Precificação de ações de instituições financeiras brasileiras utilizando variáveis de crédito

Abstract

This work contributes to the theory of asset pricing by estimating the CAPM model in its classic form and an extended version of it, introducing sectorial components of a credit nature, to 21 stocks of the 15 largest companies in terms of net worth of the Brazilian financial sector, in the period from March 2011 to January 2019, using monthly frequency data. The variables used in the multifactor model proposed in the study were arrears, delinquency rate, credit operations on GDP, spread and the market risk premium used in the canonical version of the CAPM model. The models were estimated using the ordinary least squares method (OLS) with Newey-West correction, and the Wald test was performed to verify the joint significance of the credit variables. The results of the regressions showed that the credit variables presented few individual significance and the Wald test showed only 2 joint meanings for the 21 analyzed stocks. In addition, the extended version of the CAPM model proposed in the paper failed to present an explanatory power, measured by the adjusted R², higher than the original version