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
TypeDocument de travail / Working paper
Series titleCahiers de recherche CEREG (DRM)
MetadataShow full item record
Abstract (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 / Keywordsincomplete information; international asset pricing
Showing items related by title and author.
Real-world cost-effectiveness of rivaroxaban and apixaban vs VKA in stroke prevention in non-valvular atrial fibrillation in the UK Bowrin, Kevin; Briere, Jean-Baptiste; Lévy, Pierre; Millier, Aurélie; Tardu, Jean; Toumi, Mondher (2020-06) Article accepté pour publication ou publié
Impact of methodological choices on a meta-analysis of real-world evidence comparing non-vitamin K antagonist oral anticoagulants with vitamin K antagonists for the treatment of patients with non-valvular atrial fibrillation Briere, Jean-Baptiste; Wu, Olivia; Bowrin, Kevin; Millier, Aurélie; Toumi, Mondher; Taieb, Vanessa; Lévy, Pierre; Coleman, Craig I. (2019) Article accepté pour publication ou publié