MARKET SEGMENTATION AND NOISE TRADER RISK | Zendy

Vihang R. Errunza | Zendy; Ked Hogan | Zendy; MaoWei Hung | Zendy

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MARKET SEGMENTATION AND NOISE TRADER RISK

Author(s) -

Vihang R. Errunza,

Ked Hogan,

MaoWei Hung

Publication year - 2000

Publication title -

international journal of theoretical and applied finance

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.469

H-Index - 35

eISSN - 1793-6322

pISSN - 0219-0249

DOI - 10.1142/s021902490000005x

Subject(s) - investment (military) , market segmentation , capital asset pricing model , noise (video) , component (thermodynamics) , business , consumption based capital asset pricing model , asset (computer security) , segmentation , financial economics , risk premium , economics , microeconomics , computer science , physics , computer security , artificial intelligence , politics , political science , law , image (mathematics) , thermodynamics

A simple asset pricing model is developed to take into account two important characteristics in global investments: market segmentation and noise trader risk. Our results show the removal of international investment barriers and cross-border listings have not led to a fully integrated international capital market. We also show that different degree of investor rationality across borders induces an additional component of risk premium which is related to the "noise spill-over effect".

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