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dc.contributor.author
Grandes, Martin
dc.contributor.author
Panigo, Demian Tupac
dc.contributor.author
Pasquini, Ricardo Aníbal
dc.date.available
2017-09-04T19:36:07Z
dc.date.issued
2010-12
dc.identifier.citation
Grandes, Martin; Panigo, Demian Tupac; Pasquini, Ricardo Aníbal; On the estimation of the cost of equity in Latin America; Elsevier; Emerging Markets Review; 11; 4; 12-2010; 373-389
dc.identifier.issn
1566-0141
dc.identifier.uri
http://hdl.handle.net/11336/23605
dc.description.abstract
This paper researches the sources of stock market risk influencing the pricing of 921 Latin American stocks and computes their corresponding opportunity cost (COE) over the period 1997–2004 by firm and sector. Running an adjusted version of the Capital Asset Pricing Model (CAPM) it finds that systematic risk accounts on average for more than 32% of COE total variance. This implies that potential CAPM mispricing related to undiversified idiosyncratic risk in Latin America has been relatively lower (but absolutely higher) than in United States and other European and Asian stock markets (such as the United Kingdom, Canada or Japan). A first robustness test for the omission of international sources of un-diversifiable risk suggests that both global market and real currencies portfolios do not add significant information to domestic market portfolios. Moreover, a second robustness check offers further evidence that well-diversified portfolios constructed by sorting stocks according to their size and book-to-market ratios a la Fama and French do not improve the goodness of fit in the regressions based on the adjusted version of CAPM.
dc.format
application/pdf
dc.language.iso
eng
dc.publisher
Elsevier
dc.rights
info:eu-repo/semantics/openAccess
dc.rights.uri
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.subject
Cost of Equity
dc.subject
Latin America
dc.subject
Capm
dc.subject
International Capm
dc.subject
Three Factor Model
dc.subject.classification
Otras Economía y Negocios
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Economía y Negocios
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CIENCIAS SOCIALES
dc.title
On the estimation of the cost of equity in Latin America
dc.type
info:eu-repo/semantics/article
dc.type
info:ar-repo/semantics/artículo
dc.type
info:eu-repo/semantics/publishedVersion
dc.date.updated
2017-08-24T19:01:13Z
dc.journal.volume
11
dc.journal.number
4
dc.journal.pagination
373-389
dc.journal.pais
Países Bajos
dc.journal.ciudad
Amsterdam
dc.description.fil
Fil: Grandes, Martin. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Pontificia Universidad Católica Argentina "Santa María de los Buenos Aires"; Argentina
dc.description.fil
Fil: Panigo, Demian Tupac. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Centro de Estudios e Investigaciones Laborales; Argentina
dc.description.fil
Fil: Pasquini, Ricardo Aníbal. Universidad Torcuato Di Tella; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
dc.journal.title
Emerging Markets Review
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/url/http://www.sciencedirect.com/science/article/pii/S1566014110000415
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1016/j.ememar.2010.08.001
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