Custo de capital e investimentos corporativos: um estudo de empresas brasileiras de capital aberto
Autor(a) principal: | |
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Data de Publicação: | 2019 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional da Universidade Federal do Espírito Santo (riUfes) |
Texto Completo: | http://repositorio.ufes.br/handle/10/13693 |
Resumo: | Investment decisions that generate wealth for shareholders and maximize firm value usually need to consider the cost of capital to be employed. By proposing an analysis of the cost of capital influence on firms corporate investment it is possible to provide information on how investment decisions are influenced by the cost of capital. In this study the model proposed by Frank and Shen (2016) is used to evaluate the impact of the cost of capital on firms corporate investment within Brazilian companies traded at Sao Paulo Stock Exchange (B3). The sample is composed of 399 companies with annual accounting data between 2005 and 2018. The econometric model relates cost of capital and cash flow with investments and uses regressions with panel data. For the calculation of the Weighted Average Cost of Capital (WACC), two models are used for the components of cost of equity: General Capital Asset Pricing Model (GCAPM) and Implied Cost of Capital (ICC). The ICC estimate is based on Hou et al. (2012), which uses regression techniques from accounting data to forecast earnings, and from these forecasts estimate the implied cost of capital. We conclude that the WACC has significant and negative impact on investments. In addition, we conclude that when the WACC is estimated using the ICC, it has a greater impact on the association with the investment, and the ICC can better capture the relation between the cost of capital and investments in Brazilian companies. The approach adopted in this study allow us to understand the application of the ICC calculation model from accounting data, different from usual models based on analysts’ forecasts. This methodology is a viable and interesting alternative to estimate the implied cost of capital in developing markets, characterized by greater information asymmetry and few companies covered by market analysts. |
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Bortolon, Patricia Mariahttps://orcid.org/0000000180873837http://lattes.cnpq.br/6847890114495039Xavier, Rodolfo Weber Silvahttps://orcid.org/0000-0003-3253-9003http://lattes.cnpq.br/4680175176167968Almeida, Jose Elias Feres dehttps://orcid.org/http://lattes.cnpq.br/0351268814121118Azevedo, Vitor Goncalves dehttps://orcid.org/http://lattes.cnpq.br/42155020615239962024-05-29T22:12:05Z2024-05-29T22:12:05Z2019-07-31Investment decisions that generate wealth for shareholders and maximize firm value usually need to consider the cost of capital to be employed. By proposing an analysis of the cost of capital influence on firms corporate investment it is possible to provide information on how investment decisions are influenced by the cost of capital. In this study the model proposed by Frank and Shen (2016) is used to evaluate the impact of the cost of capital on firms corporate investment within Brazilian companies traded at Sao Paulo Stock Exchange (B3). The sample is composed of 399 companies with annual accounting data between 2005 and 2018. The econometric model relates cost of capital and cash flow with investments and uses regressions with panel data. For the calculation of the Weighted Average Cost of Capital (WACC), two models are used for the components of cost of equity: General Capital Asset Pricing Model (GCAPM) and Implied Cost of Capital (ICC). The ICC estimate is based on Hou et al. (2012), which uses regression techniques from accounting data to forecast earnings, and from these forecasts estimate the implied cost of capital. We conclude that the WACC has significant and negative impact on investments. In addition, we conclude that when the WACC is estimated using the ICC, it has a greater impact on the association with the investment, and the ICC can better capture the relation between the cost of capital and investments in Brazilian companies. The approach adopted in this study allow us to understand the application of the ICC calculation model from accounting data, different from usual models based on analysts’ forecasts. This methodology is a viable and interesting alternative to estimate the implied cost of capital in developing