Risco regulatório no Brasil: um estudo de caso no setor de energia elétrica brasileiro

• Autor(a) principal: Yamakawa, Fernando
• Data de Publicação: 2017
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Repositório Universitário da Ânima (RUNA)
• Texto Completo: https://repositorio.animaeducacao.com.br/handle/ANIMA/2886
• topic: Risco regulatório; Setor elétrico do Brasil; Teoria institucional; CAPM

The Government as the main social agent has a capacity to change the cost of economic activities (NORTH, 1990; XAVIER, 2011) and an important role regulation to regulate the monopoly power of the electric power industry. With this, the regulatory environment can generate transaction costs resulting in lower performance in the regulated sector, thus causing risks. Thus, an arbitrary regulatory system, which, for example, as contractual rules are uncorrected and susceptible to political interference, has a significant impact on the degree of systematic risk assumed by the companies that make up the sector (STIGLER, 1971; LAFFONT; TIROLE, 1991, 1993). Thus, regulatory risk is used as a specific component to be estimated without risk model of the companies that make up the regulated sector, that is, a risk premium to be used without an expected surplus discount (MODIGLIANI; MILLER, 1958). This study analyzes the electric power sector and the impact of regulation. The general objective was to verify the degree of regulatory risk in the electric power sector, and to specifically identify indicators and estimate the degree of regulatory risk. As theoretical bases for the Institutional Theory and Costs of Transformation that provide the understandings, the market distortions. In addition, the issue of regulatory risk is addressed through the risk and return relationship commonly used to test the Peltzman (1976) hypothesis. Thus, a sample of companies whose attendance at the trading sessions was 98% in the corresponding year was selected and excluded as companies with distortions or without values of the control variables. As the market portfolio of the experienced the IBOVESPA and MSCI, and risk free asset of the CDI, savings and TJLP. Already as temporal windows of 2 and, to strengthen or study, 3 years with daily, weekly and monthly data. These choices sought to strengthen this study and comparisons of assumptions scenarios. So, calculate the model of the CAPM model and adopted, save yourself some control variables and dummys. The results of the study suggest strong evidence corroborating a Peltzman (1976) hypothesis that regulation reduces the systematic risk of regulated firms.