A relação entre o BETA e as variáveis fundamentais da empresa: um estudo voltado para o mercado acionário brasileiro

• Ano de defesa: 2013
• Autor(a) principal: Eiger, Danniela Chambô
• Orientador(a): Rochman, Ricardo Ratner
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: BETA; CAPM; Indicadores contábeis; Mercado acionário brasileiro; Risco sistemático; Variáveis fundamentais
• Link de acesso: http://hdl.handle.net/10438/11390

This paper seeks to better understand the relation between the beta and some company fundamentals, so that we be able to verify if they have a relevant impact in the company’s systematic risk, besides contributing to this topic’s existing literature. A multiple linear regression was used through a data panel approach for 1995 to 2012, besides two sub samples of this period, having as the dependent variable a beta estimated according to CAPM for three time horizons (12,24 and 60 months). The variables selected are associated to the company’s main characteristics, being those related to their size, financial situation, profitability, market’s perception, corporate governance and activity. We found that leverage, liquidity and belonging to regulated sectors have positive impact in the company’s risk. On the other hand, dividend payout, corporate governance and profitability decrease the beta value.