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The Cost of Equity in Emerging Markets: A Downside Risk Approach
16 references·16 citing·43 second hopsampled
The Cost of Equity in Emerging Markets: A Downside Risk Approach (1999)The Cost of Equity in Emerging Markets: A…Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…GOLBALIZATION, CORPORATE FINANCE, AND THE COST OF CAPITAL (1999)GOLBALIZATION, CORPORATE FINA…Risk and Return Revisited (1997)Risk and Return RevisitedPolitical Risk, Economic Risk, and Financial Risk (1996)Political Risk, Economic Risk…Political Risk in Emerging and Developed Markets (1996)Political Risk in Emerging an…Expected Returns and Volatility in 135 Countries (1996)Expected Returns and Volatili…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Predictable Risk and Returns in Emerging Markets (1995)Predictable Risk and Returns …Portfolio Inefficiency and the Cross‐section of Expected Returns (1995)Portfolio Inefficiency and th…Market Integration and Investment Barriers in Emerging Equity Markets (1995)Market Integration and Invest…On the Cross-Sectional Relation between Expected Returns and Betas (1994)On the Cross-Sectional Relati…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Downside risk (1991)Downside riskAsset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence (1989)Asset Pricing in a Generalize…Capital market equilibrium in a mean-lower partial moment framework (1977)Capital market equilibrium in…Voluntary disclosure-cost of equity nexus and the moderating role of corporate governance: evidence from an extremely politically unstable context (2022)Voluntary disclosure-cost of …Does downside risk matter more in asset pricing? Evidence from China (2019)Does downside risk matter mor…Robust analysis for downside risk in portfolio management for a volatile stock market (2014)Robust analysis for downside …Liquidity and Return Relationships in an Emerging Market (2014)Liquidity and Return Relation…Influence of Financial Literacy on Management of Personal Finances in a Young Household (2014)Influence of Financial Litera…110 Common Errors in Company Valuations (2013)110 Common Errors in Company …A wavelet-based assessment of market risk: The emerging markets case (2012)A wavelet-based assessment of…Figuring what’s fair: The cost of equity capital for renewable energy in emerging markets (2010)Figuring what’s fair: The cos…Measuring the cost of equity in African financial markets (2006)Measuring the cost of equity …The practice of investment valuation in emerging markets: Evidence from Argentina (2005)The practice of investment va…Risk and return in emerging markets: Family matters (2005)Risk and return in emerging m…Portfolio allocations and the emerging equity markets of Central Europe (2005)Portfolio allocations and the…The Discount Rate in Emerging Markets: A Guide (2004)The Discount Rate in Emerging…The equity risk premium: emerging vs. developed markets (2003)The equity risk premium: emer…The Term Structure of Country Risk and Valuation in Emerging Markets (2002)The Term Structure of Country…The valuation of closely-held companies in Latin America (2001)The valuation of closely-held…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Gain, Loss, and Asset Pricing (2000)ESG shareholder engagement and downside risk (2023)A Survey of Corporate Governance (1997)Corporate Ownership Around the World (1999)Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets (2001)What matters for financial development? Capital controls, institutions, and interactions (2005)International Differences in the Cost of Equity Capital: Do Legal Institutions and Securities Regulation Matter? (2006)International Portfolio Choice and Corporation Finance: A Synthesis (1983)The World Price of Covariance Risk (1991)The Risk and Predictability of International Equity Returns (1993)Time-Varying World Market Integration (1995)Stock Market Openings: Experience of Emerging Economies (2000)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)… and the Cross-Section of Expected Returns (2015)Risk, Return, and Equilibrium: Empirical Tests (1973)Emerging equity markets and economic development (2001)Global Capital and National Governments (2001)What Segments Equity Markets? (2011)The financial analysts journal (1960)The journal of financial economics (1993)Learning to trade via direct reinforcement (2001)Does the choice of performance measure influence the evaluation of hedge funds? (2007)Blind to carbon risk? An analysis of stock market reaction to the Paris Agreement (2020)The arbitrage theory of capital asset pricing (1976)Local Return Factors and Turnover in Emerging Stock Markets (1999)A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)Political connections and the cost of equity capital (2012)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)International Asset Allocation With Regime Shifts (2002)Does financial liberalization spur growth? (2005)On the Impossibility of Informationally Efficient Markets (1980)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)Asymmetric correlations of equity portfolios (2002)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 2000Foreign Speculators and Emerging Equity Markets1,868 cited
  • 1999GOLBALIZATION, CORPORATE FINANCE, AND THE COST OF CAPITAL1,264 cited
  • 1995Predictable Risk and Returns in Emerging Markets982 cited
  • 1977Capital market equilibrium in a mean-lower partial moment framework821 cited
  • 1996Political Risk, Economic Risk, and Financial Risk619 cited
  • 1991Downside risk604 cited
  • 1995Market Integration and Investment Barriers in Emerging Equity Markets600 cited
  • 1989Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence480 cited
  • 1994On the Cross-Sectional Relation between Expected Returns and Betas408 cited
  • 1996Expected Returns and Volatility in 135 Countries346 cited
  • 1996Political Risk in Emerging and Developed Markets300 cited
  • 1997Risk and Return Revisited258 cited
  • 1995Portfolio Inefficiency and the Cross‐section of Expected Returns

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249 cited

Cited by

  • 2003The equity risk premium: emerging vs. developed markets114 cited
  • 2001The valuation of closely-held companies in Latin America96 cited
  • 2014Liquidity and Return Relationships in an Emerging Market94 cited
  • 2005The practice of investment valuation in emerging markets: Evidence from Argentina80 cited
  • 2012A wavelet-based assessment of market risk: The emerging markets case70 cited
  • 2005Risk and return in emerging markets: Family matters61 cited
  • 2010Figuring what’s fair: The cost of equity capital for renewable energy in emerging markets54 cited
  • 2006Measuring the cost of equity in African financial markets49 cited
  • 2014Influence of Financial Literacy on Management of Personal Finances in a Young Household42 cited
  • 2013110 Common Errors in Company Valuations42 cited
  • 2002The Term Structure of Country Risk and Valuation in Emerging Markets39 cited
  • 2019Does downside risk matter more in asset pricing? Evidence from China38 cited
  • 2004The Discount Rate in Emerging Markets: A Guide37 cited
  • 2005Portfolio allocations and the emerging equity markets of Central Europe37 cited
  • 2022Voluntary disclosure-cost of equity nexus and the moderating role of corporate governance: evidence from an extremely politically unstable context35 cited
  • 2014Robust analysis for downside risk in portfolio management for a volatile stock market35 cited