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Título : | On the estimation of the cost of equity in Latin America | Autor : | Grandes, Martín Panigo, Demian T. Pasquini, Ricardo A. |
Palabras clave : | MODELOS ECONOMICOS; FIJACION DE PRECIOS; EQUIDAD | Fecha de publicación : | 2010 | Editorial : | Universidad Católica Argentina | Cita : | Grandes, M., Panigo, D. T., Pasquini, R. A. (2010). On the estimation of the cost of equity in Latin America [en línea] (Documento de trabajo No. 1 de la Escuela de Negocios de la Facultad de Ciencias Económicas de la Universidad Católica Argentina). Disponible en: https://repositorio.uca.edu.ar/handle/123456789/2417 | Resumen : | 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 1993-2004 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 the variability in COE. A robustness test for the omission of international sources of undiversifiable 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. | Cobertura Espacial: | AMERICA LATINA | URI : | https://repositorio.uca.edu.ar/handle/123456789/2417 | Disciplina: | ECONOMIA | Derechos: | Acceso Abierto |
Aparece en las colecciones: | DTEN 2010 |
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