Resumo

RODRIGUEZ GARCIA, Martha; CORTEZ ALEJANDRO, Klender  e  GARCIA NUNEZ, Heriberto. Costo de capital bajo riesgos asimétricos en el mercado de valores mexicano. Econ: teor. práct [online]. 2008, n.28, pp.73-89. ISSN 2448-7481.

This paper analyzed the cost of capital in the Mexican stock market. The study is based on the traditional capital asset price model (CAPM), Sharpe (1964) and also use more contextual methodology application for emerging economies CAPM-Modified by Estrada (2000 y 2001) previous studies conclude due to the typical bias in a emerging stock price market that the modified version of the CAPM shows strongest results that the orthodox methodology, the bias are concentrated in the normal statistical data. Our recent study includes the years from 2000 to 2007 for 35 most representative Mexican public companies traded in the Mexican Stock Market. In the study we found that the R² ajustada in the CAPM-M is greater than in the traditional and the betas are smaller in the CAPM than in the CAPM-M. CAPM and that both models are consistent, nevertheless the model most efficient is the CAPM-M.

Palavras-chave : Equity cost; Down risk; Shares price.

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