O risco sistemático e a taxa de retorno regulatória no segmento de distribuição de energia elétrica

• Autor(a) principal: Sousa, Victor Pereira de
• Data de Publicação: 2015
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
• Texto Completo: https://hdl.handle.net/10438/17549
• topic: Capital asset pricing model (CAPM); Regulatory risk; Systematic risk; Regulation; Risco regulatório; Risco sistemático; Regulação; Economia; Risco (Economia); Avaliação de ativos – Modelo (CAPM); Ações (Finanças) - Preços; Agências reguladoras de atividades privadas

In this work we analyze the systematic risk implied in the Brazilian electricity distribution sector and compare it with the evolution of regulatory return rate (WACC Regulatory), in order to identify the presence of an additional risk premium with characteristics of regulatory risk. The energy distribution sector and its energy tariffs (price-caps) are regulated by the Brazilian Electricity Regulatory Agency (ANEEL). The agency performs tariff revisions, every four/five years, in order to reestablish the financial-economic balance of concessionaires and to provide any adjustments to the regulatory model. The main step consists in measure the minimum regulatory return to reward the invested capital. Currently the sector goes through the 4th cycle of rate review (form 2015 to 2019) and, unlike the first two processes; ANEEL does not include the regulatory risk component in the composition of the Regulatory WACC (from CAPM methodology). Despite advances in the creation and consolidation of the regulatory model, the sector has faced serious problems in the regulatory/political front and huge financial losses in all electricity segments, resulting in a significant increase in systematic risk. The main sector’s events and their side-effects were analyzed in this work. In order to identify factors that explain the presence of additional risk in electric utilities, this work analyzes the evolution of some electricity distributors’ betas and applied a multi-factor panel data model. The main conclusion is that regulatory instability and institutional uncertainties affects the sector`systematic risk (betas) and show evidences to support the presence of a non-diversifiable regulatory risk. On the other hand, a stable and properly regulatory framework reduces the variance of returns, reduces the betas and the required rate of return for investments in a sector that is capital intensive and long-term investment.