International Portfolio Choice and Asset Pricing: An Integrative Survey / Rene M. Stulz.

Format:

Book

Author/Creator:

Stulz, Rene M.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w4645.

NBER working paper series no. w4645

Language:

English

Subjects (All):

Capital assets pricing model.

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

International Portfolio Choice and Asset Pricing

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1994.

Cambridge, Massachusetts : National Bureau of Economic Research, 1994.

Summary:

In general, theories of portfolio choice and asset pricing let investors differ at most with respect to their preferences, their wealth and, possibly, their information sets. If there are multiple countries, however, the investment and consumption opportunity sets of investors depend on their country of residence. International portfolio choice and asset pricing theories attempt to understand how the existence of country-specific investment and consumption opportunity sets affect the portfolios held by investors and the expected returns of assets. In this paper, we review these theories within a common framework, discuss how they fare in empirical tests, and assess their relevance for the field of international finance.

Notes:

Print version record

February 1994.