Alavancagem financeira e o processo de mensuração de risco das empresas: Um estudo para o setor de energia

Abstract

The Brazilian energy sector involves a past with large indebtedness, especially from state-owned companies that have been privatized over time. In addition, the sector has naturally above-average levels of indebtedness due to sectoral characteristics. One of the most widely used financial models to describe asset returns is the Capital Asset Principle Model developed by Sharpe (1963 and 1964), Tobin (1958), Treynor (1961) and Lintner (1965). However, the first author to consider something close to asset pricing was Henry Markowitz (1952), with an article considered a precursor and idealizer of modern finance. Through the CAPM model it is possible to estimate the market beta, which would be the risk measure that companies can’t and investors don’t diversify, and that should really reward the investor. The present paper tested the relation of accounting indicators of indebtedness in the market beta of the shares of the energy sector in B3. Through a panel data methodology it was possible to infer that the profitability indicators positively affect the market betas, indicating that such accounting fundamentals are important to explain the risk of the actions. However, other important factors such as sector interventions, capital structure and government regulation should be considered to analyze this sector