
International Portfolio Choice and the Effect of Information Costs
Bellalah, Makram; Bellalah, Mondher (2001), International Portfolio Choice and the Effect of Information Costs. https://basepub.dauphine.fr/handle/123456789/9786
Type
Document de travail / Working paperDate
2001Publisher
Université Paris-Dauphine
Series title
Cahiers de recherche CEREG (DRM)Series number
2001-05Published in
Paris
Pages
21
Metadata
Show full item recordAbstract (EN)
This paper presents a model of international asset pricing in the presence of shadow costs of incomplete information. The model shows that the exchange rate risk is priced in an international setting. The home bias equity is explained by the shadow costs of incomplete information. These costs are defined in the spirit of Merton (1987) model of capital market equilibrium with incomplete information. The model supports the empirical findings in Kang and Stulz (1997) and Dahlquist and Robertsson (2000).Subjects / Keywords
incomplete information; international asset pricingRelated items
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