Does default probability matter in latin american emerging markets?

• Autores: María Isabel Abínzano Guillén, Luis Fernando Muga Caperos, Rafael Santamaría Aquilué
• Localización: Emerging Markets Finance & Trade, ISSN-e 1558-0938, Vol. 45, Nº. 5, 2013, págs. 63-81
• Idioma: inglés
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• Dialnet Métricas: 1 Cita
• Resumen

  • We analyze the impact of default probability in four leading Latin American stock markets: Argentina, Brazil, Chile, and Mexico. We find no positive default-risk premium except in the case of Brazil, and in fact we find a negative risk premium for Argentina and Mexico. The latter effect tends to fade when the analysis accounts for size and book-to-market variables. Although we find no size effect in any of the markets considered, the book-to-market effect is very strong in all of them, and our results reveal a consistent relationship, analogous to that found in more developed markets, between default probability and the size and book-to-market variables. [ABSTRACT FROM AUTHOR]