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O presente trabalho enquadra-se na problemática da estimação do Equity risk premium (ERP), tendo como principal objetivo identificar os problemas e analisar os modelos existentes para a estimação do ERP em países com elevado risco, bem como proceder à sua estimação. Para tal, recolheram-se dados de cinco países emergentes (Africa do Sul, Brasil, China, Índia e Rússia) e quatro países de fronteira (Croácia, Marrocos, Nigéria e Quénia) para o período entre 2002 e 2013. Tal permitiu analisar uma amostra de 923 e 178 empresas do setor não financeiro para países emergentes e de fronteira, respetivamente.
É utlizado o conceito de Expected Equity Premium tal como definido por Fernandez (2013) e tem-se subjacente modelos de regressão para dados em painel (Pooled OLS e Fixed Effect Models), tal como utilizados por Aggarwal e Goodell (2008). Com base no teste de Hausman, conclui-se que existem caracteristicas individuais que influenciam os regressores do modelo em países de fronteira, o mesmo não acontecendo para países emergentes.
Os resultados evidenciam uma relação positiva entre o ERP e os rácios de avaliação. Quanto às variáveis macroeconomicas, foi encontrada uma relação positiva entre o ERP e a taxa de inflação, o term spread, a volatilidade das taxas de câmbio e a taxa de crescimento do consumo, e uma relação negativa face à taxa de crescimento do PIB. No que respeita ao risco país, os resultados mostram uma relação negativa entre o ERP e o risco de default. Finalmente, não foi encontrada evidência quanto a um impacto significativo da variável book to market ratio no ERP para em nenhum dos modelos estimados.
This work is studies the problem of estimating the equity risk premium (ERP), with the primary aim of identifying and analyzing existing models to estimate the ERP in countries with high risk, as well as providing their estimation. To do this, data was collected from five emerging countries (South Africa, Brazil, China, Índia and Russia) and four frontier countries (Croatia, Morocco, Nigéria and Kenya) for the period between 2002 and 2013. This allowed to analyze a sample of 923 and 178 non-financial companies belonging to emerging and frontier countries, respectively. Based on the Expected Equity Premium concept defined by Fernandez (2013), this paper uses panel data regression models (Pooled OLS and Fixed Effect Models) as Aggarwal and Goodell (2008). From Hausman test we found that while there are individual characteristics that influence the regressors of the model for frontier countries, that is not the case for emerging countries. Our findings show a positive relationship between ERP and the valuation ratios. Regarding macroeconomic variables, there is a positive relationship between ERP and the inflation rate, the term spread, the volatility of exchange rates and the consumption growth rate. On the contrary, a negative relationship between the GDP growth rate and the ERP is found. Looking to the country risk, a negative relationship between the ERP and the risk of default is found. Finally, there is no evidence of a significant impact of the book to market ratio on ERP in any of the estimated models.
This work is studies the problem of estimating the equity risk premium (ERP), with the primary aim of identifying and analyzing existing models to estimate the ERP in countries with high risk, as well as providing their estimation. To do this, data was collected from five emerging countries (South Africa, Brazil, China, Índia and Russia) and four frontier countries (Croatia, Morocco, Nigéria and Kenya) for the period between 2002 and 2013. This allowed to analyze a sample of 923 and 178 non-financial companies belonging to emerging and frontier countries, respectively. Based on the Expected Equity Premium concept defined by Fernandez (2013), this paper uses panel data regression models (Pooled OLS and Fixed Effect Models) as Aggarwal and Goodell (2008). From Hausman test we found that while there are individual characteristics that influence the regressors of the model for frontier countries, that is not the case for emerging countries. Our findings show a positive relationship between ERP and the valuation ratios. Regarding macroeconomic variables, there is a positive relationship between ERP and the inflation rate, the term spread, the volatility of exchange rates and the consumption growth rate. On the contrary, a negative relationship between the GDP growth rate and the ERP is found. Looking to the country risk, a negative relationship between the ERP and the risk of default is found. Finally, there is no evidence of a significant impact of the book to market ratio on ERP in any of the estimated models.
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Keywords
Equity Risk Premium Países emergentes e países de fronteira Emergents and fronteir countries