Cost of equity determination in emerging markets / Determinação do custo do capital próprio em mercados emergentes

AUTOR(ES)
DATA DE PUBLICAÇÃO

2006

RESUMO

The objective of this paper is to investigate if the Brazilian stock market is partially or totally integrated to other emerging markets. In order to do so, we tested if the following CAPM models are adequate to price stocks: local CAPM, integrated or partially integrated. Our sample includes only the more liquidity stocks of companies with ADR, because these stocks are considered to be more attractive to internationally diversified investors. We found evidences that the local and partially integrated CAPM work fine in the selected stocks, but the totally integrated CAPM does not work in pricing Brazilian stocks. A possible interpretation is that at least a good part of the investors that choose the selected stocks are diversified in other emerging markets

ASSUNTO(S)

capm internacional market integration economia local capm integração parcial partial integration capm local international risk premium prêmio pelo risco de mercado internacional prêmio pelo risco local international capm local risk premium integração de mercados

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