International Portfolio Choice and Asset Pricing: An Integrative Survey

47 Pages Posted: 15 Sep 2000 Last revised: 13 Mar 2022

See all articles by René M. Stulz

René M. Stulz

Ohio State University (OSU) - Department of Finance; National Bureau of Economic Research (NBER); European Corporate Governance Institute (ECGI)

Date Written: February 1994

Abstract

In general, theories of portfolio choice and asset pricing let investors differ at most with respect to their preferences, their wealth and, possibly, their information sets. If there are multiple countries, however, the investment and consumption opportunity sets of investors depend on their country of residence. International portfolio choice and asset pricing theories attempt to understand how the existence of country-specific investment and consumption opportunity sets affect the portfolios held by investors and the expected returns of assets. In this paper, we review these theories within a common framework, discuss how they fare in empirical tests, and assess their relevance for the field of international finance.

Suggested Citation

Stulz, Rene M., International Portfolio Choice and Asset Pricing: An Integrative Survey (February 1994). NBER Working Paper No. w4645, Available at SSRN: https://ssrn.com/abstract=226966

Rene M. Stulz (Contact Author)

Ohio State University (OSU) - Department of Finance ( email )

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