Does default probability matter in Latin American emerging markets?

Abinzano Guillén, María Isabel; Muga Caperos, Luis Fernando; Santamaría Aquilué, Rafael

Publication:
Does default probability matter in Latin American emerging markets?

dc.contributor.author	Abinzano Guillén, María Isabel
dc.contributor.author	Muga Caperos, Luis Fernando
dc.contributor.author	Santamaría Aquilué, Rafael
dc.contributor.department	Gestión de Empresas	es_ES
dc.contributor.department	Enpresen Kudeaketa	eu
dc.date.accessioned	2017-10-04T11:05:42Z
dc.date.available	2017-10-04T11:05:42Z
dc.date.issued	2013
dc.description	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.	en
dc.description.abstract	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.	en
dc.description.sponsorship	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).	en
dc.format.mimetype	application/pdf	en
dc.identifier.doi	10.2753/REE1540-496X490504
dc.identifier.issn	1540-496X (Print)
dc.identifier.issn	1558-0938 (Electronic)
dc.identifier.uri	https://academica-e.unavarra.es/handle/2454/25868
dc.language.iso	eng	en
dc.publisher	Taylor & Francis	en
dc.relation.ispartof	Emerging Markets Finance and Trade (2013), 49, 5, 63-81	en
dc.relation.projectID	info:eu-repo/grantAgreement/MINECO//ECO2012-35946-C02-01/ES/	en
dc.relation.projectID	info:eu-repo/grantAgreement/MICINN//ECO2009-12819-C03-01/ES/	en
dc.relation.publisherversion	https://dx.doi.org/10.2753/REE1540-496X490504
dc.rights.accessRights	Acceso abierto / Sarbide irekia	es
dc.rights.accessRights	info:eu-repo/semantics/openAccess	en
dc.subject	Default probability	en
dc.subject	Size	en
dc.subject	Book to market	en
dc.subject	Emerging markets	en
dc.title	Does default probability matter in Latin American emerging markets?	en
dc.type	Artículo / Artikulua	es
dc.type	info:eu-repo/semantics/article	en
dc.type.version	Versión aceptada / Onetsi den bertsioa	es
dc.type.version	info:eu-repo/semantics/acceptedVersion	en
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