Corporate Governance and Beta of Listed Companies at BM&FBOVESPA - DOI: http://dx.doi.org/10.16930/2237-7662/rccc.v14n43p51-62

Detalhes bibliográficos
Autor(a) principal: Cazzari, Roberto Bomgiovani
Data de Publicação: 2015
Outros Autores: Fávero, Luiz Paulo Lopes, Takamatsu, Renata Turola
Tipo de documento: Artigo
Idioma: por
Título da fonte: Revista Catarinense da Ciência Contábil (Online)
Texto Completo: https://revista.crcsc.org.br/index.php/CRCSC/article/view/2108
Resumo: This paper aimed at studying the relationship between the level of corporate governance and the betas of the companies. If all investors are rational, as foreseen in the CAPM, they are already working with minimum variance portfolios, according to Markowitz (1952). Thus, the only risk that everyone would be subjected to was the systemic risk. Additionally, these same investors would keep the same market portfolio for all risky assets. Therefore, in this view, an idiosyncratic risk as the risk of poor governance should already have been diversified in the previous step and should not be directly related to the beta of a given company. In this view, the beta would represent only risks linked to the systemic aspect. However, Parigi, Pelizzon and von Thadden (2013) proposed a model that includes corporate governance to the CAPM. Unlike seen by the classical theory of the CAPM, these authors developed a model that predicts that the quality of corporate governance is positively correlated with beta and idiosyncratic volatility, but negatively correlated with the return on assets. To test which theory has better explanatory power for the Brazilian scenario, we tested the hypothesis of independence between the beta and the quality of corporate governance of companies listed at BM&FBOVESPA. The findings of this paper have not shown that the quality of corporate governance is positively related with the beta, but that they are independent. This seems to be a strong indication that the beta in the Brazilian scenario does not reflect an idiosyncratic risk as the risk of bad governance, but a systemic risk which relates better to the classical theory of CAPM.
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spelling Corporate Governance and Beta of Listed Companies at BM&FBOVESPA - DOI: http://dx.doi.org/10.16930/2237-7662/rccc.v14n43p51-62Governança Corporativa e Beta de Empresas Listadas na BM&FBOVESPACorporate governanceCAPMBeta.Governança CorporativaCAPMBeta.This paper aimed at studying the relationship between the level of corporate governance and the betas of the companies. If all investors are rational, as foreseen in the CAPM, they are already working with minimum variance portfolios, according to Markowitz (1952). Thus, the only risk that everyone would be subjected to was the systemic risk. Additionally, these same investors would keep the same market portfolio for all risky assets. Therefore, in this view, an idiosyncratic risk as the risk of poor governance should already have been diversified in the previous step and should not be directly related to the beta of a given company. In this view, the beta would represent only risks linked to the systemic aspect. However, Parigi, Pelizzon and von Thadden (2013) proposed a model that includes corporate governance to the CAPM. Unlike seen by the classical theory of the CAPM, these authors developed a model that predicts that the quality of corporate governance is positively correlated with beta and idiosyncratic volatility, but negatively correlated with the return on assets. To test which theory has better explanatory power for the Brazilian scenario, we tested the hypothesis of independence between the beta and the quality of corporate governance of companies listed at BM&FBOVESPA. The findings of this paper have not shown that the quality of corporate governance is positively related with the beta, but that they are independent. This seems to be a strong indication that the beta in the Brazilian scenario does not reflect an idiosyncratic risk as the risk of bad governance, but a systemic risk which relates better to the classical theory of CAPM.Este artigo busca estudar a relação entre o nível de governança corporativa e os betas das empresas. Se todos os investidores forem racionais, tal como prevê as premissas do modelo de precificação de ativos - CAPM, esses já estão trabalhando com carteiras de mínima variância, conforme demonstrou Markowitz (1952). Logo, o único risco a que todos estariam submetidos seria o sistêmico. Nessa visão, um risco idiossincrático, como o risco de má governança, já deveria ter sido diversificado na etapa anterior e não deveria estar diretamente relacionado ao beta de uma dada empresa, que inclui o risco da empresa ligado a aspectos sistêmicos. Porém Parigi, Pelizzon e von Thadden (2013) propuseram um modelo que incorporasse a governança corporativa ao CAPM. Diferentemente do visto pela clássica teoria do CAPM, referidos autores desenvolveram um modelo que prediz que a qualidade da governança das empresas se correlaciona positivamente com o beta e a volatilidade idiossincrática, porém negativamente com o retorno nos ativos. Para testar qual teoria possui melhor poder explicativo para o cenário brasileiro, testou-se a hipótese de independência entre o beta e a qualidade da governança corporativa de empresas listadas na BM&FBOVESPA. Os achados não mostraram que a qualidade da governança das empresas se relaciona positivamente com o beta, mas que são independentes. Isso parece ser um forte indício de que o beta, em cenário brasileiro, não reflete um risco idiossincrático como o risco de má governança, mas o risco sistêmico, o que o relaciona melhor à clássica teoria do CAPM.Conselho Regional de Contabilidade de Santa Catarina2015-12-10info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://revista.crcsc.org.br/index.php/CRCSC/article/view/210810.16930/2237-7662/rccc.v14n43p51-62Revista Catarinense da Ciência Contábil; Vol. 14 No. 43 (2015): Setembro-Dezembro; p. 51-62Revista Catarinense da Ciência Contábil; v. 14 n. 43 (2015): Setembro-Dezembro; p. 51-622237-76621808-3781reponame:Revista Catarinense da Ciência Contábil (Online)instname:Conselho Regional de Contabilidade de Santa Catarina (CRCSC)instacron:CRCSCporhttps://revista.crcsc.org.br/index.php/CRCSC/article/view/2108/1863Copyright (c) 2015 Revista Catarinense da Ciência Contábilhttps://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessCazzari, Roberto BomgiovaniFávero, Luiz Paulo LopesTakamatsu, Renata Turola2024-03-11T13:45:56Zoai:ojs.pkp.sfu.ca:article/2108Revistahttp://www.atena.org.br/revista/ojs-2.2.3-06/index.php/crcscPRIhttp://revista.crcsc.org.br/revista/ojs-2.2.3-06/index.php/CRCSC/oai||revista@crcsc.org.br2237-76621808-3781opendoar:2024-03-11T13:45:56Revista Catarinense da Ciência Contábil (Online) - Conselho Regional de Contabilidade de Santa Catarina (CRCSC)false
dc.title.none.fl_str_mv Corporate Governance and Beta of Listed Companies at BM&FBOVESPA - DOI: http://dx.doi.org/10.16930/2237-7662/rccc.v14n43p51-62
Governança Corporativa e Beta de Empresas Listadas na BM&FBOVESPA
title Corporate Governance and Beta of Listed Companies at BM&FBOVESPA - DOI: http://dx.doi.org/10.16930/2237-7662/rccc.v14n43p51-62
spellingShingle Corporate Governance and Beta of Listed Companies at BM&FBOVESPA - DOI: http://dx.doi.org/10.16930/2237-7662/rccc.v14n43p51-62
Cazzari, Roberto Bomgiovani
Corporate governance
CAPM
Beta.
