A internacionalização de empresas brasileiras e a criação de valor para o acionista

• Autor(a) principal: Muller, Wilson Roberto Iscaro
• Data de Publicação: 2008
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Biblioteca Digital de Teses e Dissertações da PUC_SP
• Texto Completo: https://tede2.pucsp.br/handle/handle/1299
• topic: Multinacionais brasileiras; Internacionalização e performance; Criação de valor; Acoes (Financas); Empresas multinacionais -- Brasil; Valor; Brazilian multinationals; Internationalization and performance; Value creation; CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::ADMINISTRACAO DE EMPRESAS

The aim of this paper is analyze whether, compared with domestic companies, the internationalization of brazilian companies created value to their shareholders, through the better market return as well as through the reduction of investment risk, considering the total risk and the systematic risk, or through the risk return relationship. Using the IBX-100 index as data base, we create a portfolio with brazilian multinational companies and other portfolio with brazilian domestic companies, then we compared the performance of each portfolio by monthy average return, total risk, systematic risk, Sharpe Ratio, Treynor Ratio and Jensen s Alpha. Basing on these first samples, we create two other groups of portfolios, one group composed by portolofios with only private companies and other group composed by portfolios with only companies of the same industry. The performance of these three groups of portfolios had compared for three diferent periods, first from 1996 to 2007 including controlled exchange rate period (from 1996 to 1998), free floating exchange rate period with depreciation of brazilian Real (from 1999 to 2002) and free floating exchange rate period with appreciation of brazilian Real (from 2003 to 2007); the second period from 1999 to 2007 comprise the free floating exchange rate era it included a free floating exchange rate period with depreciation of brazilian Real (from 1999 to 2002) and a free floating exchange rate period with appreciation of brazilian Real (from 2003 to 2007); and the thirth period from 2003 to 2007 comprise only the free floating exchange rate period with appreciation of brazilian Real. The findings show that internationalization created value to shareholders for all portfolios and periods, except when we compared the portfolios of multinational and domestic companies of the same industry during the period of the brazilian Real appreciation, when we find a divergence between a lower premium for multinationals relating to the systematic risk Treynor Ratio and Jensen s Alpha and a higher premium for multinationals relating to the total risk Sharpe Ratio