Market structure and the cost of capital

Arouri, Mohamed El Hédi; Rault, Christophe; Sova, Anamaria; Şova, Robert; Teulon, Frédèric

doi:10.1016/j.econmod.2013.01.004

Cited by 8 publications

(4 citation statements)

References 37 publications

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“…Several authors have studied asset pricing in a national and international setting, including the research of Bai and Green (2020), Buckberg (1995), De Santis andGerard (1997), Harshita et al (2015), Harvey (1991), Musawa et al (2020), Singh and Yadav (2015), Wang et al (2013) in which they talked about the importance of using the international version of CAPM for valuing the asset pricing models. Researcher's also focussed on the market structure of economies, whether the world market is segmented or integrated (Errunza & Miller, 2016;Errunza, Losq, & Padmanabhan, 1992;El Hedi Arouri, Rault, Sova, Sova, & Teulon, 2013;Patro, 2001;Pirinsky & Wang, 2011;Stulz, 1995;Thomadakis & Usmen, 1991). Cross-listing of shares is another important phenomenon in assessing the pricing of assets in an international setting.…”

Section: Conceptual Development Of Modelmentioning

confidence: 99%

“…(2013) in which they talked about the importance of using the international version of CAPM for valuing the asset pricing models. Researcher's also focussed on the market structure of economies, whether the world market is segmented or integrated (Errunza & Miller, 2016; Errunza, Losq, & Padmanabhan, 1992; El Hedi Arouri, Rault, Sova, Sova, & Teulon, 2013; Patro, 2001; Pirinsky & Wang, 2011; Stulz, 1995; Thomadakis & Usmen, 1991). Cross-listing of shares is another important phenomenon in assessing the pricing of assets in an international setting.…”

Section: Conceptual Development Of Modelmentioning

confidence: 99%

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Asset pricing in global scenario: a bibliometric analysis

Keshari

Gautam²

2022

IRJMS

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PurposeThis study aims to organise and present the development of asset pricing models in the international environment. The stock market integration and cross-listing lead us to another objective of bibliometric analysis for “International Asset Pricing” to provide a complete overview and give scope and directions for future research.Design/methodology/approachWeb of Science database is used to search with “International Asset Pricing.” Of 3,438 articles, 2,487 articles are selected for the final bibliometric analysis. Various research such as citation analysis, keyword analysis, author’s and corresponding author's analysis have been conducted.FindingsThe bibliometric analysis finds that the USA comes out to be the country where the maximum research was conducted on the topic. The keyword analysis was also analysed to evaluate the significant areas of the research. Risk, return and international asset pricing are the most frequently used keywords. The year 2020 has the maximum number of published research articles and citations due to the change in the market structure worldwide and the effect of Covid-19 across the world.Originality/valueThe present paper provides the collection, classification and comprehensive analysis of “International Asset pricing,” which may help the academicians, researchers and practitioners for future research for the relevant subject area.

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Section: Conceptual Development Of Modelmentioning

confidence: 99%

Section: Conceptual Development Of Modelmentioning

confidence: 99%

Asset pricing in global scenario: a bibliometric analysis

Keshari

Gautam²

2022

IRJMS

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“…Isso pode ser devido a duas razões: ou existem fatores de risco não sistemático no mercado que é avaliado, ou o CAPM é usado incorretamente como medida de risco sistemático. Assim, se a escolha for o CAPM, a seleção das variáveis adicionadas deve ser feita entre duas decisões: (i) qual o grau de integração entre o mercado financeiro local e o global e (ii) a confiabilidade e utilidade dos dados disponíveis do país alvo dos investimentos (STULZ, 1999;ESTRADA, 2000;PEREIRO, 2001;2002, p. 115;BARBOSA;MOTTA, 2004;AROURI et al, 2013). Elton et al (2004) classificam as hipóteses subjacentes do CAPM.…”

Section: Custo Do Capital Próprio (Ke)unclassified

Evidências empíricas das taxas de desconto na avaliação de empresas no Brasil

Cunha

Neto²,

Martins³

2018

R. Contemp. Contab.

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O objetivo da pesquisa é investigar e avaliar se, na média, as projeções das taxas de desconto feitas pelas empresas brasileiras, em laudos de avaliação, são aderentes ao longo do tempo ao realizado. Foram levantadas as projeções das variáveis (Ki; Ke e WACC) nos laudos de avaliação para Oferta Pública de Aquisição de Ações (OPAs) no período de 2005 a 2009, e comparadas às médias realizadas pelos setores (obtidas do banco de dados Instituto Assaf) ao longo de até dois períodos após o processo de avaliação. Para a realização dos testes das hipóteses estabelecidas foram realizados testes de médias, em amostras emparelhadas, com aplicação do teste paramétrico t_Student ou o teste não paramétrico de Wilcoxon. Os resultados demonstram, basicamente, que as médias das projeções em relação ao realizado, são aderentes, estatisticamente, para a variável: custo de capital médio ponderado (WACC). Por outro lado, as variáveis: custo de capital de terceiros (Ki) e custo de capital próprio (Ke), mostraram diferenças significativas das médias.

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“…They affect the asset prices in the foreign market, so an investment barrier exists, and the foreign market is not fully integrated (Patro, 2001). The linkages between the international financial markets provide substantial relief to the investors in the form of lower cost of capital (El Hedi Arouri et al, 2013) and the allocative efficiency of their capital. Still, it also imposes particular challenges in their legal, institutional, and cultural environment, which create difficulties quantifying the degree of integration and its impact on one financial market to another (Pirinsky & Wang, 2011).…”

Section: Introductionmentioning

confidence: 99%

Empirical Testing of Co-integration of International Financial Markets with Reference to India, the USA, Japan, and Hong Kong

Keshari

Gautam

2022

Jindal Journal of Business Research

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This article examines the co-integration among the financial markets of four countries (India, the USA, Japan, and Hong Kong) from April 2010 to May 2021. Using the Johansen co-integration test, we establish the integration between the stock markets of these countries. The test clearly shows that there exists long-run co-integration between these countries. Furthermore, we checked the relationship of one country with another by applying the multivariate Granger causality test, which shows the influence of the US market over the other countries. The results significantly show the existence of long-run co-integration and linkages between these financial markets. Applying the Vector error correction model and variance decomposition analysis for the period confirms the result obtained from multivariate Granger causality. As the study shows, the stock market of the countries is not entirely inter-linked. However, some tests provide the pairwise linkages but not when talking about all the nations together. That means the rise in one stock market does not necessarily impact the surge in other stock exchanges, which means investors can profit from diversifying between these stock exchanges. It provides the opportunity for portfolio diversification to investors. The study shows that “the international stock market is neither fully integrated nor completely segmented,” giving international diversification an opportunity. As in our study, the “U.S. market is the most exogenous,” and the Japanese market is relatively isolated from the other market, where the impact from the different markets is not that significant.

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Market structure and the cost of capital

Cited by 8 publications

References 37 publications

Asset pricing in global scenario: a bibliometric analysis

Asset pricing in global scenario: a bibliometric analysis

Evidências empíricas das taxas de desconto na avaliação de empresas no Brasil

Empirical Testing of Co-integration of International Financial Markets with Reference to India, the USA, Japan, and Hong Kong

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