Impacto da divulgação do áudio de Joesley Batista no Value de Risk de empresas brasileiras: uma análise de quebra estrutural em regressão quantílica

Abstract

This study aims at examining the effects of the disclosure of Joesley Batista's audio record on the level of risk exposure of eleven companies traded on the Bolsa de Valores de São Paulo (BOVESPA). The approach allows us to verify the existence of structural change in the risk distribution of the shares using the structural break test developed by Qu (2007), which provides an evaluation by quantiles of the sample. The methodology consists of measuring the Value at Risk (VaR's) of the selected companies using the quantile regression model in specific quantiles where the VaR represents the worst losses, 1%, 5%, 10% and 25%, and then the break test is implemented. The sample consists of the daily returns of ten shares, in addition to JBS, and covers the period from 11/14/2016 to 2/16/2018. The few breaks found do not indicate a significant impact of the event on the risks of companies and it is noteworthy that the firms in the banking sector presented results more consistent with the date of interest. However, it is not possible to confirm a great influence of the event on the VaR of any of the chosen companies.