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标题: Reading 68: International Asset Pricing-LOS j 习题精选 [打印本页]

作者: 土豆妮 时间: 2011-3-29 15:33 标题: [2011]Session 18-Reading 68: International Asset Pricing-LOS j 习题精选

Session 18: Portfolio Management: Capital Market Theory and the Portfolio Management Process
Reading 68: International Asset Pricing

LOS j: Explain the effect of market segmentation on the ICAPM.

Suppose world markets are fully segmented. What will be the effect of segmentation of the international capital asset pricing model (ICAPM)? Risk will be priced:

A)
differently in each national market and the ICAPM will be valid.

B)
differently in each national market and the ICAPM breaks down.

C)
similarly in each national market and the ICAPM breaks down.

Segmentation means that risk will be priced differently in each national market, hence the ICAPM, which assumes uniform risk pricing, breaks down.

作者: 土豆妮 时间: 2011-3-29 15:33

For the international capital asset pricing model (ICAPM), which of the following statements regarding the integration of national markets is most accurate? If international markets are:

A)
integrated, there is no need for the ICAPM.

B)
segmented, the ICAPM breaks down.

C)
integrated, the ICAPM breaks down.

For the ICAPM to be valid, international markets must be integrated. If markets are segmented, risk will be priced differently in different national markets so the world risk premium will not be a robust comparison measure.

作者: 土豆妮 时间: 2011-3-29 15:33

If international markets are integrated, which of the following statements is least accurate?

A)
Risk will be priced similarly in all markets.

B)
The international risk-free rate will be the appropriate base rate for asset pricing.

C)
The international capital asset pricing model will be valid.

There is no such thing as an “international risk-free rate,” hence it cannot be used in asset pricing. In broad terms, both remaining answers will be correct in the presence of well-integrated world markets.

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