Country risk and the cost of equity in emerging markets

被引：5

作者：

Warnes, Ignacio ^{[1
]}

Warnes, Pablo E. ^{[1
]}

机构：

[1] Univ San Andres, Ciudad Autonoma Buenos Aires,25 Mayo 586,C1002 AB, Victoria, Buenos Aires, Argentina

来源：

JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT | 2014年 / 28卷

关键词：

Emerging markets; Equity returns; CAPM Country risk; Sovereign credit risk;

D O I：

10.1016/j.mulfin.2014.08.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We test whether the country risk variable is a significant risk factor in several CAPM based models of expected equity returns in Argentina, Brazil, Mexico, South Africa, Russia, Turkey and Venezuela. We also test the usual assumption that country risk can be added with a coefficient value of one. Only in Brazil and Mexico the risk premium associated with the country risk factor is significant. Adding country risk with a coefficient value of one is not generally valid and moreover, in Brazil and Mexico the risk premium for country risk takes a negative value. This shows that international investors may look for exposure to country risk. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：15 / 27

页数：13

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