Please use this identifier to cite or link to this item: https://repositorio.uca.edu.ar/handle/123456789/2417
Título : On the estimation of the cost of equity in Latin America
Autor : Grandes, Martín 
Panigo, Demian T. 
Pasquini, Ricardo A. 
Palabras clave : MODELOS ECONOMICOSFIJACION DE PRECIOSEQUIDAD
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
Appears in Collections:DTEN 2010

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