Página 1 dos resultados de 3405 itens digitais encontrados em 0.012 segundos

Financial leverage and tangibility of assets of Brazilian companies of agribusiness in the post-real plan period

BONACIM, Carlos Alberto Grespan; GAIO, Luiz Eduardo; AMBROZINI, Marcelo Augusto
Fonte: UNIV FED RURAL PERNAMBUCO, DEPT LETRAS CIENCIAS HUMANAS Publicador: UNIV FED RURAL PERNAMBUCO, DEPT LETRAS CIENCIAS HUMANAS
Tipo: Artigo de Revista Científica
POR
Relevância na Pesquisa
36.74%
This paper aims to study the relationship between the debt level and the asset structure of Brazilian companies of the agribusiness sector, since it is considered a current and relevant discussion: to evaluate the mechanisms for fund-raising and guarantees. The methodology of Granger`s Causality test and Autoregressive Vectors was used to conduct a comparative analysis, applied to a financial database of companies with open capital of Brazilian agribusiness, in particular the agricultural sector and Fisheries and Food and Beverages in a period of 10 years (1997-2007) from quarterly series available in the database of Economatica(R). The results demonstrated that changes in leverage generate variations in the tangibility of the companies, a fact that can be explained by the large search of funding secured by fiduciary transfer of fixed assets, which facilitates access to credit by business of the Agribusiness sector, increasing the payment time and lowering interest rates.

Leverage analysis for linear mixed models

NOBRE, Juvencio S.; SINGER, Julio M.
Fonte: ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD Publicador: ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
Tipo: Artigo de Revista Científica
ENG
Relevância na Pesquisa
36.88%
We consider a generalized leverage matrix useful for the identification of influential units and observations in linear mixed models and show how a decomposition of this matrix may be employed to identify high leverage points for both the marginal fitted values and the random effect component of the conditional fitted values. We illustrate the different uses of the two components of the decomposition with a simulated example as well as with a real data set.; Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq); Conselho Nacional de Desenvolvimento Cientifico e Tecnologico (CNPq); Fundacao de Amparo a Pesquisa do Estado de Sao Paulo (FAPESP), Brazil; Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Evolução do grau de alavancagem dos bancos comerciais brasileiros e a regulação : uma visão comparativa do período de 1950 a 2005; Evolution of Brazilian commercial banks leverage and regulation : a comparative analysis during the period 1950-2005

Kakinami, Kelly
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 06/08/2007 PT
Relevância na Pesquisa
36.88%
Esta dissertação explora a relevância empírica da regulação sobre o sistema bancário. O sistema bancário representa o mais importante setor e deverá sempre estar funcionando plenamente para não comprometer outros setores econômicos. O Estado pode intervir quando o sistema financeiro parecer instável. Esta instabilidade pode ser causada por quebras bancárias. A falência de um banco pode ser evitada se houver um controle sobre o risco de suas atividades. A regulação pode exigir o controle deste risco ao limitar a quantidade de captação que o banco realiza em relação aos seus recursos próprios. Esta relação é chamada de alavancagem. Portanto, altos índices de alavancagem representariam maior risco do banco. O trabalho pretende analisar o impacto da regulação sobre o perfil de alavancagem dos bancos comerciais brasileiros e verificar se a regulação é eficiente. A eficiência da regulação está relacionada com a sua real necessidade e se consegue atingir seus objetivos da maneira menos onerosa para a sociedade. Este estudo visa analisar a eficiência da regulação sobre o setor bancário brasileiro no período de 1950 a 2005.; This dissertation explores the empirical relevance of regulation on banking system. The banking system is a very important sector and it must be safe. Government can intervene when this system seems to be instable. This instability can be caused by bank failure. Financial leverage measure the degree to which a bank is utilizing borrowed money. Higher degree shows higher probability of default. We want to analyze the impact of regulation related to financial leverage on banks? risk taking and if this regulation is efficient. The regulation is efficient when its introduction is really necessary and it is not excessively costly. This dissertation analyzes the efficiency of regulation on Brazilian banking sector during 1950 to 2005.

