国际投资学第四章

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1、Chapter4InternationalAssetPricingIntroductionInthischapterwediscuss:EfficientmarkethypothesisDomesticCAPMvs.ICAPMTherelationbetweenexchangeratesandassetprices.2QuoteConventionusedinthischapterThroughoutthischapter,thedirectcurrencyquoteisutilizedas:Forei

2、gncurrency:Domesticcurrency=STheinvestorwillpaySunitsofdomesticcurrencyfor1unitofforeigncurrency.3InternationalMarketEfficiencyEfficientMarketHypothesisInanefficientmarket,anynewinformationwouldbeimmediatelyandfullyreflectedinprices.Inanefficientmarket,t

3、hetypicalinvestorcouldconsideranassetpricetoreflectitstruefundamentalvalueatalltimes.Thegeneralconsensusisthatindividualmarketsacrosstheworldarequiteefficient.4IntegrationversusSegmentationAnintegratedworldfinancialmarketwouldachieveinternationalefficien

4、cy,inthesensethatcapitalflowsacrossmarketswouldinstantaneouslytakeadvantageofanynewinformationthroughouttheworld.Internationalmarketsareintegratediftheyareefficientinthesensethatsecuritieswiththesameriskcharacteristicshavethesameexpectedreturnwhereverint

5、heworldtheyaretraded.Mostdevelopedmarketsareconsideredtobeintegrated.5IntegrationversusSegmentationInternationalmarketsareconsideredtobesegmentediftheyareinefficientinthesensethatsecuritieswiththesameriskcharacteristicssellatdifferentexchangerateadjusted

6、pricesindifferentcountries,thusviolatingthelawofoneprice.6ImpedimentstoCapitalMobilityItissometimesclaimedthatinternationalmarketsarenotintegratedbutsegmentedbecauseofvariousimpedimentstocapitalmobility.Suchimpedimentsinclude:PsychologicalbarriersLegalre

7、strictions.Transactioncosts.Discriminatorytaxation.PoliticalrisksForeigncurrencyrisks.7ImpedimentstoCapitalMobilityTheflowofforeigninvestmenthasgrownrapidlyovertheyears;thus,itdoesnotseemthattheinternationalmarketsarefullysegmented.Largecorporations,aswe

8、llasgovernments,borrowinternationallyandquicklytakeadvantageofrelativebondmispricingbetweencountries,thusmakingthebondmarketsmoreefficient.8AssetPricingTheory-DomesticCAPM’sMainAssumptionsInvestorsareriskaverseindividualsw