The objective of this study is to analyze the return pricing dynamics in six Latin American countries based on the ICAPM model of Merton (1973) and Bekaert and Harvey (1995). We analyze Argentina, Brazil, Chile, Colombia, Mexico and Peru market return and a world market proxy return as a measure...

The economic growth is an important aspect in the government agenda, whether a developed countries or a developing countries. The proof is the focused of researchers in the relationship between the economic variables and the economic growth and development. Therefore, the focus this paper is...

Market risk measurement has a long tradition in finance and it has been drawing the attention of many academic studies since Markowitz (1952). But the CAPM model (and derived models) assumptions have been targets of much criticism, in the sense that beta estimation may be imprecise. The...