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Cost of equity of Internet stocks: A downside risk approach, The

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  • Estrada, Javier

    () (IESE Business School)

Abstract

Beta as a measure of risk has been under fire for many years. Although practitioners still widely use the CAPM to estimate the cost of equity of companies, they are aware of its problems and are looking for alternatives. One possible alternative is to estimate the cost of equity based on the semideviation, a well-known and intuitively plausible measure of downside risk. Complementing evidence reported elsewhere about the ability of the semideviation to explain the cross-section of returns in emerging markets and that of industries in emerging markets, this article reports results showing that the semideviation also explains the cross-section of Internet stock returns.

Suggested Citation

  • Estrada, Javier, 2003. "Cost of equity of Internet stocks: A downside risk approach, The," IESE Research Papers D/491, IESE Business School.
  • Handle: RePEc:ebg:iesewp:d-0491
    as

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    References listed on IDEAS

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    More about this item

    Keywords

    downside risk; semideviation; asset pricing;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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