Ratings, qualidade creditícia e estrutura de capital em países emergentes
Autor(a) principal: | |
---|---|
Data de Publicação: | 2023 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Manancial - Repositório Digital da UFSM |
Texto Completo: | http://repositorio.ufsm.br/handle/1/28586 |
Resumo: | The companies' access to credit is a relevant factor to enable investments and the development of companies. In this sense, instruments for measuring the ability of companies to honor their debts are crucial for creditors, which is why credit ratings emerge as a pertinent measurement of the creditworthiness of companies, centralized by rating agencies, rather than to be evaluated individually by each creditor agent. The rating of countries (Sovereign Rating) also reflects the economic situation of a given country, consequently impacting the performance of domestic companies. In this sense, this research studied the interaction between the credit ratings of firms in emerging countries, the sovereign rating of these countries and variables of credit quality and capital structure of these firms, verifying if firms with a rating equal to or greater than the sovereign are impacted by a swing in the sovereign rating (the “sovereign ceiling effect”). The interactions between credit rating and Long-Term Debt, Debt/EBITDA, Total Debt, among others, were also studied. Data from 2000 to 2021 were collected from 16 emerging countries. Using the Dynamic Diff-in-Diff methodology with Kernel Propensity Score Matching (PSM), it was found that the effect of a sovereign downgrade is asymmetric between companies, but different from what occurs in the study of some authors , in this research, the reduction is smaller for companies rated above or equal to the sovereign. The effect on the Debt/EBITDA was also different from what was expected, and other significant variables were consistent with what was presented in other studies. This dissertation and the presented results converge to the fact that even though several authors have found similar results regarding the interactions between sovereign and credit ratings, there are still numerous points to be researched more deeply, especially regarding the contrast between the reality of developed and emerging countries |
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2023-04-06T19:22:16Z2023-04-06T19:22:16Z2023-02-01http://repositorio.ufsm.br/handle/1/28586The companies' access to credit is a relevant factor to enable investments and the development of companies. In this sense, instruments for measuring the ability of companies to honor their debts are crucial for creditors, which is why credit ratings emerge as a pertinent measurement of the creditworthiness of companies, centralized by rating agencies, rather than to be evaluated individually by each creditor agent. The rating of countries (Sovereign Rating) also reflects the economic situation of a given country, consequently impacting the performance of domestic companies. In this sense, this research studied the interaction between the credit ratings of firms in emerging countries, the sovereign rating of these countries and variables of credit quality and capital structure of these firms, verifying if firms with a rating equal to or greater than the sovereign are impacted by a swing in the sovereign rating (the “sovereign ceiling effect”). The interactions between credit rating and Long-Term Debt, Debt/EBITDA, Total Debt, among others, were also studied. Data from 2000 to 2021 were collected from 16 emerging countries. Using the Dynamic Diff-in-Diff methodology with Kernel Propensity Score Matching (PSM), it was found that the effect of a sovereign downgrade is asymmetric between companies, but different from what occurs in the study of some authors , in this research, the reduction is smaller for companies rated above or equal to the sovereign. The effect on the Debt/EBITDA was also different from what was expected, and other significant variables were consistent with what was presented in other studies. This dissertation and the presented results converge to the fact that even though several authors have found similar results regarding the interactions between sovereign and credit ratings, there are still numerous points to be researched more deeply, especially regarding the contrast between the reality of developed and emerging countriesO acesso das empresas ao crédito é um fator relevante para viabilizar