On the estimation of the cost of equity in Latin America

Autores
Grandes, Martin; Panigo, Demian Tupac; Pasquini, Ricardo Aníbal
Año de publicación
2010
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
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.
Fil: Grandes, Martin. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Pontificia Universidad Católica Argentina "Santa María de los Buenos Aires"; Argentina
Fil: Panigo, Demian Tupac. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Centro de Estudios e Investigaciones Laborales; Argentina
Fil: Pasquini, Ricardo Aníbal. Universidad Torcuato Di Tella; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Materia
Cost of Equity
Latin America
Capm
International Capm
Three Factor Model
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/23605
Acceder
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network_name_str CONICET Digital (CONICET)
spelling On the estimation of the cost of equity in Latin AmericaGrandes, MartinPanigo, Demian TupacPasquini, Ricardo AníbalCost of EquityLatin AmericaCapmInternational CapmThree Factor Modelhttps://purl.org/becyt/ford/5.2https://purl.org/becyt/ford/5This 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.Fil: Grandes, Martin. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Pontificia Universidad Católica Argentina "Santa María de los Buenos Aires"; ArgentinaFil: Panigo, Demian Tupac. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Centro de Estudios e Investigaciones Laborales; ArgentinaFil: Pasquini, Ricardo Aníbal. Universidad Torcuato Di Tella; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaElsevier2010-12info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/23605Grandes, 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; 373-3891566-0141CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/url/http://www.sciencedirect.com/science/article/pii/S1566014110000415info:eu-repo/semantics/altIdentifier/doi/10.1016/j.ememar.2010.08.001info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-03T09:44:47Zoai:ri.conicet.gov.ar:11336/23605instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-03 09:44:47.768CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv On the estimation of the cost of equity in Latin America
title On the estimation of the cost of equity in Latin America
spellingShingle On the estimation of the cost of equity in Latin America
Grandes, Martin
Cost of Equity
Latin America
Capm
International Capm
Three Factor Model
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
dc.creator.none.fl_str_mv Grandes, Martin
Panigo, Demian Tupac
Pasquini, Ricardo Aníbal
author Grandes, Martin
author_facet Grandes, Martin
Panigo, Demian Tupac
Pasquini, Ricardo Aníbal
author_role author
author2 Panigo, Demian Tupac
Pasquini, Ricardo Aníbal
author2_role author
author
dc.subject.none.fl_str_mv Cost of Equity
Latin America
Capm
International Capm
Three Factor Model
topic Cost of Equity
Latin America
Capm
International Capm
Three Factor Model
purl_subject.fl_str_mv https://purl.org/becyt/ford/5.2
https://purl.org/becyt/ford/5
dc.description.none.fl_txt_mv 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.
Fil: Grandes, Martin. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Pontificia Universidad Católica Argentina "Santa María de los Buenos Aires"; Argentina
Fil: Panigo, Demian Tupac. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Centro de Estudios e Investigaciones Laborales; Argentina
Fil: Pasquini, Ricardo Aníbal. Universidad Torcuato Di Tella; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
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 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.
publishDate 2010
dc.date.none.fl_str_mv 2010-12
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/23605
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
1566-0141
CONICET Digital
CONICET
url http://hdl.handle.net/11336/23605
identifier_str_mv 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
1566-0141
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/url/http://www.sciencedirect.com/science/article/pii/S1566014110000415
info:eu-repo/semantics/altIdentifier/doi/10.1016/j.ememar.2010.08.001
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
application/pdf
application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 13.13397

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