International Portfolio Choice and the Effect of Information Costs

dc.contributor.author	Bellalah, Makram
dc.contributor.author	Bellalah, Mondher
dc.date.accessioned	2012-07-20T09:16:09Z
dc.date.available	2012-07-20T09:16:09Z
dc.date.issued	2001
dc.identifier.uri	https://basepub.dauphine.fr/handle/123456789/9786
dc.language.iso	en	en
dc.subject	incomplete information	en
dc.subject	international asset pricing	en
dc.subject.ddc	332	en
dc.subject.classificationjel	G14	en
dc.subject.classificationjel	G12	en
dc.title	International Portfolio Choice and the Effect of Information Costs	en
dc.type	Document de travail / Working paper
dc.description.abstracten	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).	en
dc.publisher.name	Université Paris-Dauphine	en
dc.publisher.city	Paris	en
dc.identifier.citationpages	21	en
dc.relation.ispartofseriestitle	Cahiers de recherche CEREG (DRM)	en
dc.relation.ispartofseriesnumber	2001-05	en
dc.description.sponsorshipprivate	oui	en
dc.subject.ddclabel	Economie financière	en

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