An equilibrium model of the international capital market

Strategic and institutional effects on foreign IPO performance: Examining the impact of country of origin, corporate governance, and host country effects

“…Issues surrounding a firm's country of origin may work to enhance investor uncertainties regarding the safety and security of their investments. For many years, finance authors have pointed to the benefits that cross-border diversification can bring to equity portfolios (Grubel, 1968;Levy and Sarnat, 1970;Solnik, 1974;Grauer and Hakansson, 1987;Eldor, Pines, and Schwartz, 1988;DeSantis and Gerard 1997;among others). Yet despite the benefits, research has also shown that investors do not always exploit such international diversification opportunities.…”

Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing

“…We use the MSCI world excess return, which is the US dollar world market return less the US Treasury bill return. Solnik (1974a, b) showed that exchange risks should be``priced'' in a world otherwise similar to that of the static CAPM, when purchasing power parity 11 In a pilot study (Ferson and Harvey, 1994b), we also measured the industry structure of a country using the coe cients from regressing the country returns on Morgan Stanley's international industry indices. Investment services, such as BARRA, use related industry structure measures in their models for individual stocks.…”

Portfolio choice of financial investors and European business cycle convergence: a panel analysis for EU countries

“…In this direction, a plausible "common" investment strategy could be derived from the International Asset Pricing Model (IAPM) introduced by Solnik (1974) which, in turn, is based on the Capital Asset Pricing Model (CAPM) by Sharpe (1964). According to the IAPM, a portfolio should reflect the relative world market weights of all countries to achieve the best risk-return-ratio (de Santis and Gérard, 2006).…”