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Market Structure and the Cost of Capital

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  • Mohamed El Hedi Arouri
  • Christophe Rault
  • Robert Sova
  • Anamaria Sova

Abstract

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.

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File URL: http://www.cesifo-group.de/portal/page/portal/DocBase_Content/WP/WP-CESifo_Working_Papers/wp-cesifo-2013/wp-cesifo-2013-01/cesifo1_wp4097.pdf
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Bibliographic Info

Paper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 4097.

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Date of creation: 2013
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Handle: RePEc:ces:ceswps:_4097

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Keywords: finance; international asset pricing; firm’s cost of capital segmentation;

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