markets, characterized by greater information asymmetry and few companies covered by market analysts.Decisões de investimentos que gerem riqueza para os acionistas e maximizem o valor da firma, normalmente precisam levar em consideração o custo do capital a ser empregado. Ao propor uma análise do impacto do custo de capital no nível de investimento das empresas é possível fornecer informações sobre como essas decisões são influenciadas pelo custo de capital. Neste estudo o modelo proposto por Frank e Shen (2016) é utilizado para avaliar o impacto do custo de capital no nível de investimento das empresas brasileiras negociadas na bolsa de valores de São Paulo (B3). A amostra é composta de 399 empresas com dados contábeis anuais entre 2005 e 2018. O modelo econométrico relaciona custo de capital e fluxo de caixa com investimentos e utiliza regressões com dados em painel. Para o cálculo do custo médio ponderado de capital (WACC) são utilizados dois modelos para a parcela do custo de capital próprio: General Capital Asset Pricing Model (GCAPM) e Implied Cost of Capital (ICC). A estimativa do ICC é baseada no método de Hou et al. (2012), o qual utiliza técnicas de regressão a partir de dados contábeis para realizar previsões de lucro, e então estimar o custo de capital próprio implícito. A pesquisa concluiu que o WACC possui um impacto significativo e negativo no nível de investimentos. É possível concluir também que quando o WACC é calculado utilizando o ICC, ele possui um maior impacto na associação com o investimento, e o ICC pode capturar melhor a relação entre o custo de capital e os investimentos nas empresas brasileiras. A abordagem adotada no estudo permite entender a aplicação do modelo de cálculo do ICC a partir de dados contábeis, diferente dos modelos usuais, baseados em previsões de analistas de mercado. Esta metodologia permite uma alternativa viável e interessante para estimar o custo de capital implícito em mercados em desenvolvimento, caracterizados por maior assimetria informacional e poucas empresas cobertas por analistas de mercado. Texthttp://repositorio.ufes.br/handle/10/13693porUniversidade Federal do Espírito SantoMestrado em Ciências ContábeisPrograma de Pós-Graduação em Ciências ContábeisUFESBRCentro de Ciências Jurídicas e Econômicassubject.br-rjbnCiências ContábeisInvestimentosCusto Médio Ponderado de CapitalCusto de capital próprioCusto de capital Implícito.CAPMInvestmentsWeighted Average Cost of CapitalCost of EquityImplied Cost of CapitalCAPMCusto de capital e investimentos corporativos: um estudo de empresas brasileiras de capital abertotitle.alternativeinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da Universidade Federal do Espírito Santo (riUfes)instname:Universidade Federal do Espírito Santo (UFES)instacron:UFESORIGINALrodolfo.pdfapplication/pdf842012http://repositorio.ufes.br/bitstreams/52cc84f2-0927-4d67-98c4-b8024794c169/downloadee7c8941c50c37af020ba65778d0fa4cMD5110/136932024-08-19 13:46:08.311oai:repositorio.ufes.br:10/13693http://repositorio.ufes.brRepositório InstitucionalPUBhttp://repositorio.ufes.br/oai/requestopendoar:21082024-10-15T17:58:31.980404Repositório Institucional da Universidade Federal do Espírito Santo (riUfes) - Universidade Federal do Espírito Santo (UFES)false |
dc.title.none.fl_str_mv |
Custo de capital e investimentos corporativos: um estudo de empresas brasileiras de capital aberto |
dc.title.alternative.none.fl_str_mv |
title.alternative |
title |
Custo de capital e investimentos corporativos: um estudo de empresas brasileiras de capital aberto |
spellingShingle |
Custo de capital e investimentos corporativos: um estudo de empresas brasileiras de capital aberto Xavier, Rodolfo Weber Silva Ciências Contábeis Investimentos Custo Médio Ponderado de Capital Custo de capital próprio Custo de capital Implícito. CAPM Investments Weighted Average Cost of Capital Cost of Equity Implied Cost of Capital CAPM subject.br-rjbn |
title_short |
Custo de capital e investimentos corporativos: um estudo de empresas brasileiras de capital aberto |
title_full |
Custo de capital e investimentos corporativos: um estudo de empresas brasileiras de capital aberto |
title_fullStr |
Custo de capital e investimentos corporativos: um estudo de empresas brasileiras de capital aberto |
title_full_unstemmed |
Custo de capital e investimentos corporativos: um estudo de empresas brasileiras de capital aberto |
title_sort |
Custo de capital e investimentos corporativos: um estudo de empresas brasileiras de capital aberto |
