This article proposes a theoretical testable ICAPM for partially segmented markets. We establish that if some investors do not hold all international assets because of implicit and/or explicit segmentation factors, the world market portfolio is not efficient and the classic ICAPM must be...

This article proposes a theoretical testable ICAPM for partially segmented markets. We establish that if some investors do not hold all international assets because of implicit and/or explicit segmentation factors, the world market portfolio is not efficient and the classic ICAPM must be...

Defining systematic risk management (SRM) skill as persistently low fund systematic risk, we find evidence of time varying allocation of hedge fund management effort across the business cycle. In weak market states, skilled managers focus on minimization of systematic risk via dynamic...

This article proposes a theoretical testable capital asset pricing model for partially segmented markets. We establish that if some investors do not hold all international assets because of direct and/or indirect barriers, the world market portfolio is not efficient and the traditional...

We conduct empirical tests of a simplified version of the ratio habit model developed in Abel(1990), in which habit is extended beyond the preceding period. We show that change in four-year consumption growth---the measure of consumption resulting from our ratio habit preference---explains the...