On the estimation of the cost of equity in Latin America

Autores
Grandes, Martín; Panigo, Demian T.; Pasquini, Ricardo A.
Año de publicación
2010
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
Fil: Grandes, Martín. Pontificia Universidad Católica Argentina. Facultad de Ciencias Económicas. Escuela de Negocios; Argentina
Fil: Panigo, Demian T. Pontificia Universidad Católica Argentina. Facultad de Ciencias Económicas. Escuela de Negocios; Argentina
Fil: Pasquini, Ricardo A. Pontificia Universidad Católica Argentina. Facultad de Ciencias Económicas. Escuela de Negocios; Argentina
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.
Materia
MODELOS ECONOMICOS
FIJACION DE PRECIOS
EQUIDAD
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/4.0/
Repositorio
Repositorio Institucional (UCA)
Institución
Pontificia Universidad Católica Argentina
OAI Identificador
oai:ucacris:123456789/2417
Acceder
id RIUCA_85606a719fd278785b5f97df8425a445
oai_identifier_str oai:ucacris:123456789/2417
network_acronym_str RIUCA
repository_id_str 2585
network_name_str Repositorio Institucional (UCA)
spelling On the estimation of the cost of equity in Latin AmericaGrandes, MartínPanigo, Demian T.Pasquini, Ricardo A.MODELOS ECONOMICOSFIJACION DE PRECIOSEQUIDADFil: Grandes, Martín. Pontificia Universidad Católica Argentina. Facultad de Ciencias Económicas. Escuela de Negocios; ArgentinaFil: Panigo, Demian T. Pontificia Universidad Católica Argentina. Facultad de Ciencias Económicas. Escuela de Negocios; ArgentinaFil: Pasquini, Ricardo A. Pontificia Universidad Católica Argentina. Facultad de Ciencias Económicas. Escuela de Negocios; ArgentinaThis 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.Universidad Católica Argentina2010info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfhttps://repositorio.uca.edu.ar/handle/123456789/2417Grandes, 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/123456789/2417engengAMERICA LATINAinfo:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/4.0/reponame:Repositorio Institucional (UCA)instname:Pontificia Universidad Católica Argentina2025-07-03T10:55:30Zoai:ucacris:123456789/2417instacron:UCAInstitucionalhttps://repositorio.uca.edu.ar/Universidad privadaNo correspondehttps://repositorio.uca.edu.ar/oaiclaudia_fernandez@uca.edu.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:25852025-07-03 10:55:30.693Repositorio Institucional (UCA) - Pontificia Universidad Católica Argentinafalse
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, Martín
MODELOS ECONOMICOS
FIJACION DE PRECIOS
EQUIDAD
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, Martín
Panigo, Demian T.
Pasquini, Ricardo A.
author Grandes, Martín
author_facet Grandes, Martín
Panigo, Demian T.
Pasquini, Ricardo A.
author_role author
author2 Panigo, Demian T.
Pasquini, Ricardo A.
author2_role author
author
dc.subject.none.fl_str_mv MODELOS ECONOMICOS
FIJACION DE PRECIOS
EQUIDAD
topic MODELOS ECONOMICOS
FIJACION DE PRECIOS
EQUIDAD
dc.description.none.fl_txt_mv Fil: Grandes, Martín. Pontificia Universidad Católica Argentina. Facultad de Ciencias Económicas. Escuela de Negocios; Argentina
Fil: Panigo, Demian T. Pontificia Universidad Católica Argentina. Facultad de Ciencias Económicas. Escuela de Negocios; Argentina
Fil: Pasquini, Ricardo A. Pontificia Universidad Católica Argentina. Facultad de Ciencias Económicas. Escuela de Negocios; Argentina
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.
description Fil: Grandes, Martín. Pontificia Universidad Católica Argentina. Facultad de Ciencias Económicas. Escuela de Negocios; Argentina
publishDate 2010
dc.date.none.fl_str_mv 2010
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 https://repositorio.uca.edu.ar/handle/123456789/2417
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
url https://repositorio.uca.edu.ar/handle/123456789/2417
identifier_str_mv 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
dc.language.none.fl_str_mv eng
eng
language eng
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/4.0/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/4.0/
dc.format.none.fl_str_mv application/pdf
dc.coverage.none.fl_str_mv AMERICA LATINA
dc.publisher.none.fl_str_mv Universidad Católica Argentina
publisher.none.fl_str_mv Universidad Católica Argentina
dc.source.none.fl_str_mv reponame:Repositorio Institucional (UCA)
instname:Pontificia Universidad Católica Argentina
reponame_str Repositorio Institucional (UCA)
collection Repositorio Institucional (UCA)
instname_str Pontificia Universidad Católica Argentina
repository.name.fl_str_mv Repositorio Institucional (UCA) - Pontificia Universidad Católica Argentina
repository.mail.fl_str_mv claudia_fernandez@uca.edu.ar
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score 13.070432

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