scholarly journals THE SUBCULTURE OF SHADOW ECONOMY AND ITS IMPACT ON THE COST OF EQUITY OF ENTERPRISES AT EMERGING MARKETS

2020 ◽  
Vol 1 (32) ◽  
pp. 382-393
Author(s):  
O. О. Tereshchenko ◽  
N. D. Babiak
Keyword(s):  
Emerging Markets ◽  
Shadow Economy ◽  
Cost Of Equity ◽  
The Cost

Comparative analyses of mean-variance and mean-semivariance approaches on global and local single factor market model for developed and emerging markets

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mehmet Emin Yildiz ◽  
Yaman Omer Erzurumlu ◽  
Bora Kurtulus
Keyword(s):  
Emerging Markets ◽  
Stock Returns ◽  
Risk Measures ◽  
Emerging Market ◽  
Cost Of Equity ◽  
Content Type ◽  
The Cost ◽  
Global And Local ◽  
Insight Into ◽  
Better Than

PurposeThe beta coefficient used for the cost of equity calculation is at the heart of the valuation process. This study conducts comparative analyses of the classical capital asset pricing model (CAPM) and downside CAPM risk parameters to gain further insight into which risk parameter leads to better performing risk measures at explaining stock returns.Design/methodology/approachThe study conducts a comparative analysis of 16 risk measures at explaining the stock returns of 4531 companies of 20 developed and 25 emerging market index for 2000–2018. The analyses are conducted using both the global and local indices and both USD and local currency returns. Calculated risk measures are analyzed in a panel data setup using a univariate model. Results are investigated in country-specific and model-specific subsets.FindingsThe results show that (1) downside betas are better than CAPM betas at explaining the stock returns, (2) both risk measure groups perform better for emerging markets, (3) global downside beta model performs better than global beta model, implying the existence of the contagion effect, (4) high significance levels of total risk and unsystematic risk measures further support the shortfall of CAPM betas and (5) higher correlation of markets after negative shocks such as pandemics puts global CAPM based downside beta to a more reliable position.Research limitations/implicationsThe data are limited to the index securities as beta could be time varying.Practical implicationsResults overall provide insight into the cost of equity calculation and emerging market assets valuation.Originality/valueThe framework and methodology enable us to compare and contrast CAPM and downside-CAPM risk measures at the firm level, at the global/local level and in terms of the level of market development.

scholarly journals The Impact Of Intellectual Capital On Companies’ Performance: Evidence From Emerging Markets

2014 ◽  
Vol 8 (4) ◽  
pp. 46-66 ◽  
Author(s):  
D. S. Ilyin
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Intellectual Capital ◽  
Financial Economic ◽  
Positive Influence ◽  
Three Dimensions ◽  
Cost Of Equity ◽  
Stock Market Performance ◽  
The Cost ◽  
The Impact

The current study is devoted to the investigation of the impact of intellectual capital on the company’s performance with the evidence from the BRICS group. Due to its unobservable and intangible nature, intellectual capital (IC) has a number of proxies. In this paper IC is approximated by a new method, proposed by Sydler et al. (2014) as well as by more traditional VAIC approach. According to Zeghal and Maaloul’s (2010) approach, company’s performance is segmented into three dimensions: financial, economic and stock market performance. Applying econometric analysis it is found that IC has a positive and significant impact on the performance of a firm. Furthermore, IC has a positive influence on operational margin and it reduced the cost of equity for IC intensive companies. Comparing the two proxies, it was revealed that Sydler’s proxy is more relevant for stock market analysis since it directly estimates the volume of IC of a firm, while VAIC is a relative scale less measure of efficiency of the IC employment and is more closely related to the company’s efficiency rates, such as operational margin. The obtained results suggest that IC intensive firms on emerging markets invest mostly in improving its operational efficiency and reducing operational and competition risk.

The cost of equity estimation in emerging Europe: the case of Bulgarian REITs

2015 ◽  
Vol 33 (6) ◽  
pp. 517-529 ◽  
Author(s):  
Nigokhos Krikorov Kanaryan ◽  
Peter Chuknyisky ◽  
Violeta Kasarova
Keyword(s):  
Emerging Markets ◽  
Factor Model ◽  
Objective Measure ◽  
Country Risk ◽  
Time Varying ◽  
Cost Of Equity ◽  
Content Type ◽  
Investment Bankers ◽  
Proposed Model ◽  
The Cost

Purpose – The International Valuations Standards Committee adopts the Capital Asset Pricing Model as a method for estimation of the cost of equity. It has several drawbacks and appraisers in emerging markets need more useful model for cost of equity estimation. The paper aims to discuss these issues. Design/methodology/approach – The proposed model is a modification of the Salomon Smith Barney model for cost of capital determination. The econometric part of the model incorporates the non-synchronous effect, the thin trading effect, the time varying risk nature, and the systematic country risk. Findings – The model estimates the cost of equity of Bulgarian REITs more accurate than the one, who uses the traditional β estimation. Practical implications – The study provides appraisers, business consultants, and investment bankers with a consistent model for cost of equity estimation. The model incorporates most of the features of emerging markets REITs return series and avoids the weaknesses of the single-factor model for cost of equity estimation in emerging markets. Originality/value – The proposed model reflects the following characteristics: the degree of diversification of the particular investor (imperfectly diversified); country risk; and time-varying risk nature. The political risk is incorporated by more objective measure of the systematic country risk.

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