Term Structure of Risk Factor Premiums Used for Pricing Asset: Emerging vs. Developed Markets

Sánchez, Mariano González

doi:10.1080/1540496x.2021.1873128

Cited by 3 publications

(1 citation statement)

References 54 publications

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“…The literature shows that cost of capital for companies in emerging countries is higher than that for companies in developed countries (González‐Sánchez, 2022; Narayan et al., 2014). This means that investments in emerging countries have to achieve higher returns to compensate for this extra financial cost.…”

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confidence: 99%

Comparison of the effects of earnings management on the financial cost between companies in developed and emerging European countries

Sánchez

Juan

Jiménez

2023

J Corp Accounting Finance

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Empirical studies found that earnings management (EM) explains firms’ cost of capital both in companies in emerging and developed countries, but until now, it has not been analyzed whether the effect of EM on the financial cost is different among emerging countries inside or outside an economic area (Eurozone). Our results show that the cost of debt and the idiosyncratic component of the cost of equity are related to discretionary accruals and abnormal values of operating cash‐flows, that the emerging country effect is more relevant on the cost of debt, that there is a Eurozone effect that makes discretionary accruals more relevant than abnormal values of operating cash‐flow and that firms in emerging countries inside the Eurozone benefit from a lower EM penalty on the cost of debt than firms in other emerging European countries.

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Section: Introductionmentioning

confidence: 99%

Comparison of the effects of earnings management on the financial cost between companies in developed and emerging European countries

Sánchez

Juan

Jiménez

2023

J Corp Accounting Finance

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انموذج تسعير الموجودات الرأسمالية Capm أطر نظرية وأدلة تجريبية

Majid

Iraqi

2023

Tikrit J. Admin. Econ. Sci.

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يهدف البحث إلى التعرف على أنموذج تسعير الموجودات الرأسمالية CAPM المعبر عنه بأنموذج العامل الواحد المتمثل بمعامل بيتا الذي يختص بالمخاطر النظامية، والذي له مكانته المميزة في سوق الاوراق المالية إذ يعد من أدوات التحليل التي تأخذ العلاقة بين العائد والمخاطرة في الأوراق المالية بنظر الاعتبار، وبالرغم من الانتقادات الموجهة إليه إلا أن الأنموذج يتمتع بالسهولة والبساطة والسرعة فإن هذه الميزات أبقت الأنموذج مستخدماً إلى اليوم وفي مجالات واسعة من قبل اغلب الاقتصاديين والماليين، فضلا عن ذلك يعرض البحث الادبيات المالية والاقتصادية التي تناولت موضوع الأنموذج، فضلاً عن مناقشة افتراضات الانموذج وتطور أنموذج Sharp وLintner فضلا عن ذلك سيتم عرض النماذج المطورة لأنموذج تسعير الموجودات الرأسمالية CAPM. توصل البحث إلى أن نموذج تسعير الموجودات الرأسمالية يعد أهم نموذج جاء في النظرية المالیة الحديثة، لكن الفرضيات التي قام علیها قللت من قیمته عند التطبیق العملي له.

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Asset pricing models in South Africa: A comparative of regression analysis and the Bayesian approach

Dwarika¹

2023

DSFE

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<abstract> <p>This study investigated the risk-return relationship using the Capital Asset Pricing Model (CAPM), Carhart four-factor Model (C4FM) and Fama and French Multifactor Models (FFMMs): F3FM and F5FM. This study analyzed the JSE ALSI returns of the South African market, in relation to the risk factors constructed by the data of twenty-six emerging markets, over the sample period from October 2000 to October 2021. The methodology employed was a comparison of the conventional regression analysis and novel Bayesian approach. Regression analysis estimated by Ordinary Least Squares (OLS) is one of the foremost methods used in South Africa. However, such an approach does not take into account the properties of the price data, namely, the asymmetric, volatile and random nature. While the Newey-West adjustment is one way to assist in capturing autocorrelation and volatility, it fails to consider asymmetry. The Bayesian approach accounts for all the aforementioned properties, overcoming the fundamental flaws of regression analysis. The additional model diagnostics highlighted in this study improved the Bayesian approach' robustness. The risk factors of the FFMMs estimated by regression analysis, with and without the Newey-West adjustment, were insignificant, whereas the Bayesian test results were significant. This finding clearly highlighted that model choice impacts the significance of parameter estimation and the financial decisions of investors, firms and policymakers. Jensen's alpha revealed CAPM to be optimal but none of the asset pricing models fully captured the risk premia. Thus, returns should be investigated with different risk measures for future research purposes.</p> </abstract>

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Term Structure of Risk Factor Premiums Used for Pricing Asset: Emerging vs. Developed Markets

Cited by 3 publications

References 54 publications

Comparison of the effects of earnings management on the financial cost between companies in developed and emerging European countries

Comparison of the effects of earnings management on the financial cost between companies in developed and emerging European countries

انموذج تسعير الموجودات الرأسمالية Capm أطر نظرية وأدلة تجريبية

Asset pricing models in South Africa: A comparative of regression analysis and the Bayesian approach

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