author |
Xavier, Rodolfo Weber Silva |
author_facet |
Xavier, Rodolfo Weber Silva |
author_role |
author |
dc.contributor.authorID.none.fl_str_mv |
https://orcid.org/0000-0003-3253-9003 |
dc.contributor.authorLattes.none.fl_str_mv |
http://lattes.cnpq.br/4680175176167968 |
dc.contributor.advisor1.fl_str_mv |
Bortolon, Patricia Maria |
dc.contributor.advisor1ID.fl_str_mv |
https://orcid.org/0000000180873837 |
dc.contributor.advisor1Lattes.fl_str_mv |
http://lattes.cnpq.br/6847890114495039 |
dc.contributor.author.fl_str_mv |
Xavier, Rodolfo Weber Silva |
dc.contributor.referee1.fl_str_mv |
Almeida, Jose Elias Feres de |
dc.contributor.referee1ID.fl_str_mv |
https://orcid.org/ |
dc.contributor.referee1Lattes.fl_str_mv |
http://lattes.cnpq.br/0351268814121118 |
dc.contributor.referee2.fl_str_mv |
Azevedo, Vitor Goncalves de |
dc.contributor.referee2ID.fl_str_mv |
https://orcid.org/ |
dc.contributor.referee2Lattes.fl_str_mv |
http://lattes.cnpq.br/4215502061523996 |
contributor_str_mv |
Bortolon, Patricia Maria Almeida, Jose Elias Feres de Azevedo, Vitor Goncalves de |
dc.subject.cnpq.fl_str_mv |
Ciências Contábeis |
topic |
Ciências Contábeis Investimentos Custo Médio Ponderado de Capital Custo de capital próprio Custo de capital Implícito. CAPM Investments Weighted Average Cost of Capital Cost of Equity Implied Cost of Capital CAPM subject.br-rjbn |
dc.subject.por.fl_str_mv |
Investimentos Custo Médio Ponderado de Capital Custo de capital próprio Custo de capital Implícito. CAPM Investments Weighted Average Cost of Capital Cost of Equity Implied Cost of Capital CAPM |
dc.subject.br-rjbn.none.fl_str_mv |
subject.br-rjbn |
description |
Investment decisions that generate wealth for shareholders and maximize firm value usually need to consider the cost of capital to be employed. By proposing an analysis of the cost of capital influence on firms corporate investment it is possible to provide information on how investment decisions are influenced by the cost of capital. In this study the model proposed by Frank and Shen (2016) is used to evaluate the impact of the cost of capital on firms corporate investment within Brazilian companies traded at Sao Paulo Stock Exchange (B3). The sample is composed of 399 companies with annual accounting data between 2005 and 2018. The econometric model relates cost of capital and cash flow with investments and uses regressions with panel data. For the calculation of the Weighted Average Cost of Capital (WACC), two models are used for the components of cost of equity: General Capital Asset Pricing Model (GCAPM) and Implied Cost of Capital (ICC). The ICC estimate is based on Hou et al. (2012), which uses regression techniques from accounting data to forecast earnings, and from these forecasts estimate the implied cost of capital. We conclude that the WACC has significant and negative impact on investments. In addition, we conclude that when the WACC is estimated using the ICC, it has a greater impact on the association with the investment, and the ICC can better capture the relation between the cost of capital and investments in Brazilian companies. The approach adopted in this study allow us to understand the application of the ICC calculation model from accounting data, different from usual models based on analysts’ forecasts. This methodology is a viable and interesting alternative to estimate the implied cost of capital in developing markets, characterized by greater information asymmetry and few companies covered by market analysts. |
publishDate |
2019 |
dc.date.issued.fl_str_mv |
2019-07-31 |
dc.date.accessioned.fl_str_mv |
2024-05-29T22:12:05Z |
dc.date.available.fl_str_mv |
2024-05-29T22:12:05Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://repositorio.ufes.br/handle/10/13693 |
url |
http://repositorio.ufes.br/handle/10/13693 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
Text |
dc.publisher.none.fl_str_mv |
Universidade Federal do Espírito Santo Mestrado em Ciências Contábeis |
dc.publisher.program.fl_str_mv |
Programa de Pós-Graduação em Ciências Contábeis |
dc.publisher.initials.fl_str_mv |
UFES |
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BR |
dc.publisher.department.fl_str_mv |
Centro de Ciências Jurídicas e Econômicas |
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Universidade Federal do Espírito Santo Mestrado em Ciências Contábeis |
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