COST OF CAPITAL IN EMERGING MARKETS: A DOWNSIDE RISK EMPIRICAL APPROACH IN BRAZIL

Detalhes bibliográficos
Autor(a) principal: Xavier Fortunato, Graziela
Data de Publicação: 2009
Outros Autores: da Motta, Luiz Felipe Jacques, Russo, Giuseppe
Tipo de documento: Artigo
Idioma: por
Título da fonte: RAM. Revista de Administração Mackenzie
Texto Completo: https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325
Resumo: This article aims to test empirically the Estrada (2000) proposition for the firms that are part of the Ibovespa, evaluating whether for emerging markets there are systematic risk measures different of beta of the CAPM. Thus, it was tested the downside risk that picks up the negative part of the return. Besides the cross section data, it was used panel data, as an additional contribution to the work of Estrada (2000). The results do not confirm that the downside risk is an appropriate measure for the Brazilian market. Other risk measures presented better correlation to the return, enabling the calculus of the cost of capital with different value than the one obtained by the application of beta. According to Estrada (2000), the results suggest that the emerging markets are in the intermediate position between the integrated and segmented markets, such as confirmed for the Brazilian market.
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spelling COST OF CAPITAL IN EMERGING MARKETS: A DOWNSIDE RISK EMPIRICAL APPROACH IN BRAZILCusto de capital próprio em mercados emergentes: uma investigação empírica no Brasil com o Dowside RiskEmerging marketsReturnDownside riskCAPMCost of capital.This article aims to test empirically the Estrada (2000) proposition for the firms that are part of the Ibovespa, evaluating whether for emerging markets there are systematic risk measures different of beta of the CAPM. Thus, it was tested the downside risk that picks up the negative part of the return. Besides the cross section data, it was used panel data, as an additional contribution to the work of Estrada (2000). The results do not confirm that the downside risk is an appropriate measure for the Brazilian market. Other risk measures presented better correlation to the return, enabling the calculus of the cost of capital with different value than the one obtained by the application of beta. According to Estrada (2000), the results suggest that the emerging markets are in the intermediate position between the integrated and segmented markets, such as confirmed for the Brazilian market.Este artigo visa testar empiricamente a proposta de Estrada (2000) para as empresas que compõem o Ibovespa, avaliando se para mercados emergentes existem medidas de risco diferentes que beta do modelo CAPM. Desta forma, aplicamos o downside risk, que capta a parte negativa do retorno. Além de dados em cross section, utilizamos dados de painel, como contribuição adicional. Os resultados encontrados não confirmam a idéia de que o downside risk é uma medida mais adequada ao mercado brasileiro quando analisado a correlação entre risco e retorno. Outras medidas de risco tiveram correlação melhor com o retorno, permitindo calcular o custo de capital, com valor diferente daquele obtido pela aplicação do beta. De acordo com Estrada (2000), os resultados sugerem que os mercados emergentes estão situados entre os mercados integrados e segmentados, tal como confirmado ao mercado brasileiro.   Palavras-Chaves:  mercado emergente, retorno, downside risk, CAPM. Editora Mackenzie2009-11-02info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfapplication/vnd.ms-excelapplication/vnd.ms-excelapplication/vnd.ms-excelapplication/vnd.ms-excelapplication/vnd.ms-excelapplication/vnd.ms-excelapplication/vnd.ms-excelapplication/vnd.ms-excelapplication/vnd.ms-excelapplication/vnd.ms-excelapplication/vnd.ms-excelhttps://editorarevistas.mackenzie.br/index.php/RAM/article/view/325Revista de Administração Mackenzie; Vol. 11 No. 1 (2010)Revista de Administração Mackenzie; Vol. 11 Núm. 1 (2010)Revista de Administração Mackenzie (Mackenzie Management Review); v. 11 n. 1 (2010)1678-69711518-6776reponame:RAM. Revista de Administração Mackenzieinstname:Universidade Presbiteriana Mackenzie (MACKENZIE)instacron:MACKENZIEporhttps://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/1356https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/7896https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/7897https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/7898https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/7899https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/7900https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/7901https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/7902https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/7903https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/7904https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/7905https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/7906Copyright (c) 2015 Revista de Administração Mackenzieinfo:eu-repo/semantics/openAccessXavier Fortunato, Grazielada Motta, Luiz Felipe JacquesRusso, Giuseppe2011-01-18T14:43:18Zoai:ojs.editorarevistas.mackenzie.br:article/325Revistahttps://editorarevistas.mackenzie.br/index.php/RAM/PUBhttps://editorarevistas.mackenzie.br/index.php/RAM/oairevista.adm@mackenzie.br1678-69711518-6776opendoar:2011-01-18T14:43:18RAM. Revista de Administração Mackenzie - Universidade Presbiteriana Mackenzie (MACKENZIE)false
dc.title.none.fl_str_mv COST OF CAPITAL IN EMERGING MARKETS: A DOWNSIDE RISK EMPIRICAL APPROACH IN BRAZIL
Custo de capital próprio em mercados emergentes: uma investigação empírica no Brasil com o Dowside Risk
title COST OF CAPITAL IN EMERGING MARKETS: A DOWNSIDE RISK EMPIRICAL APPROACH IN BRAZIL
spellingShingle COST OF CAPITAL IN EMERGING MARKETS: A DOWNSIDE RISK EMPIRICAL APPROACH IN BRAZIL
Xavier Fortunato, Graziela
Emerging markets
Return
Downside risk
CAPM
Cost of capital.
