International Asset Pricing under Mild Segmentation: Theory and Test
理论分析并实证检验了国际资本市场中投资壁垒对定价和投资组合的影响，提出“轻度分割”市场结构导致部分证券存在“超级”风险溢价，并利用包括发展中国家市场在内的数据提供了初步支持。
ABSTRACT This paper conducts a theoretical and empirical investigation of the pricing (and portfolio) implications of investment barriers in the context of international capital markets. The postulated market structure—labelled “mildly segmented”—leads to the existence of “super” risk premiums for a subset of securities and to a breakdown of the standard separation result. The empirical study uses an extended data base including LDC markets and provides tentative support for the mild segmentation hypothesis.