Governança Corporativa
CAPM
Beta.
title_short Corporate Governance and Beta of Listed Companies at BM&FBOVESPA - DOI: http://dx.doi.org/10.16930/2237-7662/rccc.v14n43p51-62
title_full Corporate Governance and Beta of Listed Companies at BM&FBOVESPA - DOI: http://dx.doi.org/10.16930/2237-7662/rccc.v14n43p51-62
title_fullStr Corporate Governance and Beta of Listed Companies at BM&FBOVESPA - DOI: http://dx.doi.org/10.16930/2237-7662/rccc.v14n43p51-62
title_full_unstemmed Corporate Governance and Beta of Listed Companies at BM&FBOVESPA - DOI: http://dx.doi.org/10.16930/2237-7662/rccc.v14n43p51-62
title_sort Corporate Governance and Beta of Listed Companies at BM&FBOVESPA - DOI: http://dx.doi.org/10.16930/2237-7662/rccc.v14n43p51-62
author Cazzari, Roberto Bomgiovani
author_facet Cazzari, Roberto Bomgiovani
Fávero, Luiz Paulo Lopes
Takamatsu, Renata Turola
author_role author
author2 Fávero, Luiz Paulo Lopes
Takamatsu, Renata Turola
author2_role author
author
dc.contributor.author.fl_str_mv Cazzari, Roberto Bomgiovani
Fávero, Luiz Paulo Lopes
Takamatsu, Renata Turola
dc.subject.por.fl_str_mv Corporate governance
CAPM
Beta.
Governança Corporativa
CAPM
Beta.
topic Corporate governance
CAPM
Beta.
Governança Corporativa
CAPM
Beta.
description This paper aimed at studying the relationship between the level of corporate governance and the betas of the companies. If all investors are rational, as foreseen in the CAPM, they are already working with minimum variance portfolios, according to Markowitz (1952). Thus, the only risk that everyone would be subjected to was the systemic risk. Additionally, these same investors would keep the same market portfolio for all risky assets. Therefore, in this view, an idiosyncratic risk as the risk of poor governance should already have been diversified in the previous step and should not be directly related to the beta of a given company. In this view, the beta would represent only risks linked to the systemic aspect. However, Parigi, Pelizzon and von Thadden (2013) proposed a model that includes corporate governance to the CAPM. Unlike seen by the classical theory of the CAPM, these authors developed a model that predicts that the quality of corporate governance is positively correlated with beta and idiosyncratic volatility, but negatively correlated with the return on assets. To test which theory has better explanatory power for the Brazilian scenario, we tested the hypothesis of independence between the beta and the quality of corporate governance of companies listed at BM&FBOVESPA. The findings of this paper have not shown that the quality of corporate governance is positively related with the beta, but that they are independent. This seems to be a strong indication that the beta in the Brazilian scenario does not reflect an idiosyncratic risk as the risk of bad governance, but a systemic risk which relates better to the classical theory of CAPM.
publishDate 2015
dc.date.none.fl_str_mv 2015-12-10
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url https://revista.crcsc.org.br/index.php/CRCSC/article/view/2108
identifier_str_mv 10.16930/2237-7662/rccc.v14n43p51-62
dc.language.iso.fl_str_mv por
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dc.relation.none.fl_str_mv https://revista.crcsc.org.br/index.php/CRCSC/article/view/2108/1863
dc.rights.driver.fl_str_mv Copyright (c) 2015 Revista Catarinense da Ciência Contábil
https://creativecommons.org/licenses/by/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2015 Revista Catarinense da Ciência Contábil
https://creativecommons.org/licenses/by/4.0
eu_rights_str_mv openAccess
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dc.publisher.none.fl_str_mv Conselho Regional de Contabilidade de Santa Catarina
publisher.none.fl_str_mv Conselho Regional de Contabilidade de Santa Catarina
dc.source.none.fl_str_mv Revista Catarinense da Ciência Contábil; Vol. 14 No. 43 (2015): Setembro-Dezembro; p. 51-62
Revista Catarinense da Ciência Contábil; v. 14 n. 43 (2015): Setembro-Dezembro; p. 51-62
2237-7662
1808-3781
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