this market setting which perfectly occurred in Finland and tests this equilibrium model using data from the Finnish stock market. Empirical results are consistent with the hypotheses derived from the model.