Cost of equity of Internet stocks: A downside risk approach, The

Javier Estrada ()
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Javier Estrada: IESE Business School, Postal: Research Division, Av Pearson 21, 08034 Barcelona, SPAIN

No D/491, IESE Research Papers from IESE Business School

Abstract: Beta as a measure of risk has been under fire for many years. Although practitioners still widely use the CAPM to estimate the cost of equity of companies, they are aware of its problems and are looking for alternatives. One possible alternative is to estimate the cost of equity based on the semideviation, a well-known and intuitively plausible measure of downside risk. Complementing evidence reported elsewhere about the ability of the semideviation to explain the cross-section of returns in emerging markets and that of industries in emerging markets, this article reports results showing that the semideviation also explains the cross-section of Internet stock returns.

Keywords: downside risk; semideviation; asset pricing (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2003-02-14
New Economics Papers: this item is included in nep-cfn and nep-fmk
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