ASSET PRICING WITH IN‐ AND OUTFLOW CONSTRAINTS: THEORY AND EMPIRICAL EVIDENCE FROM SWEDEN
分析当国内投资者集体持有外国资产有上限、且外国投资者持有国内资产有比例限制时，资产定价和投资组合选择的变化。基于瑞典股市数据，发现国内外投资者都为投资对方国家资产支付溢价，部分现象与CAPM不符。
The paper analyzes asset pricing and portfolio choice when domestic investors collectively cannot hold foreign assets beyond a maximum value. We add the constraint that foreign investors cannot hold more than a fraction of the shares of domestic assets. Consistent with Swedish stock market data, both domestic and foreign investors pay premiums for investing in the other country's assets. Some empirical observations are inconsistent with the CAPM framework.