International Risk Premium
Mostrando 1-6 de 6 artigos, teses e dissertações.
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1. Arbitrage pricing theory in international markets / Teoria de apreçamento arbitragem aplicada a mercados internacionais
This dissertation studies the impact of multiple pre-specified sources of risk in the return of three non-overlapping groups of countries, through an Arbitrage Pricing Theory (APT) model. The groups are composed of emerging and developed markets. Emerging markets have become important players in the world economy, especially as capital receptors, but they we
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 05/09/2011
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2. A test of parity discovery of interest rates in Brazil pósreal / Um teste da paridade descoberta da taxa de juros no brasil pósreal
Da relação entre taxas de juros e câmbio decorre uma maior integração entre os mercados financeiros dos países. No caso do Brasil essa relação foi crescente devido principalmente à mudança do Regime cambial. Daí, o objetivo primeiro deste trabalho é testar a Paridade Descoberta da Taxa de Juros (PDJ) no Brasil no período que compreende os anos/m
Publicado em: 2009
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3. Estimativa do prêmio pelo risco país com a aplicação do modelo AEG / Brazilian country risk premium estimation applying the AEG valuation model
The increasing economic integration and capital mobility among countries lead investors to be more exposed to external risks. That grants relevance to the discussion on how to consider, in the cost of equitys estimation, premiums for additional risks of businesses performed in emergent markets. The existence of an additional risk in these markets is relative
Publicado em: 2008
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4. Cost of equity determination in emerging markets / Determinação do custo do capital próprio em mercados emergentes
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 thes
Publicado em: 2006
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5. O Seguro de Compromissos de Planos de Previdência Privada / Private Pension Plan Termination Insurance
This paper discusses the creation of an insurance mechanism for defined benefit pension plans in Brazil. A study of the international experience of insuring pensions emphasizes the difficulty of establishing a risk-based premium for this type of insurance. A proposal for the regulation of a private and voluntary insurance for defined benefit plans is Brazil
Publicado em: 24/11/2005
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6. FATORES EXTERNOS E O RISCO PAÍS / EXTERNAL FACTORS AND THE COUNTRY RISK
The globalization in the financial markets during the last decades brought the concept of country risk to the center of the discussion in international finance. The importance of country risk is related to the fact that, in a high capital mobility environment, it becomes a important determinant of the domestic interest rate. To understand the evolution of th
Publicado em: 2003