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

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  • Roggi, Oliviero
  • Giannozzi, Alessandro
  • Baglioni, Tommaso

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.

Suggested Citation

  • Roggi, Oliviero & Giannozzi, Alessandro & Baglioni, Tommaso, 2017. "Valuing emerging markets companies: New approaches to determine the effective exposure to country risk," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 553-567.
    • Handle: RePEc:eee:riibaf:v:39:y:2017:i:pa:p:553-567
    DOI: 10.1016/j.ribaf.2016.07.028
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    References listed on IDEAS

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    1. Estrada, Javier, 2002. "Systematic risk in emerging markets: the," Emerging Markets Review, Elsevier, vol. 3(4), pages 365-379, December.
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    8. Espinosa-Torres, Juan Andrés & Gomez-Gonzalez, Jose Eduardo & Melo-Velandia, Luis Fernando & Moreno-Gutiérrez, José Fernando, 2016. "The international transmission of risk: Causal relations among developed and emerging countries’ term premia," Research in International Business and Finance, Elsevier, vol. 37(C), pages 646-654.
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    10. Donald R. Lessard, 1996. "Incorporating Country Risk In The Valuation Of Offshore Projects," Journal of Applied Corporate Finance, Morgan Stanley, vol. 9(3), pages 52-63, September.
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    Cited by:

    1. Kumari, Jyoti & Mahakud, Jitendra & Hiremath, Gourishankar S., 2017. "Determinants of idiosyncratic volatility: Evidence from the Indian stock market," Research in International Business and Finance, Elsevier, vol. 41(C), pages 172-184.
    2. Figlioli, Bruno & Lima, Fabiano Guasti, 2019. "Stock pricing in Latin America: The synchronicity effect," Emerging Markets Review, Elsevier, vol. 39(C), pages 1-17.
    3. P. Kerimov, 2019. "Estimating risk exposure of Ukrainian enterprises using methods of corporate finance," Economy and Forecasting, Valeriy Heyets, issue 3, pages 40-59.

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