Análise de risco de investimentos no contexto das eleições presidenciais no Brasil: uma aplicação do modelo CAPM

Abstract

This study aimed to analyze the ability of the CAPM model to identify significant changes in investment risk in the Brazilian capital market due to the 2022 presidential elections. The literature suggests that political events can influence investors' risk perception, impacting asset pricing. Thus, a quantitative approach was adopted, based on linear regressions with a dummy variable indicating the pre-election period (from January 3, 2022, to October 30, 2022) or the post-election period (from October 31, 2022, to August 31, 2023), allowing for a comparison of asset pricing using data from the NEFIN database, categorized into seven distinct economic sectors: Basic Products, Civil Construction, Consumer Goods, Energy, Finance, Industry, and Others. To complement the analysis, the Chow Test was applied to verify the existence of structural breaks in the linear regression models of the evaluated economic sectors. The results indicated that the 𝛽ଵ coefficient, which represent the relation between asset returns and the market risk, were statistically significant, confirming the applicability of CAPM in the analyzed period. However, the 𝛽ଶ and 𝛽ଷ coefficients, which aimed to capture the impact of the elections on systematic risk, were not statistically significant, suggesting that the elections did not substantially alter the market's risk perception. This conclusion was reinforced by the Chow Test, which did not provide evidence of structural differences between the pre- and post-election periods in the analyzed sectors. It was concluded that, in the analyzed context, the elections were not a determining factor in asset pricing in Brazil.