عنوان مقاله
ساختار بازار و هزینه و ارزش سرمایه
فهرست مطالب
چکیده
مقدمه
ساختار بازار و قیمت گذاری دارایی
هزینه اختلاف سرمایه
نتیجه گیری
بخشی از مقاله
ساختار بازار و قیمت گذاری دارایی
نخست فرضیه خود را معرفی می کنیم. سپس CAPM جهانی کلاسیک در مورد بازارهای کاملا یکپارچه را مشتق خواهیم کرد. در این خصوص، فرض بر این است که سرمایه گذاران به صورت همگن عمل می کنند و قادر به حفظ هر دارایی در بازار هستند. از نظر تعادل این دارایی ها بسیار مشابه می باشند. آن ها ثروت خود را بین دارایی عاری از ریسک و ساختار بازاری حاوی همه دارایی های ریسکی تقسیم می کنند. سوما محدودیت هایی روی همه انتخاب های سرمایه گذاران اعمال کرده و اثرات آن بر روی رابطه قیمت گذاری تعادل را بررسی می کنیم. در این زمینه نشان می دهیم که ساختار بازار جهانی موجود کارامد نمی باشد و CAPM جهانی در نظر گرفته نمی شود.
کلمات کلیدی:
Market structure and the cost of capital Mohamed El Hedi Arouri a, ⁎, Christophe Rault b , Anamaria Sova c , Robert Sova d , Frédéric Teulon e a EDHEC Business School, France b Toulouse Business School, France c E.B.R.C, Romania d Bucharest University of Economic Studies, Romania e IPAG Business School, IPAG LAB, France article info abstract Article history: Accepted 2 January 2013 Available online xxxx JEL classification: G15 F36 C32 Keywords: Finance International asset pricing Firm's cost of capital Segmentation 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. © 2013 Elsevier B.V. All rights reserved. 1. Introduction In recent years, both developed and emerging capital markets have experienced numerous changes including removal of investment barriers, economic reforms, introduction of country funds and depository receipts (DRs) as well as other financial innovations. One of the aims of these changes is to develop financially integrated stock markets which should lead to a lower cost of capital, greater investment opportunities, and higher savings and growth made possible by international risk sharing (Carrieri et al., 2007; Stulz, 1999). The same period has known a succession of severe crises of different origins and effects: the 1997–1998 Asian crisis, the 2001 US recession, the 2007–2009 global crisis. These changes have increased the exposure of national markets to global risk factors as well as their degree of integration into the world market. However, since today's national markets are neither perfectly integrated nor strictly segmented markets (Arouri et al., 2012; Bekaert and Harvey, 1995; Carrieri et al., 2007). Investigating the effects of these integrating changes on the international risk-return trade-off and cost of capital of firms is crucial for rational decision-making and capital budgeting. In this paper, we present an international capital asset pricing model (CAPM) for partially segmented stock markets and use it to assess, under the hypothesis of partial segmentation, the pricing errors made by investors who use domestic or global asset pricing models to price assets and compute the cost of capital of firms.
