Abstract
AbstractIn the chapter, we discuss some problems associated with international asset pricing. Indeed, investors from different countries face different investment and consumption opportunities. Thus, international models should make assumptions regarding market integration and purchasing power parity (PPP). Then, we present some international extensions of the CAPM and assess the pricing error when the investor uses the domestic CAPM to price assets while his market in not strictly segmented. Finally, we use a partial integrated international CAPM to investigate the evolution of the market integration degree of a Latin American emerging market (Mexico) into the world market.KeywordsRisk PremiumPurchase Power ParityFinancial AssetInvestment OpportunityMarket IntegrationThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
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