Abinzano Guillén, María IsabelMuga Caperos, Luis FernandoSantamaría Aquilué, Rafael2017-10-042017-10-0420131540-496X (Print)1558-0938 (Electronic)10.2753/REE1540-496X490504https://academica-e.unavarra.es/handle/2454/25868This 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.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.application/pdfengDefault probabilitySizeBook to marketEmerging marketsArtículo / ArtikuluaAcceso abierto / Sarbide irekiainfo:eu-repo/semantics/openAccess