Analysis of Macroeconomic Variables and the acronym CAMELS on the return of the common shares in large domestic Financial Institutions

• Autor(a) principal: de Godoi, Alexandre Franco
• Data de Publicação: 2016
• Outros Autores: dos Santos, José Odálio, Jacob, Renato Manga, Bertoncelo, Valéria Regina
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: Revista de Administração de Roraima - RARR
• Texto Completo: https://revista.ufrr.br/adminrr/article/view/3236
• topic: return of common shares in the financial institutions; determinants of common shares return; CAMELS.; Retorno da Ação Ordinária nas I.F’s; Determinantes do retorno das ações ordinárias; CAMELS.

The paper aims to contribute to discussions on economic, financial and macroeconomic factors impacting the return of the common shares of the leading large Brazilian banks: Banco do Brazil, Bradesco and Itau-Unibanco. For this, it was built a multiple regression model to evaluate if a set of dependent variables related to macroeconomic fundamentals and the acronym CAMELS contributed in a statistically meaningful way, as determinants of return performance of the common shares of the analyzed banks. The macroeconomic independent variables selected were: GDP; exchange; interest rate; inflation; country risk and the acronym CAMELS - this refers to the ratios: Capital; Assets; Management; Earnings; Liquidity and Sensitivity. In parallel, it was analyzed the level of correlation between the return of the Ibovespa market portfolio with macroeconomic independent variables selected. The results suggest that independent, valid and statistically significant variable, which helped to explain the behavior of the return of the common shares was the return of the Ibovespa market portfolio. In part, it is assumed the consistency of valid variable, based on the assumption that in a favorable economic environment companies tend to have higher level of activities and investments and, consequently, to demand more for the main drivers of bank profitability: credit products for working capital and fixed assets. To validate the high positive correlation between the return of the Ibovespa market portfolio and the risk country, it was assumed the premise that the banks financial performance is directly related to the situation of the economic environment, captured by the country risk evaluation, via EMBI+ methodology.