国际投资学第四章.ppt

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Impediments to Capital Mobility
It is sometimes claimed that international markets
are not integrated but segmented because of various impediments to capital mobility.
Chapter 4
International Asset Pricing
Introduction
In this chapter we discuss:
Efficient market hypothesis Domestic CAPM vs. ICAPM The relation between exchange rates and asset
Two conclusions emerge from the domestic
CAPM:
Separation Theorem Risk-Pricing Relation
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Separation Theorem
Separation Theorem: everyone should hold
Investors make portfolio decisions on the basis
of mean (expected return) and variance
Investors have identical expectations about asset
returns
Investors care about nominal returns in their
The investor will pay S units of domestic
currency for 1 unit of foreign currency.
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International Market Efficiency
Efficient Market Hypothesis
In an efficient market, any new information
Such impediments include:
Psychological barriers Legal restrictions. Transaction costs. Discriminatory taxation. Political risks Foreign currency risks.
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Asset Returns and Exchange rate movements
The expected return on an unhedged
foreign investment is: E(R) = E(RFC) + E(s)
where E(R) is the expected domestic-currency
Large corporations, as well as governments,
borrow internationally and quickly take advantage of relative bond mispricing between countries, thus making the bond markets more efficient.
would be immediately and fully reflected in prices.
In an efficient market, the typical investor could
consider an asset price to reflect its true fundamental value at all times.
return on the investment, E(RFC) is the expected foreign-currency investment return, and E(s) is the expected percentage currency movement.
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Asset-Pricing Models - Definitions
rate of return on an foreign investment
பைடு நூலகம்
That is
R=(V1-V0)/V0 R=RFC + s + (s × RFC)
RFC =(V1FC-V0FC)/V0FC, the FC rate of return on the investment s =(S1-S0)/S0, the percentage exchange rate movement
international efficiency, in the sense that capital flows across markets would instantaneously take advantage of any new information throughout the world.
The expected return on a hedged foreign
investment is: E(R) = E(RFC) + (F – S0)/S0
where E(R) is the expected domestic-currency return on the hedged investment,
RPm is the market risk premium equal to E(Rm)
- R0
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Risk-Pricing Relation
In an international context, the domestic
CAPM implies that all domestic securities would be priced in line with their risk relative to the domestic market.
The optimal portfolio involves a mix of the risky
market portfolio and the risk-free asset
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Risk-Pricing Relation
The relation can be expressed as:
E(Ri) = R0 + RPm × βi
where E(Ri) is the expected return on asset i R0 is the risk-free interest rate βi is the sensitivity of asset i to market
movements
The descriptive conclusion is an equilibrium
risk-pricing expression where the expected return on an asset i is the sum of the risk-free rate plus a market risk premium: E(Ri) = R0 + i RPM where i is the domestic market exposure of the asset and RPM is the domestic-market risk premium.
Most developed markets are considered to be
integrated.
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Integration versus Segmentation
International markets are considered to be
segmented if they are inefficient in the sense that securities with the same risk characteristics sell at different exchange rate adjusted prices in different countries, thus violating the law of one price.
prices.
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Quote Convention used in this chapter
Throughout this chapter, the direct currency
quote is utilized as:
Foreign currency :Domestic currency = S
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Asset Returns and Exchange rate movements
Assume S is the direct exchange rate between the
two countries
Return from time 0 to time 1 shows that the DC
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Asset Pricing Theory - Domestic CAPM’s Main Assumptions
Investors are risk averse individuals who maximize
the expected utility of their end-of-period wealth
The general consensus is that individual markets
across the world are quite efficient.
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Integration versus Segmentation