CM Expectations - equity risk premium - Segmented market

CFA Level III Economics
#1

Question : When calculating the equity risk premium for a fully segmented market, in the example questions, why is the market sharpe ratio that same as for a fully integrated market?

Detail :

Fully integrated market: ERPi = ERPm / σm * σi * ρi,M

= Market sharpe ratio * asset SD * correlation of asset with market

When that asset is fully segmented, the reference market is the market segment itself.

The correlation with itself is 1 (I understand this)

But why is the market sharpe ratio unchanged from the fully integrated case?

#2

The market sharpe ratio is the GIM, why would it be changed?

You are taking relative risk, and multiplying it by the ERP of the global market.

Or in other words, Beta * ERPm = ERPi

You use a correlation of 1 or zero for full segmentation or integration, and a weighted average depending on the degree if provided (1-w) of both.