气候变化领域集成服务门户(CCPortal): Capital asset pricing model, beta stability, and the pricing puzzle of electricity transmission in Brazil

CCPortal

DOI	10.1016/j.enpol.2020.111485
	Capital asset pricing model, beta stability, and the pricing puzzle of electricity transmission in Brazil
	Kayo E.K.; Martelanc R.; Brunaldi E.O.; da Silva W.E.
发表日期	2020
ISSN	03014215
卷号	142
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
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
语种	英语
来源期刊	Energy Policy
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/204715
作者单位	University of São Paulo, Department of Business Administration, Brazil
推荐引用方式 GB/T 7714	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],2020,142.
APA	Kayo E.K.,Martelanc R.,Brunaldi E.O.,&da Silva W.E..(2020).Capital asset pricing model, beta stability, and the pricing puzzle of electricity transmission in Brazil.Energy Policy,142.
MLA	Kayo E.K.,et al."Capital asset pricing model, beta stability, and the pricing puzzle of electricity transmission in Brazil".Energy Policy 142(2020).