investimentos e o desenvolvimento das firmas. Nesse sentido, é crucial para os agentes credores os instrumentos de mensuração da capacidade das empresas honrarem suas dívidas, motivo pelo qual os ratings de crédito surgem como uma pertinente avaliação da capacidade creditícia das firmas, efetuado de maneira centralizada pelas agências de rating, em vez desta capacidade ser avaliada individualmente por cada agente credor. O rating dos países (soberano) também retrata a situação econômica de determinada nação, consequentemente impactando no desempenho das empresas domésticas. Nesse sentido, esta pesquisa estudou a interação entre os ratings de crédito das firmas em países emergentes, o rating soberano destes países e variáveis de qualidade de crédito e estrutura de capital destas empresas, verificando de que maneira as firmas com rating igual ou superior ao soberano são impactadas por uma oscilação no rating soberano (o denominado “efeito do teto soberano”). Além desse efeito, foram estudados também as interações entre o rating de crédito e Dívida de Longo Prazo, Dívida/EBITDA, Dívida Total, entre outras. Foram coletados dados dos anos 2000 a 2021, de 16 países emergentes. Pela metodologia da Diferenças-em-Diferenças (Diff-in-Diff) Dinâmico com Propensity Score Matching (PSM), verificou-se que o efeito de um downgrade soberano é assimétrico entre as empresas, mas diferente do que ocorre no estudo de alguns autores, nesta pesquisa, a redução é menor para empresas de rating acima ou igual ao soberano. O efeito na variável Dívida/EBITDA também foi distinto do esperado, e outras variáveis significativas foram condizentes com o apresentado em outras pesquisas. Esta dissertação e os resultados apresentados convergem para o fato de que mesmo que diversos autores tenham encontrado resultados parecidos no que se refere às interações entre rating soberano e de crédito, ainda há inúmeros pontos a serem aprofundados, sobretudo na contraposição entre a realidade dos países desenvolvidos e emergentes.porUniversidade Federal de Santa MariaCentro de Ciências Sociais e HumanasPrograma de Pós-Graduação em AdministraçãoUFSMBrasilAdministraçãoAttribution-NonCommercial-NoDerivatives 4.0 Internationalhttp://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessCréditoRating soberanoRatingCreditSovereign ratingSovereign ceilingCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAORatings, qualidade creditícia e estrutura de capital em países emergentesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisSonza, Igor Bernardihttp://lattes.cnpq.br/0001554374469356Freitas, Clailton Ataídes deColombo, Jéfferson Augustohttp://lattes.cnpq.br/7748079284728407Homrich, Pedro Oliveira6002000000066006006006006001c0ef05b-2862-4582-9f9d-e14724de30b33d805de2-e7c3-4d40-a641-1a062916d3742191d0b8-8c3f-4b6c-b2ca-a4d5d7e497959b1c39f5-1118-4167-892f-dacdb6a150fdreponame:Manancial - Repositório Digital da UFSMinstname:Universidade Federal de Santa Maria (UFSM)instacron:UFSMORIGINALDIS_PPGADMINISTRACAO_2023_HOMRICH_PEDRO.pdfDIS_PPGADMINISTRACAO_2023_HOMRICH_PEDRO.pdfDissertação de Mestradoapplication/pdf914227http://repositorio.ufsm.br/bitstream/1/28586/1/DIS_PPGADMINISTRACAO_2023_HOMRICH_PEDRO.pdf141e40d47d099485876cbf97e6cba172MD51CC-LICENSElicense_rdflicense_rdfapplication/rdf+xml; charset=utf-8805http://repositorio.ufsm.br/bitstream/1/28586/2/license_rdf4460e5956bc1d1639be9ae6146a50347MD52LICENSElicense.txtlicense.txttext/plain; charset=utf-81956http://repositorio.ufsm.br/bitstream/1/28586/3/license.txt2f0571ecee68693bd5cd3f17c1e075dfMD531/285862023-04-06 16:22:17.036oai:repositorio.ufsm.br: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ório Institucionalhttp://repositorio.ufsm.br/PUBhttp://repositorio.ufsm.br/oai/requestopendoar:39132023-04-06T19:22:17Manancial - Repositório Digital da UFSM - Universidade Federal de Santa Maria (UFSM)false |
dc.title.por.fl_str_mv |
Ratings, qualidade creditícia e estrutura de capital em países emergentes |
title |
Ratings, qualidade creditícia e estrutura de capital em países emergentes |
spellingShingle |
Ratings, qualidade creditícia e estrutura de capital em países emergentes Homrich, Pedro Oliveira Crédito Rating soberano Rating Credit Sovereign rating Sovereign ceiling CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
title_short |
Ratings, qualidade creditícia e estrutura de capital em países emergentes |
title_full |
Ratings, qualidade creditícia e estrutura de capital em países emergentes |
