On the estimation of the cost of equity in Latin America

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 system...

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Autores principales: Grandes, Martín, Panigo, Demian T., Pasquini, Ricardo A.
Formato: Artículo
Lenguaje:Inglés
Inglés
Publicado: Universidad Católica Argentina 2019
Materias:
MODELOS ECONOMICOS
FIJACION DE PRECIOS
EQUIDAD
Acceso en línea:https://repositorio.uca.edu.ar/handle/123456789/2417
Aporte de:
Repositorio Institucional de la Universidad Católica Argentina (UCA) de Universidad Católica Argentina
id I33-R139123456789-2417
record_format dspace
institution Universidad Católica Argentina
institution_str I-33
repository_str R-139
collection Repositorio Institucional de la Universidad Católica Argentina (UCA)
language Inglés
Inglés
topic MODELOS ECONOMICOS
FIJACION DE PRECIOS
EQUIDAD
spellingShingle MODELOS ECONOMICOS
FIJACION DE PRECIOS
EQUIDAD
Grandes, Martín
Panigo, Demian T.
Pasquini, Ricardo A.
On the estimation of the cost of equity in Latin America
topic_facet MODELOS ECONOMICOS
FIJACION DE PRECIOS
EQUIDAD
description 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.
format Artículo
author Grandes, Martín
Panigo, Demian T.
Pasquini, Ricardo A.
author_facet Grandes, Martín
Panigo, Demian T.
Pasquini, Ricardo A.
author_sort Grandes, Martín
title On the estimation of the cost of equity in Latin America
title_short On the estimation of the cost of equity in Latin America
title_full On the estimation of the cost of equity in Latin America
title_fullStr On the estimation of the cost of equity in Latin America
title_full_unstemmed On the estimation of the cost of equity in Latin America
title_sort on the estimation of the cost of equity in latin america
publisher Universidad Católica Argentina
publishDate 2019
url https://repositorio.uca.edu.ar/handle/123456789/2417
work_keys_str_mv AT grandesmartin ontheestimationofthecostofequityinlatinamerica
AT panigodemiant ontheestimationofthecostofequityinlatinamerica
AT pasquiniricardoa ontheestimationofthecostofequityinlatinamerica
bdutipo_str Repositorios
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