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Market Structure and the Cost of Capital

  • Mohamed El Hedi Arouri

    ()

    (LEO - Laboratoire d'économie d'Orleans - CNRS : UMR6221 - Université d'Orléans)

  • Christophe Rault

    ()

    (LEO - Laboratoire d'économie d'Orleans - CNRS : UMR6221 - Université d'Orléans, EDHEC (Ecole des Hautes Etudes Commerciales) - EDHEC (Ecole des Hautes Etudes Commerciales))

  • Ana Maria Sova

    (CES - Sorbonne University, A.S.E and E.B.R.C)

  • Robert Sova

    (CES - Sorbonne University, A.S.E and E.B.R.C)

  • Frédéric Teulon

    (IPAG - Institut de Planétologie et d'Astrophysique de Grenoble - CNRS : UMR5274 - INSU - Université Joseph Fourier - Grenoble I - OSUG)

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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Paper provided by HAL in its series Working Papers with number hal-00798048.

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Date of creation: 07 Mar 2013
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Handle: RePEc:hal:wpaper:hal-00798048
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