This article aims to test empirically the Estrada (2000) proposition for the firms that are part of the Ibovespa, evaluating whether for emerging markets there are systematic risk measures different of beta of the CAPM. Thus, it was tested the downside risk that picks up the negative part of the return. Besides the cross section data, it was used panel data, as an additional contribution to the work of Estrada (2000). The results do not confirm that the downside risk is an appropriate measure for the Brazilian market. Other risk measures presented better correlation to the return, enabling the calculus of the cost of capital with different value than the one obtained by the application of beta. According to Estrada (2000), the results suggest that the emerging markets are in the intermediate position between the integrated and segmented markets, such as confirmed for the Brazilian market.
Emerging markets; Return; Downside risk; CAPM; Cost of capital
