On the estimation of the cost of equity in Latin America

Grandes, Martín; Panigo, Demian Tupac; Pasqüini, Ricardo

doi:10.1016/j.ememar.2010.08.001

Cited by 17 publications

(10 citation statements)

References 49 publications

(51 reference statements)

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“…See the following studies for more details:Barclay et al 2010;Bourgain et al 2012;Brana and Lahet 2010;Gimet and Lagoarde-Segot 2012;Grandes et al 2010;Groh and Wich 2012;Iatridis 2012;Kaya et al 2012;Rocha and Moreira 2010. 3. For example, seeChi et al (2006);Christoffersen et al (2012);Gérard et al (2003).…”

mentioning

confidence: 99%

Liquidity and Return Relationships in an Emerging Market

Batten

2014

Emerging Markets Finance and Trade

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In this paper, we investigate the relationship between liquidity and stock returns in the Vietnam stock market during the global financial crisis. Vietnam is one of a new group of frontier emerging markets referred to as CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa). We use a rich and detailed data set of firm characteristics to identify a positive relationship between liquidity and stock returns. This contradicts the negative correlation typically found in stock returns in developed markets. Our results support the proposition that when a market is not fully integrated with the global economy, a lack of liquidity will be a less important risk factor. Our findings contribute to those studies that highlight the diversification benefits from including frontier markets, which have a lower degree of integration with the global economy, in international portfolios.

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confidence: 99%

Liquidity and Return Relationships in an Emerging Market

Batten

2014

Emerging Markets Finance and Trade

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“…2 Grandes et al (2010) find that the size and value premiums are not statistically significant in the stock markets of Latin America. Chui and Wei (1998) find in Pacific-Basin emerging markets (Hong Kong, Korea, Malaysia, Taiwan, and Thailand) a weak relationship between average returns and beta, a value premium in three of the markets, and size premium in four of the markets.…”

Section: Introductionmentioning

confidence: 90%

“…On the other hand, Lischewski and Voronkova (2012) examine only Polish stocks and report that the market, size, and value factors have explanatory power on average returns, but do not explain portfolio returns fully. 3 Fama and French (1998); Rouwenhorst (1999); Bonomo and Garcia (2001); Bonomo et al (2002); Sampaio (2002); Malaga and Securato (2004); Matos (2006); Chague and De-losso (2007); Bellizia (2009); Mussa et al (2009); Brito and Murakoshi (2009); Grandes et al (2010); Mussa et al (2011); Bodur (2011); Rizzi (2012); Mussa et al (2012); Varga and Brito (2015); Eid Jr and Martins (2015), and Piccoli et al (2015).…”

Section: Introductionmentioning

confidence: 99%

US Risk Premia under Emerging Markets Constraints

Filho¹,

Chague

De-Losso

et al. 2020

SSRN Journal

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USA market is the benchmark for empirical finance and considered the closest example of how an efficient market should behave. On the other hand, divergent results from the observed in the USA are often associated with unreliable and due deviations from efficient hypothesis. However, how would the US market results behave had the data the same constraints as an emerging market economy? To answer that question, we analyze the risk premia market estimation under the typical constraints from emerging equity markets: the small number of assets and the short time-series sample available for estimation. We use parameters of timeseries length, number of assets and accounting variables distribution from the Brazilian equity market. Surprisingly, we conclude that the US market risk premia convey the same data features as the Brazilian risk premia if under the same time constraints. Then, we evaluate two potential causes of problems in risk premia estimations with small T: i) small sample bias on betas, and ii) divergence between ex-post and ex-ante risk premia. Through Monte Carlo simulations, we conclude that for the T around 5 years the beta estimates are no longer a problem. However, it is necessary to analyze a time-series sample exceeding 40 years to obtain robust ex-ante risk premia.

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“…An consequence of this is the small number of patents registered in LA. Grandes, Panigo, and Pasquini (2010) and Figlioli and Lima (2019) suggest that in LA idiosyncratic risk is not eliminated by diversification processes. This effect would be related to the low levels of liquidity verified in the financial markets of this region (Bittencourt, 2012;Escobari, Garcia, & Mellado, 2017).…”

Section: Dynamics Of Investments In Lamentioning

confidence: 99%

Investment Cash Flow Sensitivity and Tobin’s Q: The Case of Advanced Emerging Markets in Latin America

Figlioli¹,

Lima²

2020

IBR

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This paper examines whether the capital market and the internal generation of cash flows bring relevant information to decisions on corporate investments. For this investigation, we used data from 255 companies located in four Latin American (LA) countries: Brazil, Chile, Mexico and Peru (BCMP countries). The analysis period is from 2000 to 2017. The results indicate that cash flow represents one of the main drivers of corporate investments. In contrast, there were no indications that the capital market translates into a mechanism for transmitting useful information to firm managers about investments. Other drivers of value identified are associated with sales, cash and cash equivalents, and asset tangibility.

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On the estimation of the cost of equity in Latin America

Cited by 17 publications

References 49 publications

Liquidity and Return Relationships in an Emerging Market

Liquidity and Return Relationships in an Emerging Market

US Risk Premia under Emerging Markets Constraints

Investment Cash Flow Sensitivity and Tobin’s Q: The Case of Advanced Emerging Markets in Latin America

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