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Market Structure and the Cost of Capital

Author

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  • Mohamed El Hedi Arouri

    (LEO - Laboratoire d'économie d'Orleans [2008-2011] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique)

  • Christophe Rault

    (LEO - Laboratoire d'économie d'Orleans [2008-2011] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique, EDHEC - EDHEC Business School - UCL - Université catholique de Lille)

  • Ana Maria Sova

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Robert Sova

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Frédéric Teulon

    (IPAG - Institut de Planétologie et d'Astrophysique de Grenoble - OSUG - Observatoire des Sciences de l'Univers de Grenoble - UJF - Université Joseph Fourier - Grenoble 1 - Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology - INSU - CNRS - Institut national des sciences de l'Univers - IRSTEA - Institut national de recherche en sciences et technologies pour l'environnement et l'agriculture - USMB [Université de Savoie] [Université de Chambéry] - Université Savoie Mont Blanc - CNRS - Centre National de la Recherche Scientifique - INSU - CNRS - Institut national des sciences de l'Univers - CNES - Centre National d'Études Spatiales [Toulouse] - CNRS - Centre National de la Recherche Scientifique)

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.

Suggested Citation

  • Mohamed El Hedi Arouri & Christophe Rault & Ana Maria Sova & Robert Sova & Frédéric Teulon, 2013. "Market Structure and the Cost of Capital," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00798048, HAL.
    • Handle: RePEc:hal:cesptp:hal-00798048
    Note: View the original document on HAL open archive server: https://hal.science/hal-00798048
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    References listed on IDEAS

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    Cited by:

    1. Aditya Keshari & Amit Gautam, 2022. "Empirical Testing of Co-integration of International Financial Markets with Reference to India, the USA, Japan, and Hong Kong," Jindal Journal of Business Research, , vol. 11(1), pages 34-43, June.
    2. repec:ipg:wpaper:2014-557 is not listed on IDEAS
    3. Ivan Petzev & Andreas Schrimpf & Alexander F. Wagner, 2015. "Has the Pricing of Stocks Become More Global?," Swiss Finance Institute Research Paper Series 15-48, Swiss Finance Institute, revised Apr 2016.
    4. repec:ipg:wpaper:2014-558 is not listed on IDEAS

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