Journal ArticleDOI
The demand for foreign bonds
TLDR
The authors derived the demand for foreign bonds in a simple general equilibrium model in which the exchange rate is perfectly correlated with the terms of trade and showed that the demand can be a decreasing function of imports if the degree of relative risk tolerance is smaller than one when the consumption expenditure elasticity of imports exceeds one.About:
This article is published in Journal of International Economics.The article was published on 1983-11-01. It has received 33 citations till now. The article focuses on the topics: Derived demand & Exchange rate.read more
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Book ChapterDOI
Chapter 16 Are financial assets priced locally or globally
G. Andrew Karolyi,René M. Stulz +1 more
TL;DR: In this paper, the authors review the international finance literature to assess the extent to which international factors affect financial asset demands and prices, and find that the theoretical asset-pricing literature relying on mean-variance optimizing investors fails in explaining the portfolio holdings of investors, equity flows, and the time-varying properties of correlations across countries.
Journal ArticleDOI
A General Equilibrium Model of International Portfolio Choice
TL;DR: In this article, the authors investigate whether a bias in consumption towards domestic goods will necessarily lead to a preference for domestic securities in a two-country general equilibrium model, and they show that an investor's optimal portfolio is biased towards domestic equity only if she is less risk averse than an investor with log utility.
ReportDOI
International Portfolio Choice and Asset Pricing: An Integrative Survey
René M. Stulz,René M. Stulz +1 more
TL;DR: In this article, the authors review portfolio choice and asset pricing theories within a common framework, discuss how they fare in empirical tests, and assess their relevance for the field of international finance.
ReportDOI
Are Financial Assets Priced Locally or Globally
TL;DR: In this paper, the authors review the international finance literature to assess the extent to which international factors affect financial asset demands and prices, and find that the theoretical asset pricing literature relying on mean-variance optimizing investors fails in explaining the portfolio holdings of investors, equity flows, and the time-varying properties of correlations across countries.
Book ChapterDOI
Chapter 15 The specification and influence of asset markets
TL;DR: In this article, the authors discuss portfolio balance models with postulated asset demands, asset demands broadly consistent with but not directly implied by microeconomic theory, and discuss that the consumer arrives at his or her asset demands by maximizing his or their utility given interest rates and the parameters of the distributions of prices and exchange rates.
References
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Journal ArticleDOI
A Theory of the Term Structure of Interest Rates.
TL;DR: In this paper, the authors use an intertemporal general equilibrium asset pricing model to study the term structure of interest rates and find that anticipations, risk aversion, investment alternatives, and preferences about the timing of consumption all play a role in determining bond prices.
Journal ArticleDOI
Optimum consumption and portfolio rules in a continuous-time model☆
TL;DR: In this paper, the authors considered the continuous-time consumption-portfolio problem for an individual whose income is generated by capital gains on investments in assets with prices assumed to satisfy the geometric Brownian motion hypothesis, which implies that asset prices are stationary and lognormally distributed.
Journal ArticleDOI
An intertemporal asset pricing model with stochastic consumption and investment opportunities
TL;DR: In this paper, the authors derived a single-beta asset pricing model in a multi-good, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunities.
Journal ArticleDOI