Alavancagem financeira e investimento: um estudo nas empresas brasileiras não financeiras de capital aberto; Financial leverage and investment: a study in the Brazilian non financial public companies

Albuquerque, Andrei Aparecido de
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Tese de Doutorado Formato: application/pdf
Publicado em 22/02/2013 PT
Relevância na Pesquisa
37.03%
Um assunto recorrente na teoria de finanças tem sido a forma que uma empresa é financiada, ou seja, sua estrutura de capital e se essa afeta o valor da firma, sua rentabilidade e sua política de investimentos. A participação de capital de terceiros na estrutura de capital das empresas é pertinente em função do efeito da alavancagem financeira, que se refere à ação de captar recursos de terceiros a uma determinada taxa e aplicá-los em ativos que oferecem como retorno uma superior a esta. Assim, ao se utilizar de dívidas, uma empresa tem a possibilidade de aumentar a remuneração dos seus proprietários e, consequentemente, seu valor, por captar recursos a uma taxa e aplicá-los em outra possivelmente maior, embora com essa decisão passe a elevar seu risco, justamente pelo fato de assim passar a ter o compromisso com os credores que realizaram o empréstimo. Percebe-se, dessa forma, um potencial relacionamento entre as decisões de financiamento e investimento. Nesse sentido este trabalho teve como objetivo inicial examinar se a alavancagem financeira afeta as decisões de investimento das empresas brasileiras não financeiras de capital aberto. Para tanto, foram aplicados modelos de regressão linear múltipla com dados em painel no período de 2001 a 2011. Os resultados encontrados permitem dizer que existe uma forte correlação negativa entre a alavancagem financeira e o investimento nas empresas brasileiras não financeiras de capital aberto e que esse relacionamento é ainda mais intenso nas empresas com baixas oportunidades de crescimento. Constatando isso e considerando que diferentes elementos do endividamento podem exercer influências no investimento...

Assimetrias na volatilidade e nas perturbações nos modelos de volatilidade; Leverage effect and asymmetry of the error distribution in volatility models

Daniel de Almeida
Fonte: Biblioteca Digital da Unicamp Publicador: Biblioteca Digital da Unicamp
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 31/07/2013 PT
Relevância na Pesquisa
37.03%
O objetivo da dissertação é estudar modelos de volatilidade que consideram dois tipos de assimetria usualmente encontradas em séries de finanças, a assimetria das perturbações e o efeito de alavancagem. Perturbações assimétricas são utilizadas devido ao fato estilizado de que perdas têm distribuição com cauda mais pesada do que ganhos. Já o efeito de alavancagem leva em consideração que perdas têm maior influência na volatilidade do que os ganhos. São estudados os modelos GARCH univariados que contemplam os dois tipos de assimetria separadamente e conjuntamente e modelos GARCH multivariados que permitem o efeito de alavancagem. Os resultados são apresentados em dois artigos. O primeiro descreve os principais modelos univariados que possam explicar estes dois fatos estilizados e analisa, com detalhes, oito séries: os índices Ibovespa, Merval e S&P 500, e as ações Itaú-Unibanco, Vale, Petrobras, Banco do Brasil e do Bradesco. A conclusão é que os dois tipos de assimetria estão presentes nas séries, na maioria das vezes simultaneamente. O segundo artigo faz uma revisão dos principais modelos multivariados da família GARCH, incluindo modelos com efeitos assimétricos nas variâncias e nas covariâncias condicionais. Alguns destes modelos são analisados com mais detalhes através de simulações. Considerou-se as perdas de eficiência na estimativa da matriz de volatilidade ao se ter erros de especificação...

Optimal leverage association rules with numerical interval conditions

Jorge, Alípio M.; Azevedo, Paulo Jorge
Fonte: IOS Press Publicador: IOS Press
Tipo: Artigo de Revista Científica
Publicado em //2012 ENG
Relevância na Pesquisa
37.03%
In this paper we propose a framework for defining and discovering optimal association rules involving a numerical attribute A in the consequent. The consequent has the form of interval conditions A, A≥ x or A ∈ I where I is an interval or a set of intervals of the form [x_l,x_u. The optimality is with respect to leverage, one well known association rule interest measure. The generated rules are called Maximal Leverage Rules MLR and are generated from Distribution Rules. The principle for finding the MLR is related to the Kolmogorov-Smirnov goodness of fit statistical test. We propose different methods for MLR generation, taking into account leverage optimallity and readability. We theoretically demonstrate the optimality of the main exact methods, and measure the leverage loss of approximate methods. We show empirically that the discovery process is scalable.

