The Impact of Dieselgate on the Required Rate of Return on Equity of VW, BMW and Daimler

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

The Impact of Dieselgate on the Required Rate of Return on Equity of VW, BMW and Daimler

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

The Impact of Dieselgate on the Required Rate of Return on Equity of VW, BMW and Daimler

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

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OECD FORD obor

50200 - Economics and Business

Projekt

—

Návaznosti

N - Vyzkumna aktivita podporovana z neverejnych zdroju

Rok uplatnění

2021

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Financial Internet Quarterly

ISSN

2719-3454

e-ISSN

—

Svazek periodika

17

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

PL - Polská republika

Počet stran výsledku

11

Strana od-do

8-18

Kód UT WoS článku

000697120300002

EID výsledku v databázi Scopus

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