DOI: 10.1016/j.enpol.2020.111485
论文题名: Capital asset pricing model, beta stability, and the pricing puzzle of electricity transmission in Brazil
作者: Kayo E.K. ; Martelanc R. ; Brunaldi E.O. ; da Silva W.E.
刊名: Energy Policy
ISSN: 03014215
出版年: 2020
卷: 142 语种: 英语
中文关键词: Beta stability
; Capital asset pricing model
; Electric transmission
英文关键词: Cost benefit analysis
; Financial markets
; Risk perception
; Transmissions
; Alternative procedures
; Capital asset pricing model
; Electricity transmission
; Estimation windows
; Market returns
; Risk assets
; Structural break
; Theoretical framework
; Cost estimating
; capital market
; electricity supply
; equity
; numerical model
; price determination
; regulatory approach
; theoretical study
; Brazil
英文摘要: This paper seeks to analyse and propose alternative procedures to estimate the cost of equity through the capital asset pricing model (CAPM) in the context of electricity transmission in Brazil. Under the assumption that a stable beta is important for regulatory purposes since it provides institutional security for investors, as well as fair tariffs for consumers, we test different options to find the set of parameters that provides the most stable beta for the transmission sector. This paper is prescriptive in nature and attempts to offer alternative options for the cost of equity estimation, without changing the theoretical framework (i.e., CAPM) proposed by the Brazilian regulator. To pursue our aim, we test beta stability by modifying three CAPM elements: the risk asset, the proxy for market returns, and the length of the estimation window. By applying robust structural break tests, we show that the desirable beta stability may be reached with the use of a Brazilian pure-play global beta estimated with an 11-year estimation window. © 2020 Citation statistics:
资源类型: 期刊论文
标识符: http://119.78.100.158/handle/2HF3EXSE/167263
Appears in Collections: 气候变化与战略
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作者单位: University of São Paulo, Department of Business Administration, Brazil
Recommended Citation:
Kayo E.K.,Martelanc R.,Brunaldi E.O.,et al. Capital asset pricing model, beta stability, and the pricing puzzle of electricity transmission in Brazil[J]. Energy Policy,2020-01-01,142