Capital Flow Controls, International Asset Pricing, and Investors' Welfare: A Multi-Country Framework
研究资本流动限制如何影响证券定价、不同国籍投资者的最优投资组合及其福利，发现消除投资壁垒通常提升受影响证券的总市值，且所有投资者都支持市场一体化。
This paper investigates the impact of capital flow restrictions on the pricing of securities, on the optimal portfolio composition for investors of different nationalities, and on their welfare. Under capital flow controls, the equilibrium price of a security is determined jointly by its international and national risk premiums, and investors acquire nationality-specific portfolios along with a market-wide proxy for the world market portfolio. Removal of investment barriers generally leads to an increase in the aggregate market value of the affected securities, and all investors favor a move toward market integration. Introduction of different types of index funds in the world market generally increases world market integration and investor welfare.