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Valuing emerging markets companies: New approaches to determine the effective exposure to country risk

Oliviero Roggi, Alessandro Giannozzi and Tommaso Baglioni

Research in International Business and Finance, 2017, vol. 39, issue PA, 553-567

Abstract: The aim of the paper is to propose new measures of the effective country risk exposure for companies operating in emerging markets. In particular, we propose seven new approaches and a revised CAPM for emerging markets. We classified the new approaches into “Forward-looking” and “Historical” measures, with the former measures based on growth estimates, and the latter based on the historical growth.

Keywords: Emerging markets; Cost of equity; Country risk premium; Lambda; Company effective risk premium; Company actual risk premium (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:39:y:2017:i:pa:p:553-567

DOI: 10.1016/j.ribaf.2016.07.028

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