search query: @indexterm CAPITAL ASSET PRICING / total: 356
reference: 19 / 356
| Author: | Koedijk, K. G. (et al.) |
| Title: | The cost of capital in international financial markets: local or global? |
| Journal: | Journal of International Money and Finance
2002 : NOV, VOL. 21:6, p. 905-929 |
| Index terms: | Capital asset pricing Financial markets Monetary integration |
| Language: | eng |
| Abstract: | The authors analyze to what extent international and domestic asset pricing models lead to a different estimate of the cost of capital for an individual firm under the maintained assumption of perfect international financial integration. They use a sample 3293 stocks from nine countries in the period 1980-1999. The domestic CAPM yields a significantly different estimate of thr cost of capital from the multifactor ICAPM for only five percent of the firms in the sample. |
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