Does default probability matter in Latin American emerging markets?

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Date
2013Version
Acceso abierto / Sarbide irekia
Type
Artículo / Artikulua
Version
Versión aceptada / Onetsi den bertsioa
Impact
|
10.2753/REE1540-496X490504
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 ...
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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. [--]
Subject
Default probability,
Size,
Book to market,
Emerging markets
Publisher
Taylor & Francis
Published in
Emerging Markets Finance and Trade (2013), 49, 5, 63-81
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.
Departament
Universidad Pública de Navarra. Departamento de Gestión de Empresas /
Nafarroako Unibertsitate Publikoa. Enpresen Kudeaketa Saila
Publisher version
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).