Asset Pricing Model (CAPM) in Emerging Markets: Evidence in BRICS nations and comparisons with other G20

Abstract

The objective of this paper is to empirically investigate the applicability of the asset pricing model in a portfolio made up of groups of countries, the G20 for this case. In the meantime, it was intended to compare a complete sample of 14 constituent countries of the group, a subsample of four countries belonging to the BRICS and another of the countries that do not belong. The survey sample consisted of long-term interest rate data from these countries collected in the OECD database and also from the Central Bank of Brazil (Bacen). Based on the results of the regression of Panel data on fixed effects, we found evidence that there is a statistically positive relationship between the market risk premium and the interest rate risk premiums. The regression betas showed that the interest rate risk premium is not sensitive when considering the full sample of the G20 countries but is sensitive in the BRICS sample.

Differences in the Cost of Capital: The Case of Food Companies From Emerging and Developed European Economies

“…Then the results identify how the market is efficient among a particular industry that has similar risk determinants [Copeland et al 2005]. In the case of crosscountry comparisons, the difference could be a consequence of the portfolio structure held by investors, which will impact the expected equilibrium returns and the financial policies of companies [Rezende et al 2019].…”