Does default probability matter in Latin American emerging markets?
Fecha
2013Versión
Acceso abierto / Sarbide irekia
Tipo
Artículo / Artikulua
Versión
Versión aceptada / Onetsi den bertsioa
Impacto
|
10.2753/REE1540-496X490504
Resumen
We analyse the impact of default probability in four leading Latin American stock markets (Argentina, Brazil, Chile and Mexico). We find no positive default risk premium except in the case of Brazil, and in fact find a negative risk premium for Argentina and Mexico. The latter effect tends to fade when the analysis accounts for size and BTM market variables. Although we find no size effect in any ...
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We analyse the impact of default probability in four leading Latin American stock markets (Argentina, Brazil, Chile and Mexico). We find no positive default risk premium except in the case of Brazil, and in fact find a negative risk premium for Argentina and Mexico. The latter effect tends to fade when the analysis accounts for size and BTM market variables. Although we find no size effect in any of the markets considered, the BTM effect is very strong in all of them, and our results reveal a consistent relationship, analogous to that found in more developed markets, between default probability and the size and book-to-market variables. [--]
Materias
Default probability,
Size,
Book to market,
Emerging markets
Editor
Taylor & Francis
Publicado en
Emerging Markets Finance and Trade (2013), 49, 5, 63-81
Notas
This is an accepted manuscript of an article published by Taylor & Francis in Emerging Markets Finance and Trade on 2014/12/7, available online: http://dx.doi.org/10.2753/REE1540-496X490504.
Departamento
Universidad Pública de Navarra. Departamento de Gestión de Empresas /
Nafarroako Unibertsitate Publikoa. Enpresen Kudeaketa Saila
Versión del editor
Entidades Financiadoras
This paper has received financial supp
ort from the Spanish Ministry of Science
and Innovation (ECO2009-12819) and the Ministry of Economy and Competitiveness
(ECO2012-35946-C02-01). Isabel Abinzano particularly acknowledges the financial support
of the Andalusian Regional Government (P09-SEJ-4467).