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A Comparison of Cost of Equity Estimates of Local and Global CAPM : Experience from a Developing Country, Mexico
Villarreal, Cuauhtemoc - 2014
rates, we ask if the required returns determined by the Local CAPM model and those determined by the Global CAPM model are … the Local CAPM is 13.83% while that of the Global CAPM is 20.38%. Our discovery that the estimated cost of capital for the …
Persistent link: https://www.econbiz.de/10013065193
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Stock Extreme Illiquidity and the Cost of Capital
Belkhir, Mohamed - 2018
We examine the relationship between stock extreme illiquidity and the implied cost of capital for firms from 45 countries. We document robust evidence that firms whose stocks have a greater potential for extreme illiquidity realizations suffer from higher cost of capital. A one standard...
Persistent link: https://www.econbiz.de/10012922232
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Testing Multi-Factor Asset Pricing Models in the Visegrad Countries
Borys, Magdalena Morgese - Center for Economic Research and Graduate Education and … - 2007
capital in the emerging markets. The Capital Asset Pricing Model (CAPM) that is most often used for this purpose in the …. Various factor models have been proposed to overcome the shortcomings of the CAPM. This paper examines both the CAPM and the … countries. We find, as expected, that the CAPM is not able to do this task. However, a four-factor model, including factors such …
Persistent link: https://www.econbiz.de/10005086627
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Testing Multi-Factor Asset Pricing Models in the Visegrad Countries
Borys, Magdalena Morgese Borys - In: Czech Journal of Economics and Finance (Finance a uver) 61 (2011) 2, pp. 118-139
capital in the emerging markets. The Capital Asset Pricing Model (CAPM), which is most often used for this purpose in the …. Various factor models have been proposed to overcome the shortcomings of the CAPM. This paper examines both the CAPM and … find, as expected, that the CAPM is not able to do this task. However, factor models, including factors such as the excess …
Persistent link: https://www.econbiz.de/10009147423
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Fiscal institutions, fiscal policy and sovereign risk premia
Hallerberg, Mark; Wolff, Guntram B. - 2006
increase risk premia measured by relative swap spreads. The effect of deficits is significantly lower under EMU. This effect …
Persistent link: https://www.econbiz.de/10010295824
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Measuring financial integration in the euro area
Baele, Lieven; Ferrando, Annalisa; Hördahl, Peter; … - 2004
In this paper, we present a set of specific measures to quantify the state and evolution of financial integration in the euro area. Five key markets are considered, namely the money, corporate bond, government bond, credit and equity markets. Building upon the law of one price, we developed two...
Persistent link: https://www.econbiz.de/10011606166
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Fiscal institutions, fiscal policy and sovereign risk premia
Hallerberg, Mark; Wolff, Guntram B. - Deutsche Bundesbank - 2006
increase risk premia measured by relative swap spreads. The effect of deficits is significantly lower under EMU. This effect …
Persistent link: https://www.econbiz.de/10005083235
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Measuring financial integration in the euro area
Baele, Lieven; Ferrando, Annalisa; Hördahl, Peter; … - European Central Bank - 2004
In this paper, we present a set of specific measures to quantify the state and evolution of financial integration in the euro area. Five key markets are considered, namely the money, corporate bond, government bond, credit and equity markets. Building upon the law of one price, we developed two...
Persistent link: https://www.econbiz.de/10005816123
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Volatility Spillover Effects in European Equity Markets
BAELE, L. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2003
This paper quantifies the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU) and US market to 13 local European equity markets. I develop a shock spillover model that decomposes local unexpected returns into a country specific shock, a regional European...
Persistent link: https://www.econbiz.de/10004982992
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Multimarket trading and the cost of debt: evidence from global bonds
Petrasek, Lubomir - 2010
Global bonds are international securities designed to be traded and settled efficiently in multiple markets. This paper studies global bonds to examine the effects of multimarket trading on corporate bond liquidity, prices, and the cost of debt. Using a sample of primary and secondary market...
Persistent link: https://www.econbiz.de/10003973581