title_fullStr |
Ratings, qualidade creditícia e estrutura de capital em países emergentes |
title_full_unstemmed |
Ratings, qualidade creditícia e estrutura de capital em países emergentes |
title_sort |
Ratings, qualidade creditícia e estrutura de capital em países emergentes |
author |
Homrich, Pedro Oliveira |
author_facet |
Homrich, Pedro Oliveira |
author_role |
author |
dc.contributor.advisor1.fl_str_mv |
Sonza, Igor Bernardi |
dc.contributor.advisor1Lattes.fl_str_mv |
http://lattes.cnpq.br/0001554374469356 |
dc.contributor.referee1.fl_str_mv |
Freitas, Clailton Ataídes de |
dc.contributor.referee2.fl_str_mv |
Colombo, Jéfferson Augusto |
dc.contributor.authorLattes.fl_str_mv |
http://lattes.cnpq.br/7748079284728407 |
dc.contributor.author.fl_str_mv |
Homrich, Pedro Oliveira |
contributor_str_mv |
Sonza, Igor Bernardi Freitas, Clailton Ataídes de Colombo, Jéfferson Augusto |
dc.subject.por.fl_str_mv |
Crédito Rating soberano |
topic |
Crédito Rating soberano Rating Credit Sovereign rating Sovereign ceiling CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
dc.subject.eng.fl_str_mv |
Rating Credit Sovereign rating Sovereign ceiling |
dc.subject.cnpq.fl_str_mv |
CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
description |
The companies' access to credit is a relevant factor to enable investments and the development of companies. In this sense, instruments for measuring the ability of companies to honor their debts are crucial for creditors, which is why credit ratings emerge as a pertinent measurement of the creditworthiness of companies, centralized by rating agencies, rather than to be evaluated individually by each creditor agent. The rating of countries (Sovereign Rating) also reflects the economic situation of a given country, consequently impacting the performance of domestic companies. In this sense, this research studied the interaction between the credit ratings of firms in emerging countries, the sovereign rating of these countries and variables of credit quality and capital structure of these firms, verifying if firms with a rating equal to or greater than the sovereign are impacted by a swing in the sovereign rating (the “sovereign ceiling effect”). The interactions between credit rating and Long-Term Debt, Debt/EBITDA, Total Debt, among others, were also studied. Data from 2000 to 2021 were collected from 16 emerging countries. Using the Dynamic Diff-in-Diff methodology with Kernel Propensity Score Matching (PSM), it was found that the effect of a sovereign downgrade is asymmetric between companies, but different from what occurs in the study of some authors , in this research, the reduction is smaller for companies rated above or equal to the sovereign. The effect on the Debt/EBITDA was also different from what was expected, and other significant variables were consistent with what was presented in other studies. This dissertation and the presented results converge to the fact that even though several authors have found similar results regarding the interactions between sovereign and credit ratings, there are still numerous points to be researched more deeply, especially regarding the contrast between the reality of developed and emerging countries |
publishDate |
2023 |
dc.date.accessioned.fl_str_mv |
2023-04-06T19:22:16Z |
dc.date.available.fl_str_mv |
2023-04-06T19:22:16Z |
dc.date.issued.fl_str_mv |
2023-02-01 |
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.ufsm.br/handle/1/28586 |
url |
http://repositorio.ufsm.br/handle/1/28586 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.cnpq.fl_str_mv |
600200000006 |
dc.relation.confidence.fl_str_mv |
600 600 600 600 600 |
dc.relation.authority.fl_str_mv |
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Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/ info:eu-repo/semantics/openAccess |
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Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/ |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Universidade Federal de Santa Maria Centro de Ciências Sociais e Humanas |
dc.publisher.program.fl_str_mv |
Programa de Pós-Graduação em Administração |
dc.publisher.initials.fl_str_mv |
UFSM |
dc.publisher.country.fl_str_mv |
Brasil |
dc.publisher.department.fl_str_mv |
Administração |
publisher.none.fl_str_mv |
Universidade Federal de Santa Maria Centro de Ciências Sociais e Humanas |
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