Custo de capital e investimentos corporativos: um estudo de empresas brasileiras de capital aberto

Detalhes bibliográficos
Autor(a) principal: Xavier, Rodolfo Weber Silva
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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spelling 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
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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
dc.publisher.country.fl_str_mv BR
dc.publisher.department.fl_str_mv Centro de Ciências Jurídicas e Econômicas
publisher.none.fl_str_mv Universidade Federal do Espírito Santo
Mestrado em Ciências Contábeis
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