A two-part fractional regression model for the financial leverage decisions of micro, small, medium and large firms

Ramalho, Joaquim; Vidigal da Silva, Jacinto
Fonte: Taylor & Francis Publicador: Taylor & Francis
Tipo: Artigo de Revista Científica Formato: 176030 bytes; application/pdf
ENG
Relevância na Pesquisa
36.88%
In this paper we examine the following two hypotheses, which traditional theories of capital structure are relatively silent about: (i) the determinants of financial leverage decisions are different for micro, small, medium and large firms; and (ii) the factors that determine whether or not a firm issues debt are different from those that determine how much debt it issues. Using a binary choice model to explain the probability of a firm raising debt and a fractional regression model to explain the relative amount of debt issued, we find strong support for both hypotheses. Confirming recent empirical evidence, we find also that, although larger firms are more likely to use debt, conditional on their having some debt, firm size is negatively related to the proportion of debt used by firms.

A two-part fractional regression model for the financial leverage decisions of micro, small, medium and large firms

Ramalho, Joaquim J.S.; Vidigal da Silva, Jacinto
Fonte: Universidade de Évora Publicador: Universidade de Évora
Tipo: Trabalho em Andamento
ENG
Relevância na Pesquisa
36.88%
In this paper we examine the following two hypotheses which traditional theories of capital structure are relatively silent about: (i) the determinants of financial leverage decisions are different for micro, small, medium and large firms; and (ii) the factors that determine whether or not a firm issues debt are different from those that determine how much debt it issues. Using a binary choice model to explain the probability of a firm raising debt and a fractional regression model to explain the relative amount of debt issued, we find strong support for both hypotheses. Confirming recent empirical evidence, we find also that, although larger firms are more likely to use debt, conditional on having some debt firm size is negatively related to the proportion of debt used by firms.

Do credit rating notations affect U.S. commercial banks’ leverage levels? new findings on the effects of the financial crisis

Alvarenga, Helena Pereira
Fonte: Instituto Universitário de Lisboa Publicador: Instituto Universitário de Lisboa
Tipo: Dissertação de Mestrado
Publicado em //2013 ENG
Relevância na Pesquisa
37.12%
Master Dissertation in Finance / JEL Classification: C13, G21, G01; This paper analyses the link between U.S. commercial banks leverage (both market leverage and book leverage) and their credit rating changes by extending previous results from corporate firms to banks. We found evidence that the credit rating notation variable also explains leverage levels fluctuations in the banking sector as it does for the corporate sector. The results obtained demonstrate that U.S. commercial banks reduce their leverage following credit rating downgrades and augment it after upgrades. These adjustments of the leverage levels have higher statistical significance when we test them for the financial crisis period, where the credit rating variable significance increases. Moreover, we show that the speed of adjustment for U.S. commercial banks is faster during the crisis turmoil period (2008 to 2011) rather than in normal economic conditions (2004 to 2007), and also that the adjustment speed increased by 50% after the crisis (from 40% to 61%) and is statistically significant. As far as we acknowledge, these results are new findings that could open up new avenues of research for this literature, either with banks or corporate firms.; Este trabalho analisa a relação entre o grau de alavancagem de bancos comerciais dos E.U.A. (tanto o grau de alavancagem com valores de mercado como o grau de alavancagem com valores contabilísticos) e as alterações ao nível da notação de risco (credit rating) expandido estudos anteriores relativos a empresas para bancos. Com este estudo...

Integrating innovation: frameworks for entrepreneurial leverage

Daniel, L.
Fonte: Inderscience Publishers Publicador: Inderscience Publishers
Tipo: Artigo de Revista Científica
Publicado em //2006 EN
Relevância na Pesquisa
36.97%
Understanding the process by which innovations are adopted is a lucrative skill for entrepreneurial organisations. In practical terms accepting new ideas requires a fundamental framework, which enables entrepreneurs to recognise the potential of opportunities early in the development process. Such a framework would then enable interactions and negotiations to be strategically directed for maximum entrepreneurial leverage. A model is presented here which recognises the socio-cognitive framework for entrepreneurial leverage and innovation adoption as enacted in the acceptance and integration of emerging technologies in the Australian biotechnology industry. By recognising the key attributes of such frameworks and further developing those processes that are conducive to entrepreneurial leverage, entrepreneurs and their organisations will be better placed to ensure the effective uptake and integration of innovation opportunities.

