Asset Pricing in Emerging Markets
Thesis title: | Asset Pricing in Emerging Markets |
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Author: | Ajrapetova, Tamara |
Thesis type: | Diploma thesis |
Supervisor: | Witzany, Jiří |
Opponents: | Fičura, Milan |
Thesis language: | English |
Abstract: | General content:
Current methods of estimation of cost of capital in the emerging markets are often neglecting various contradictions with the essentials of the model structure and assumptions. As the result of such imprecisions, the cost of equity is often understated (overstated). This thesis will attempt to assess current level of emerging market integration, liquidity and concentration. This will be followed by evaluation of traditional and alternative models for estimation of cost of equity.
The author will address several currently available models such as Credit Rating Model, D-CAPM model, various versions of traditional CAPM models. Furthermore, she will compare and contrast their limitations taking into account the context of emerging markets.
The testing of the models will be performed on country basis through the means of index data. In the last chapter, discussion of the results and possible improvements of the valuation approaches will take place. |
Keywords: | Capital Asset Pricing Models; Emerging Markets; Asset Pricing Theory |
Thesis title: | Asset Pricing in Emerging Markets |
---|---|
Author: | Ajrapetova, Tamara |
Thesis type: | Diplomová práce |
Supervisor: | Witzany, Jiří |
Opponents: | Fičura, Milan |
Thesis language: | English |
Abstract: | General content:
Current methods of estimation of cost of capital in the emerging markets are often neglecting various contradictions with the essentials of the model structure and assumptions. As the result of such imprecisions, the cost of equity is often understated (overstated). This thesis will attempt to assess current level of emerging market integration, liquidity and concentration. This will be followed by evaluation of traditional and alternative models for estimation of cost of equity.
The author will address several currently available models such as Credit Rating Model, D-CAPM model, various versions of traditional CAPM models. Furthermore, she will compare and contrast their limitations taking into account the context of emerging markets.
The testing of the models will be performed on country basis through the means of index data. In the last chapter, discussion of the results and possible improvements of the valuation approaches will take place. |
Keywords: | Asset Pricing Theory; Capital Asset Pricing Models; Emerging Markets |
Information about study
Study programme: | Finance and Accounting |
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Type of study programme: | Magisterský studijní program |
Assigned degree: | Ing. |
Institutions assigning academic degree: | Vysoká škola ekonomická v Praze |
Faculty: | Faculty of Finance and Accounting |
Department: | Department of Banking and Insurance |
Information on submission and defense
Date of assignment: | 29. 11. 2016 |
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Date of submission: | 26. 5. 2017 |
Date of defense: | 8. 6. 2017 |
Identifier in the InSIS system: | https://insis.vse.cz/zp/59802/podrobnosti |