Market structure and the cost of capital

Arbeitspapier

We contribute to the finance literature in two main ways. First, we present a theoretical capital asset pricing model (CAPM) to price assets in different market structures. Second, we use our model to analyze whether when markets are partially segmented using the local or the global CAPM yields significant errors in the estimation of the cost of capital for a sample of firms from developed and emerging countries.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: CESifo Working Paper ; No. 4097

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Financial Aspects of Economic Integration ; International Financial Markets
• Subject: finance ; international asset pricing ; firm's cost of capital segmentation ; Kapitalkosten ; Capital Asset Pricing Model ; International ; Finanzmarkt ; Marktstruktur ; Marktsegmentierung ; Theorie ; Industriestaaten ; Schwellenländer

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Arouri, Mohamed El Hedi ; Rault, Christophe ; Sova, Robert ; Sova, Anamaria
• Event: Veröffentlichung
• (who): Center for Economic Studies and ifo Institute (CESifo)
• (where): Munich
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/69578
• Last update: 10.03.2025, 11:44 AM CET