O uso de variáveis de crédito na precificação de ativos do setor de consumo cíclico da BM&FBovespa

Abstract

The main objective of this study was to analyze the relationship between credit variables for individuals and companies and the monthly return of shares in the cyclical consumption sector traded on the BM&FBovespa. The shares were chosen in B3's fractional market, with participation in the auctions being one of the criteria for the inclusion of assets in the research, then twenty-two shares were selected. The monthly returns on stocks and the Ibovespa index were calculated and the monthly returns on savings, which were used as risk-free assets. All returns were deflated using the monthly variation of the IPCA inflation index, and the study covers the period from june 2011 to may 2021, totaling 120 monthly observations. To study the relationship between credit variables and returns on cyclical consumption shares, factor-based models were estimated using the STEPLS estimation method of the Eviews 9® software, whose estimated models combine the market risk premium about savings and some credit factors, according to the adjustment of each model. Ten credit factors were included in the study, each one for individuals and companies: arrears, default, interest, balance, and term. Although most estimators did not show statistical significance, the results point to a greater relevance of the credit variables for individuals. Interest rates for individuals were the most relevant variable in explaining stock returns in the cyclical consumption sector.