Artículos académicos Towards a deeper comprehension of unlevered betas in emerging markets: Gordon and a regression stock valuation model

Towards a deeper comprehension of unlevered betas in emerging markets: Gordon and a regression stock valuation model

Comparte este artículo en

Autoría

Año de publicación

2023

Palabras clave

Asset pricing; capital asset pricing model; emerging markets; levered betas; panel data multiple linear regression; perpetuity; stock valuation; stock valuation in emerging countries; unlevered betas; valuation models.

Título en español

Hacia una comprensión más profunda de las betas no apalancadas en los mercados emergentes: Gordon y un modelo de valoración de acciones de regresión

Unlevered betas determination in emerging markets remains a challenge because of the lack of formal tropicalised procedures. Replication of methods built for developed markets only generate biases. The study proposes a standardised procedure through the match of two asset pricing models in order to calculate unlevered betas more appropriately for a specific industry in an emerging market. The paper found that the model proposed permits a successful calculation of an unlevered beta which significantly correlates with the one estimated through the market line’s slope without recurring to any preconceived indicators from developed markets. Also, the CAPM is reconfirmed as an appropriate opportunity cost for valuation, but dismisses inflation and country risk as part of its composition. Additionally, the paper identifies the main challenges among unlevered betas’ calculation in emerging countries and proposes future research opportunities regarding this issue.

Pablo José Arana Barbier

Relacionados

Autoría: Kurt Johnny Burneo Farfán

Buscador