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| Report ID: | 05-10-01 |
| Initial Submission Date: | 2005-10-25 |
| Title: | Asset Pricing in Hierarchical Segmented Markets |
| Summary: | This paper develops a new framework for asset pricing theory in segmented markets from a stochastic discount factor point of view. In segmented markets that possess specific structure, which we term hierarchical, an orthogonalization procedure can be performed that simplifies the allowable structure of prices. In this case, we derive general stochastic discount factor formulas, beta models, and factor models for pricing that must hold in the absence of arbitrage. |
| Authors: | Li, Qi; Primbs, James |
| Contact email: | japrimbs@stanford.edu |
| Number of views : 1050 Number of downloads : 700 |
| Version | Date | Accessible? | Download |
| 1 | 2005-10-25 | y | download |