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- W2913072218 abstract "In this paper we make two contributions to the empirical literature on asset pricing in emerging markets.First, we test the Fama and French three-factor model for a sample of 921 Latin American stocks over 1986-2004. Second, we elaborate a methodology to estimate the impact of firm-idiosyncratic variableson the excess returns not accounted for by CAPM. This methodology deals with potential estimator bias, non linearities and endogeneity problems usually found in the literature. Our main findings suggest that Fama and French factors (size and value premia) do not add significant explanatory power to CAPM regressions of Latin American stock (excess) returns, and that only to a limited extent are the market price-to-book value ratio, size and leverage significant determinants of these returns." @default.
- W2913072218 created "2019-02-21" @default.
- W2913072218 creator A5022894852 @default.
- W2913072218 date "2007-01-01" @default.
- W2913072218 modified "2023-10-16" @default.
- W2913072218 title "The Cost of Equity Beyond Capm: Evidence from Latin American Stocks (1986-2004)" @default.
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- W2913072218 doi "https://doi.org/10.2139/ssrn.967444" @default.
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