International Arbitrage Pricing Theory with Market Imperfections
将交易成本、信息不对称等市场不完美因素纳入国际套利定价理论，推导出更符合现实的资产定价模型，对研究国际资本市场的学者有参考价值。
A variety of market imperfections prevail in the international capital market. The existence of high transaction costs, information asymmetry, discriminatory taxation, and capital controls hinder the incentive for foreign investment and should not be ignored in international asset pricing models. Due to the inability to observe the true market portfolio, the Capital Asset Pricing Model (CAPM) cannot discriminate between segmentation and integration in the international capital market. This note contributes to the literature by incorporating market imperfections into international Arbitrage Pricing Theory (APT) and derives an international APT with market imperfections.