title_short COST OF CAPITAL IN EMERGING MARKETS: A DOWNSIDE RISK EMPIRICAL APPROACH IN BRAZIL
title_full COST OF CAPITAL IN EMERGING MARKETS: A DOWNSIDE RISK EMPIRICAL APPROACH IN BRAZIL
title_fullStr COST OF CAPITAL IN EMERGING MARKETS: A DOWNSIDE RISK EMPIRICAL APPROACH IN BRAZIL
title_full_unstemmed COST OF CAPITAL IN EMERGING MARKETS: A DOWNSIDE RISK EMPIRICAL APPROACH IN BRAZIL
title_sort COST OF CAPITAL IN EMERGING MARKETS: A DOWNSIDE RISK EMPIRICAL APPROACH IN BRAZIL
author Xavier Fortunato, Graziela
author_facet Xavier Fortunato, Graziela
da Motta, Luiz Felipe Jacques
Russo, Giuseppe
author_role author
author2 da Motta, Luiz Felipe Jacques
Russo, Giuseppe
author2_role author
author
dc.contributor.author.fl_str_mv Xavier Fortunato, Graziela
da Motta, Luiz Felipe Jacques
Russo, Giuseppe
dc.subject.por.fl_str_mv Emerging markets
Return
Downside risk
CAPM
Cost of capital.
topic Emerging markets
Return
Downside risk
CAPM
Cost of capital.
description This article aims to test empirically the Estrada (2000) proposition for the firms that are part of the Ibovespa, evaluating whether for emerging markets there are systematic risk measures different of beta of the CAPM. Thus, it was tested the downside risk that picks up the negative part of the return. Besides the cross section data, it was used panel data, as an additional contribution to the work of Estrada (2000). The results do not confirm that the downside risk is an appropriate measure for the Brazilian market. Other risk measures presented better correlation to the return, enabling the calculus of the cost of capital with different value than the one obtained by the application of beta. According to Estrada (2000), the results suggest that the emerging markets are in the intermediate position between the integrated and segmented markets, such as confirmed for the Brazilian market.
publishDate 2009
dc.date.none.fl_str_mv 2009-11-02
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
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dc.identifier.uri.fl_str_mv https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325
url https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/1356
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/7896
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/7897
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/7898
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/7899
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/7900
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/7901
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/7902
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/7903
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/7904
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/7905
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/325/7906
dc.rights.driver.fl_str_mv Copyright (c) 2015 Revista de Administração Mackenzie
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2015 Revista de Administração Mackenzie
eu_rights_str_mv openAccess
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dc.publisher.none.fl_str_mv Editora Mackenzie
publisher.none.fl_str_mv Editora Mackenzie
dc.source.none.fl_str_mv Revista de Administração Mackenzie; Vol. 11 No. 1 (2010)
Revista de Administração Mackenzie; Vol. 11 Núm. 1 (2010)
Revista de Administração Mackenzie (Mackenzie Management Review); v. 11 n. 1 (2010)
1678-6971
1518-6776
reponame:RAM. Revista de Administração Mackenzie
instname:Universidade Presbiteriana Mackenzie (MACKENZIE)
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instname_str Universidade Presbiteriana Mackenzie (MACKENZIE)
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institution MACKENZIE
reponame_str RAM. Revista de Administração Mackenzie
collection RAM. Revista de Administração Mackenzie
repository.name.fl_str_mv RAM. Revista de Administração Mackenzie - Universidade Presbiteriana Mackenzie (MACKENZIE)
repository.mail.fl_str_mv revista.adm@mackenzie.br
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