Thumbnail

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

Voir/Ouvrir
Type
Document de travail / Working paper
Date
2001
Éditeur
Université Paris-Dauphine
Titre de la collection
Cahiers de recherche CEREG (DRM)
Numéro dans la collection
2001-05
Ville d’édition
Paris
Pages
21
Métadonnées
Afficher la notice complète
Auteur(s)
Bellalah, Makram
Bellalah, Mondher
Résumé (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).
Mots-clés
incomplete information; international asset pricing
JEL
G14 - Information and Market Efficiency; Event Studies; Insider Trading
G12 - Asset Pricing; Trading Volume; Bond Interest Rates