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    Does default probability matter in Latin American emerging markets?

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    MS2012136Completo.pdf (348.8Kb)
    Date
    2013
    Author
    Abinzano Guillén, María Isabel Upna Orcid
    Muga Caperos, Luis Fernando Upna Orcid
    Santamaría Aquilué, Rafael Upna Orcid
    Version
    Acceso abierto / Sarbide irekia
    Type
    Artículo / Artikulua
    Version
    Versión aceptada / Onetsi den bertsioa
    Project Identifier
    ES/6PN/ECO2012-35946 
    ES/6PN/ECO2009-12819 
    Impact
     
     
     
    10.2753/REE1540-496X490504
     
     
     
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    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 ... [++]
    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
    https://dx.doi.org/10.2753/REE1540-496X490504
    URI
    https://hdl.handle.net/2454/25868
    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).
    Appears in Collections
    • Artículos de revista - Aldizkari artikuluak [4253]
    • Artículos de revista DGE - EKS Aldizkari artikuluak [215]
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