ASSET PRICING WITH INVESTMENT RESTRICTIONS: THEORY AND INTERNATIONAL EVIDENCE.

摘要

An attempt is made to derive a distribution free equilibrium asset pricing model incorporating investment restrictions. The aggregation properties necessary to drive such a pricing model are shown not to be satisfied when investment restrictions exist. An equilibrium asset pricing model consistent with the existence of partial market segmentation, and a distribution of asset returns and state variables which are stationary and joint normal is then derived. The state variables hypothesized to affect the investment opportunity set are rates of change for U.S. inflation, a trade weighted aggregate of foreign inflation, the U.S. dollar-International Monetary Fund Special Drawing Right, and the price of U.S. Treasury Bills.;It is found that the alternative model proposed in this thesis dominates all restricted versions of it. These results imply that investment restrictions, market risk, US purchasing power risk, foreign purchasing power risk, exchange rate risk, and interest rate risk are all priced. Theoretical models presented in the literature which hypothesize that only a subset of these factors is important are rejected. Instead, it is found that all of the factors are priced. The asset pricing model which corresponds to the alternative hypothesis is a simple linear model. The causal variables for asset returns are found to be: a constant term, reflecting the pricing of asset specific investment restrictions, the market return, the rate of US inflation, the rate of foreign inflation, the rate of change for the dollar-SDR exchange rate, and the US Treasury Bill rate.;The hypotheses which impose certain structures on the international economy are also rejected. The tests regarding depository receipts' identification as members of the set of unrestricted assets reject their classification in this set. The implications of this model are also found to be inconsistent with the existence of purchasing power parity and the expectational interest rate parity theory. . . . (Author's abstract exceeds stipulated maximum length. Discontinued here with permission of author.) UMI.;The model derived in this work provides a means to directly test many hypotheses already suggested in the literature as explanatory models for asset returns in international financial markets. Implications for the pricing of depository receipt related equities, purchasing power parity, and expectational interest rate parity are also identified and tested. Since all of these hypotheses imply restrictions on the alternative model that is proposed in this work, they are tested as maintained hypotheses relative to this alternative.