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来源类型Discussion paper
规范类型论文
来源IDDP11831
DP11831 The World We Live In: Local or Global?
Kees Koedijk; Ronald Mahieu
发表日期2017-02-06
出版年2017
语种英语
摘要In this paper, we document economically and statistically large differences in the cost of equity by comparing an international CAPM to a domestic CAPM. We consider fifteen countries over a nearly twenty-year period (1996 – 2015). While the application of the international version of the CAPM in cases where an international market index is used as a pricing factor would seem justified by increased capital market integration, the empirical evidence on this has been inconclusive to date. We found that the average difference in the cost of equity between the models was equal to 0.77%, which represents about 20% of the historical risk premium. Moreover, for almost 20% of the companies, this difference in cost of equity is also statistically significant. For these companies the difference in cost of equity is equal to 1.49%. We therefore conclude that the ICAPM is increasingly becoming the relevant model for cost of equity calculations.
主题Financial Economics
关键词Capm Cost of equity International capital markets International capm
URLhttps://cepr.org/publications/dp11831
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/540644
推荐引用方式
GB/T 7714
Kees Koedijk,Ronald Mahieu. DP11831 The World We Live In: Local or Global?. 2017.
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