An extensive body of knowledge has been developed around the theoretical relationship between the assumption that support the theory of the cost of capital and those that support the Portfolio-Capital Asset Pricing Model. The main discussion concerning how these theories are related is focused...

Value-at-Risk (VaR) has become one of the most used techniques in financial risk management. The purpose of this paper is to address how well the technique holds in a thinly traded environment, such as the one in the Colombian stock market. Our purpose is to measure the efficiency of...

We have examined the value that the market assigns to different components of the cash flow to equity including quot;potentialquot; dividends. We study non financial publicly traded firms of five Latin American countries: Argentina, Brazil, Chile, Mexico and Peru during the period 1991-2007. The...

Many financial consultants, authors and teachers include changes in liquid assets (potential dividends) in the cash flows. This practice is against basic financial theory. We present economic, theoretical and empirical arguments to support the position to use only paid dividends in the cash...

The purpose of this paper is to study if there is a Granger causality relationship between the price of oil and the prices of the stocks that compose the Integrated Latin American Market (MILA) index. Our analysis found that from the perspective of the efficient market hypothesis, there is no...

The present paper calculates the systematic risk within the context of the capital asset pricing model to investigate the significance of financial leverage on systematic risk. Rather than testing the unlevered beta directly, we develop a multinomial model with theoretically predicted targets in...

Empirical research conducted on economic sectors in the U.S., Germany, Australia and Scotland has shown that factors such as age, size, location, legal form, and industry are related to business growth rates. Much of this research has focused on manufacturing firms thus providing little...

Abstract Purpose – The purpose of this paper is to investigate whether the Australian equity market is informationally efficient in the semi-strong form with regard to interest rates and the exchange rate shocks during the period 1994-2006. Design/methodology/approach – There is evidence...

Due to increasing globalization and its potential benefits, many emerging markets have introduced capital liberalization policies to attract much needed foreign direct investment. The objective of this article is to empirically investigate whether the conducted deregulation policies resulted in...

This article tests for informational efficiency of the Korean stock market with respect to the money supply. By applying the bootstrap simulation techniques, the results show that the stock market is informationally efficient regarding monetary policy performed during the period 1978-2000. The...