Mostrar el registro sencillo del ítem

The application of proxy methods for estimating the cost of equity for unlisted companies : evidence from listed firms

dc.contributor.authorSarmiento Sabogal, Julio Alejandrospa
dc.contributor.authorSadeghi, Mehdispa
dc.contributor.authorSandoval, Juan S.spa
dc.contributor.authorCayón Fallon, Edgardospa
dc.date.accessioned2023-06-21T22:23:01Z
dc.date.available2023-06-21T22:23:01Z
dc.date.issued2021-03-13
dc.identifier.issn0924-865x
dc.identifier.urihttp://hdl.handle.net/10726/5055
dc.language.isoeng
dc.publisherSpringer New York LLC
dc.subjectUnlisted companies
dc.subjectCost of equity
dc.subjectAccounting betas
dc.subjectUnlevered betas
dc.subjectOperational betas
dc.subjectTwo beta decomposition model
dc.titleThe application of proxy methods for estimating the cost of equity for unlisted companies : evidence from listed firmseng
dc.typearticle
dc.rights.accessrightsinfo:eu-repo/semantics/restrictedAccess
dc.rights.localAcceso Restringido
dc.type.versioninfo:eu-repo/semantics/acceptedVersion
dc.identifier.instnameinstname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponamereponame:Biblioteca Digital – CESA
dc.identifier.repourlrepourl:https://repository.cesa.edu.co/
dc.description.abstractenglishThe Campbell and Vuolteenaho (Am Econ Rev 94(5):1249–1275, 2004) two–beta model decomposes the systematic risk in the sensitivity of cash flow and discount rate change. We employed this model, which we call the Two Beta Decomposition Model (TBDM) and found that this model is useful to compute the cost of capital for unlisted companies (UCs) via a proxy from listed companies. This model includes not only the accounting return reaction to long-term changes in consumption, but also links fundamental reactions to temporal changes in risk aversion. We test this model along with three traditional alternatives that are potentially useful in computing the cost of equity for UCs: accounting betas (AB), unlevered betas (UB), and operational betas (OB). Our results show that AB, UB and TBDM can partially explain the cross-sectional variations of stock returns. Additionally, using a series of non-parametric ranking test along with several statistics of goodness of fit, we found that the TBDM is the model that produces the best fit among competing models followed by the UB which is currently the most used among proxy methods.eng
dc.type.coarhttp://purl.org/coar/resource_type/c_2df8fbb1
dc.relation.citationvolume57
dc.relation.citationissue3
dc.relation.citationstartpage1009
dc.relation.citationendpage1031
dc.contributor.orcidSarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]
dc.contributor.orcidSadeghi, Mehdi [0000-0003-2042-185X]
dc.contributor.orcidSandoval, Juan S. [0000-0003-3773-3606]
dc.contributor.orcidCayón Fallon, Edgardo [0000-0002-4113-5521]
dc.type.driverinfo:eu-repo/semantics/article
dc.type.redcolhttp://purl.org/redcol/resource_type/ART
dc.type.coarversionhttp://purl.org/coar/version/c_71e4c1898caa6e32
dc.contributor.scopusSarmiento Sabogal, Julio Alejandro [57196465468]
dc.contributor.scopusSadeghi, Mehdi [7662096700]
dc.contributor.scopusSandoval, Juan S. [57196467374]
dc.contributor.scopusCayón Fallon, Edgardo [56395390800]
dc.description.orcidhttps://orcid.org/0000-0001-5986-4813
dc.description.orcidhttps://orcid.org/0000-0003-2042-185X
dc.description.orcidhttps://orcid.org/0000-0003-3773-3606
dc.description.orcidhttps://orcid.org/0000-0002-4113-5521
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=57196465468
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=37662096700
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=57196467374
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=56395390800
dc.identifier.eissn1573-7179
dc.relation.ispartofjournalReview of Quantitative Finance and Accounting
dc.identifier.doihttps://doi.org/10.1007/s11156-021-00968-3
dc.rights.coarhttp://vocabularies.coar-repositories.org/access_rights/c_16ec/


Ficheros en el ítem

FicherosTamañoFormatoVer

No hay ficheros asociados a este ítem.

Este ítem aparece en la(s) siguiente(s) colección(ones)

Mostrar el registro sencillo del ítem