The Impact of Dieselgate on the Required Rate of Return on Equity of VW, BMW and Daimler
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F29142890%3A_____%2F21%3A00040043" target="_blank" >RIV/29142890:_____/21:00040043 - isvavai.cz</a>
Result on the web
<a href="https://finquarterly.com/current-issue/?number=68&id=504" target="_blank" >https://finquarterly.com/current-issue/?number=68&id=504</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.2478/fiqf-2021-0002" target="_blank" >10.2478/fiqf-2021-0002</a>
Alternative languages
Result language
angličtina
Original language name
The Impact of Dieselgate on the Required Rate of Return on Equity of VW, BMW and Daimler
Original language description
The paper studies the impacts of the Dieselgate scandal on the required rate of return on equity investments into VW, Daimler, and BMW. The object of investigation is the beta coefficient that determines the risk premium in the Capital Asset Pricing Model (CAPM). Our research takes a deep dive into the developments from the turning point of the scandal (the EPA NOTICE 2015) on September 18, 2015 – when a Notice of Violation of the Clean Air Act was issued to Volkswagen by the EPA – to the end of February 2016. This period also covers FORMAL COMMENCEMENT 2016, when the U.S. Department of Justice first sued Volkswagen on behalf of the EPA. The spillover (contagion) effect of fraudulent practices of VW impacted BMW, Daimler and other companies in the industry that share a similar business model and market segment. Our research of historical market betas has not confirmed the expectation that in the context of the Dieselgate scandal the return required on equity investments into VW, Daimler, and BMW would soar. The Dieselgate scandal proves that the reliability of beta estimates is an inverse function of market volatility. Historical market beta is, therefore, not a good estimate of the required rate of return for the companies in question.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50200 - Economics and Business
Result continuities
Project
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Continuities
N - Vyzkumna aktivita podporovana z neverejnych zdroju
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Financial Internet Quarterly
ISSN
2719-3454
e-ISSN
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Volume of the periodical
17
Issue of the periodical within the volume
1
Country of publishing house
PL - POLAND
Number of pages
11
Pages from-to
8-18
UT code for WoS article
000697120300002
EID of the result in the Scopus database
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