A systems thinking approach to identify leverage points for sustainability: a case study in the Cat Ba biosphere reserve, Vietnam

Nguyen, N.; Bosch, O.
Fonte: International Society for the Systems Sciences Business Publicador: International Society for the Systems Sciences Business
Tipo: Conference paper
Publicado em //2012 EN
Relevância na Pesquisa
36.74%
The nature and practice of sustainability is very complex, multi-dimensional and dynamic. Traditional and reductionist approaches have shown their inability to address sustainability issues. Increasing complex issues and challenges related to sustainability requires a fresh approach to address the multi-dimensional and multi-disciplinary nature of complexity. In this paper, systems thinking is used in a case study in a UNESCO designated Biosphere Reserve to demonstrate its application to effectively address complex and sustainability issues. A systems model has been developed and various tools, processes and techniques of systems thinking have been used in the study. The systems model and its associated systems archetypes are qualitatively analysed to provide insights into potential system behaviours and to facilitate the identification of leverage points and systemic intervention strategies that are required for the sustainable development of the Biosphere. The unique approach used in this study has significant potential to apply globally considering the comprehensive network of Biosphere Reserves around the world, as well as the various sustainability and other complex issues that our society is facing.; http://isss.org/conferences/sanjose-2012/2012-ISSS-Program-Book.pdf; Ockie J.H. Bosch and Nam C. Nguyen

Volatility models with Leverage effect

Rodríguez Villar, Mª José
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Tese de Doutorado Formato: application/octet-stream; application/octet-stream; application/pdf
ENG
Relevância na Pesquisa
37.03%
El objetivo de esta tesis es analizar y comparar la capacidad de algunos de los modelos habituales de series temporales para representar la volatilidad de las series financieras y sus características más importantes. En concreto, una de las principales consiste en que las series suelen presentan mayor número de observaciones extremas que las esperadas bajo Gausianidad. Además, las observaciones se agrupan de tal manera que tras movimientos grandes siguen movimientos grandes, mientras que por el contrario, cuando los movimientos comienzan a ser pequeños siguen siéndolo durante cierto tiempo. Este agrupamiento de volatilidad se refleja a través de la autocorrelación de cuadrados que suele ser significativa, positiva y presenta decaimiento exponencial. Finalmente, otra característica extensamente observada y propuesta por Black (1976) es la respuesta asimétrica de la volatilidad ante rendimientos positivos o negativos y conocida como leverage effect. En concreto, el incremento en la volatilidad es mayor cuando los retornos anteriores son negativos que cuando éstos son de la misma magnitud pero positivos. La presencia de este tipo de comportamiento se detecta en las correlaciones cruzadas entre rendimientos y rendimientos futuros al cuadrado...

Is the Basel III Leverage Ratio countercyclical? A study for Portuguese banks

Batista, Dina Raquel Pereira
Fonte: Universidade Nova de Lisboa Publicador: Universidade Nova de Lisboa
Tipo: Dissertação de Mestrado
Publicado em /06/2015 ENG
Relevância na Pesquisa
37.08%
This work analyses how the leverage ratio behaves through the cycle, vis-à-vis other capital ratios. For a sample of the largest Portuguese banks, the Basel III leverage ratio is indeed countercyclical. This result is relevant from a regulatory perspective, since the introduction of a limit on the leverage ratio will function as a restriction in the banks’ balance sheet size, reducing the economic costs associated with the excessive growth of leverage in periods of economic expansion followed by aggressive deleveraging in the downturn. However, one cannot exclude that restrictions on banks’ leverage incentivize its transference to less regulated intermediaries.

Avoiding Customer and Taxpayer Bailouts in Private Infrastructure Projects: Policy toward Leverage, Risk Allocation, and Bankruptcy

Ehrhardt, David; Irwin, Timothy
Fonte: World Bank, Washington, D.C. Publicador: World Bank, Washington, D.C.
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
36.88%
Many private infrastructure projects mix regulation that subjects the private company to considerable risk, a government or regulator that is reluctant to see the company go bankrupt, and high leverage on the part of the company. If all goes well, equityholders make a profit, debtholders are repaid, customers pay no more than they expected, and the government is not called on to bail the company out. If all goes badly enough, however, the prospect of bankruptcy will loom. Unwilling to see the company go bankrupt, however, the regulator will have to permit an unscheduled price increase, or the government will have to inject taxpayers' money into the firm. In other words, the combination means customers and taxpayers bear more risk than would appear from the regulations governing the private infrastructure project. The authors examine how these problems have played out in five cases. Then they describe how governments and regulators can quantify the extent of the problems and, using option-pricing techniques, value the customer and taxpayer guarantees involved. Finally...

