The cost of equity of portuguese public firms : a downside risk approach
Autor(a) principal: | |
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Data de Publicação: | 2007 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/10009 |
Resumo: | The most important asset pricing models consider that an investor's utility function is completely defined by mean and variance, which requires the normality of the stock's return distribution (or that stock returns are not skewed). However, not all stocks or markets have normal returns (e.g.: emerging markets and small public firms). The higher-order moments of stock return distributions {such as skewness and kurtosis) are valued by investors and need to be incorporated in the asset pricing models. In this article we analyse the normality and symmetry of a sample of Portuguese stocks and estimate their cost of equity {or the investors' required return on equity) using several measures of downside risk. |
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The cost of equity of portuguese public firms : a downside risk approachAsymmetric ReturnsCost of EquityDownside Risk ModelsThe most important asset pricing models consider that an investor's utility function is completely defined by mean and variance, which requires the normality of the stock's return distribution (or that stock returns are not skewed). However, not all stocks or markets have normal returns (e.g.: emerging markets and small public firms). The higher-order moments of stock return distributions {such as skewness and kurtosis) are valued by investors and need to be incorporated in the asset pricing models. In this article we analyse the normality and symmetry of a sample of Portuguese stocks and estimate their cost of equity {or the investors' required return on equity) using several measures of downside risk.Instituto Superior de Economia e GestãoRepositório da Universidade de LisboaPereira, Ricardo2015-11-03T10:58:59Z20072007-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/10009engPereira, Ricardo (2007). "The cost of equity of portuguese public firms : a downside risk approach". Portuguese Journal of Management Studies, XII(1):7-26info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:40:23Zoai:www.repository.utl.pt:10400.5/10009Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:56:33.239428Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The cost of equity of portuguese public firms : a downside risk approach |
title |
The cost of equity of portuguese public firms : a downside risk approach |
spellingShingle |
The cost of equity of portuguese public firms : a downside risk approach Pereira, Ricardo Asymmetric Returns Cost of Equity Downside Risk Models |
title_short |
The cost of equity of portuguese public firms : a downside risk approach |
title_full |
The cost of equity of portuguese public firms : a downside risk approach |
title_fullStr |
The cost of equity of portuguese public firms : a downside risk approach |
title_full_unstemmed |
The cost of equity of portuguese public firms : a downside risk approach |
title_sort |
The cost of equity of portuguese public firms : a downside risk approach |
author |
Pereira, Ricardo |
author_facet |
Pereira, Ricardo |
author_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Pereira, Ricardo |
dc.subject.por.fl_str_mv |
Asymmetric Returns Cost of Equity Downside Risk Models |
topic |
Asymmetric Returns Cost of Equity Downside Risk Models |
description |
The most important asset pricing models consider that an investor's utility function is completely defined by mean and variance, which requires the normality of the stock's return distribution (or that stock returns are not skewed). However, not all stocks or markets have normal returns (e.g.: emerging markets and small public firms). The higher-order moments of stock return distributions {such as skewness and kurtosis) are valued by investors and need to be incorporated in the asset pricing models. In this article we analyse the normality and symmetry of a sample of Portuguese stocks and estimate their cost of equity {or the investors' required return on equity) using several measures of downside risk. |
publishDate |
2007 |
dc.date.none.fl_str_mv |
2007 2007-01-01T00:00:00Z 2015-11-03T10:58:59Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/10009 |
url |
http://hdl.handle.net/10400.5/10009 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Pereira, Ricardo (2007). "The cost of equity of portuguese public firms : a downside risk approach". Portuguese Journal of Management Studies, XII(1):7-26 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Instituto Superior de Economia e Gestão |
publisher.none.fl_str_mv |
Instituto Superior de Economia e Gestão |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799131047882915840 |