Portuguese average cost of capital

Detalhes bibliográficos
Autor(a) principal: Costa, J. C. Rodrigues da
Data de Publicação: 2009
Outros Autores: Mata, Maria Eugénia, Justino, D.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/11571
Resumo: The oldest Portuguese share index still being calculated is the BVL/PSI-General, one which started the daily series on 5/Jan/1988 with a base value of 1000 points. Everyday a single value is computed based on the closing prices of all the shares included in the sample. Also, all corporate events affecting the price of any share beyond market sentiment are taken into account through proper adjustments, either in the numerator or the denominator of the formula. However, for dates before January 1988, there is nothing comparable to this index since the two different series known either never disclosed the methodology adopted to calculate the index or followed solutions not compatible with the above index. The present paper explains the solutions adopted to replicate as closely as possible the methodology of the BVL-General index to the main market of the Lisbon Exchange for the period 1978 – 1987. This is the first estimate of the historical Equity Risk Premium in Portugal above short-term risk-free rate from the re-opening of the market following the Carnation Revolution (and the accompanying nationalizations), to the present. In showing a value of the same order of magnitude found in other countries, the paper invites further studies on the effects of political decisions such as privatizations and joining the European Union.
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spelling Portuguese average cost of capitalThe oldest Portuguese share index still being calculated is the BVL/PSI-General, one which started the daily series on 5/Jan/1988 with a base value of 1000 points. Everyday a single value is computed based on the closing prices of all the shares included in the sample. Also, all corporate events affecting the price of any share beyond market sentiment are taken into account through proper adjustments, either in the numerator or the denominator of the formula. However, for dates before January 1988, there is nothing comparable to this index since the two different series known either never disclosed the methodology adopted to calculate the index or followed solutions not compatible with the above index. The present paper explains the solutions adopted to replicate as closely as possible the methodology of the BVL-General index to the main market of the Lisbon Exchange for the period 1978 – 1987. This is the first estimate of the historical Equity Risk Premium in Portugal above short-term risk-free rate from the re-opening of the market following the Carnation Revolution (and the accompanying nationalizations), to the present. In showing a value of the same order of magnitude found in other countries, the paper invites further studies on the effects of political decisions such as privatizations and joining the European Union.Nova SBERUNCosta, J. C. Rodrigues daMata, Maria EugéniaJustino, D.2014-03-13T10:59:09Z2009-072009-07-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10362/11571enginfo: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:RCAAP2024-03-11T03:46:06Zoai:run.unl.pt:10362/11571Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:20:23.638631Repositório 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 Portuguese average cost of capital
title Portuguese average cost of capital
spellingShingle Portuguese average cost of capital
Costa, J. C. Rodrigues da
title_short Portuguese average cost of capital
title_full Portuguese average cost of capital
title_fullStr Portuguese average cost of capital
title_full_unstemmed Portuguese average cost of capital
title_sort Portuguese average cost of capital
author Costa, J. C. Rodrigues da
author_facet Costa, J. C. Rodrigues da
Mata, Maria Eugénia
Justino, D.
author_role author
author2 Mata, Maria Eugénia
Justino, D.
author2_role author
author
dc.contributor.none.fl_str_mv RUN
dc.contributor.author.fl_str_mv Costa, J. C. Rodrigues da
Mata, Maria Eugénia
Justino, D.
description The oldest Portuguese share index still being calculated is the BVL/PSI-General, one which started the daily series on 5/Jan/1988 with a base value of 1000 points. Everyday a single value is computed based on the closing prices of all the shares included in the sample. Also, all corporate events affecting the price of any share beyond market sentiment are taken into account through proper adjustments, either in the numerator or the denominator of the formula. However, for dates before January 1988, there is nothing comparable to this index since the two different series known either never disclosed the methodology adopted to calculate the index or followed solutions not compatible with the above index. The present paper explains the solutions adopted to replicate as closely as possible the methodology of the BVL-General index to the main market of the Lisbon Exchange for the period 1978 – 1987. This is the first estimate of the historical Equity Risk Premium in Portugal above short-term risk-free rate from the re-opening of the market following the Carnation Revolution (and the accompanying nationalizations), to the present. In showing a value of the same order of magnitude found in other countries, the paper invites further studies on the effects of political decisions such as privatizations and joining the European Union.
publishDate 2009
dc.date.none.fl_str_mv 2009-07
2009-07-01T00:00:00Z
2014-03-13T10:59:09Z
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