The Leverage Ratio : A New Binding Limit on Banks

D'Hulster, Katia
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Brief; Publications & Research
ENGLISH
Relevância na Pesquisa
37.12%
Excessive leverage by banks is widely believed to have contributed to the global financial crisis. To address this, the international community has proposed the adoption of a non-risk-based capital measure, the leverage ratio, as an additional prudential tool to complement minimum capital adequacy requirements. Its adoption can reduce the risk of excessive leverage building up in individual entities and in the financial system as a whole. The leverage ratio has inherent limitations, however, and should therefore be considered as just one of a set of macro- and micro-prudential policy tools.

Joint leverage and maturity choices in real estate firms: The role of the REIT status

Alcock, Jamie T.; Steiner, Eva; Tan, Kelvin J. K.
Fonte: Springer Publicador: Springer
Tipo: Article; accepted version
EN
Relevância na Pesquisa
37.12%
This is the accepted manuscript. The final version is available from Springer at http://link.springer.com/article/10.1007%2Fs11146-012-9379-7.; We explore the interdependence of leverage and debt maturity choices in Real Estate Investment Trusts (REITs) and unregulated listed real estate investment companies in the U.S. for the period 1973-2011. We find that the leverage and maturity choices of all listed real estate firms are interdependent, but in contrast to industrial firms, they are not made simultaneously. Across the different types of real estate firms considered, we find substantial differences in the nature of the relationship between leverage and maturity. Leverage determines maturity in non-REITs, whereas maturity is a determinant of leverage in REITs.We suggest that the observed differences reflect the effects of the REIT regulation, rather than solely being a function of real estate as the underlying asset class.We also present novel evidence that the relationship between leverage and maturity in both firm types can be used to moderate the effects of other exogenous financing policies.

Executive Compensation and Firm Leverage

Albert, Michael Joseph
Fonte: Universidade Duke Publicador: Universidade Duke
Tipo: Dissertação
Publicado em //2013
Relevância na Pesquisa
37.08%

This dissertation explores the role of executive compensation in determining the capital structure decisions of a firm. CEOs experience a large personal cost of default that interacts through the risk adjusted probability of default with their compensation contract. Since default happens in a particularly costly state of the world for a CEO whose compensation contract consists primarily of pay for performance elements, i.e. a CEO who has a large personal equity stake in the firm, a large pay performance sensitivity is negatively and significantly associated with firm leverage choice. I document this effect in detail for the first time, and I show that it is both statistically robust and significant in magnitude, approximately 1\% of firm value. I show that this effect is driven by the stock holdings of the CEO, not the option holdings. I provide a simple principal agent model that explains the observed negative relationship and makes additional predictions on the relationship of other firm characteristics to pay performance sensitivity and leverage. I then test and confirm these predictions empirically using a standard OLS framework and an instrumental variable approach to control for endogeneity in the compensation contract. I also look at leverage adjustment speeds and show that CEOs with higher pay performance sensitivity adjust leverage upwards towards target values more slowly and downwards more quickly than their peers...

Reação do mercado à alavancagem operacional: um estudo empírico no Brasil; Reaction of the market to the operational leverage: an empirical study in Brazil

Dantas, José Alves; Medeiros, Otávio Ribeiro de; Lustosa, Paulo Roberto B
Fonte: Universidade de São Paulo. Escola de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Escola de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Formato: application/pdf
Publicado em 01/08/2006 POR
Relevância na Pesquisa
37.03%
Estudos que avaliam o impacto de informações contábeis nas variáveis do mercado de ações têm adquirido grande relevância na literatura contábil e se constituído em instrumento de avaliação da utilidade da informação contábil. O presente estudo segue a mesma lógica das pesquisas lucro-retorno, substituindo a medida de resultados contábeis pela de alavancagem operacional e tendo por base os dados das companhias listadas na Bovespa, dos setores de petróleo e gás, materiais básicos, bens industriais, construção e transporte, consumo não cíclico e consumo cíclico, referentes ao período entre o segundo trimestre de 2001 e o terceiro trimestre de 2004. A premissa considerada é a de que, como a alavancagem operacional, além de incorporar uma dimensão de resultado (o lucro operacional), é uma das determinantes do risco sistemático das ações, e de que há relação entre risco e retorno das ações, é possível inferir uma associação positiva entre o grau de alavancagem operacional e o retorno das ações. Os testes empíricos realizados com a utilização do método de dados em painel apresentam evidências de que a variável alavancagem operacional é estatisticamente relevante para explicar o comportamento do retorno das ações e que essa relação é positiva...

