Arouri, Mohamed El Hedi Rault, Christophe Sova, Robert Sova, Anamaria
Year of Publication:
CESifo Working Paper 4097
We contribute to the finance literature in two main ways. First, we present a theoretical capital asset pricing model (CAPM) to price assets in different market structures. Second, we use our model to analyze whether when markets are partially segmented using the local or the global CAPM yields significant errors in the estimation of the cost of capital for a sample of firms from developed and emerging countries.
finance international asset pricing firm's cost of capital segmentation