Bianconi, Marcelo; Yoshino, Joe A. - Department of Economics, Tufts University - 2012
We provide an extensive set of alternative models for the estimation of the real cost of equity in a sample of utitlites firms in Brazil with monthly data from March 2006 to June 2011.The main results are that the traditional CAPM is regected and, together with the Fama-French factors, give a...