Intangible assets and capital structure: the influence of trademarks and patents on the leverage; Activos intangibles y estructura de capital: la influencia de las marcas y patentes sobre el endeudamiento; Ativos intangíveis e estrutura de capital: a influência das marcas e patentes sobre o endividamento

Kayo, Eduardo Kazuo; Teh, Chang Chuan; Basso, Leonardo Fernando Cruz
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Artigo Avaliado pelos Pares Formato: application/pdf
Publicado em 01/06/2006 POR
Relevância na Pesquisa
36.97%
Regarding capital structure theory, one question still remains: is there an optimal capital structure? If so, what are its determinants? The finance literature presents several variables which could influence this structure. Recent studies indicate that research & development (R&D) and advertisement expenses play an important role on leverage, which suggests the influence of intangible assets on capital structure. The main objective of this paper is to analyze the relation between capital structure and proxy variables of intangible assets (patents quantity, patents' average life cycle, and trademarks quantity). The results show a negative and significant influence of patents on the leverage of firms. These results corroborate the hypothesis that innovation-intensive firms have lower levels of leverage.; Respecto a la teoría de estructura de capital, una pregunta permanece: ¿hay una estructura de capital óptima? ¿En este caso, cuáles son sus determinantes? La literatura financiera presenta diversas variables que podrían influir en dicha estructura. Estudios recientes indican que los gastos con investigación y desarrollo (I&D) y con publicidad ejercen una importante influencia sobre el endeudamiento, lo que sugiere que la estructura de capital puede sufrir la influencia de los activos intangibles. El objetivo principal de este artículo es analizar la relación entre la estructura de capital y las variables representativas de activos intangibles (cantidad de patentes...

THE FINANCIAL LEVERAGE AND THE EFFECTS ON BETA: A STUDY OF THE STEEL’S AND METALLURGY’S COMPANIES LISTED ON BM&FBOVESPA; A ALAVANCAGEM FINANCEIRA E OS EFEITOS NO BETA: UM ESTUDO DAS EMPRESAS DO SETOR DE METALURGIA E SIDERURGIA LISTADAS NA BOVESPA

Raifur, Léo; Universidade de São Paulo; Souza, Almir Ferreira de; Universidade de São Paulo
Fonte: UNIVERSIDADE FEDERAL DO PARANÁ - ACCOUNTING DEPARTMENT Publicador: UNIVERSIDADE FEDERAL DO PARANÁ - ACCOUNTING DEPARTMENT
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Formato: application/pdf
Publicado em 09/05/2011 POR
Relevância na Pesquisa
37.08%
This research has tested the financial leverage’s effects on the market beta and total beta of the steel’s and metallurgy’s companies listed on BM&F Bovespa. Twenty three from the twenty six companies have had appropriate information to analyze financial leverage, but, because of liquidity issues, only 11 firms have composed the portfolio to calculate the beta. We have calculated the quarterly beta in cross-sections periods, from January 2005 to June 2008, using daily data. To analyze financial leverage’s effect on beta, we have used linear regression and the difference of means test (t-test). The IBovespa index and S&P 500 index was used to represents the market portfolio. Consistent with prior literature, firm-specific betas were more unstable than the portfolio. The correlation between portfolio and IBovespa was 0.739 (p <0.001). Using the S&P 500, the correlation has decreased to 0.464 (p <0.001). The market beta of the steel’s and metallurgy’s companies using the IBovespa index was 0.93, but, using the S&P 500 the market beta has increased to 1.08. The sector’s total risk exposure using IBovespa index as a proxy was 1.25 and 2.33 using the S&P 500. The regression model has shown that financial leverage explains 11.4% of the market beta’s variations and 27.2% of total beta’s variations. In the Difference of means test we have identified that the levered companies have had higher betas and significantly different from the unlevered ones. We have concluded that financial leverage is positively associated with the risk of the steel’s and metallurgy’s companies listed on BM&FBovespa.; A pesquisa procurou testar os efeitos da alavancagem financeira sobre o beta de mercado e o beta total do setor de siderurgia e metalurgia das empresas listadas na BM&F Bovespa. Por questões de adequações das informações...