Volatility and Leverage: an Analysis of Latin American Companies
Autor(a) principal: | |
---|---|
Data de Publicação: | 2023 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | por eng |
Título da fonte: | Contabilidade, Gestão e Governança |
Texto Completo: | https://revistacgg.org/index.php/contabil/article/view/2992 |
Resumo: | Objective: To analyze the relationship between the leverage level and the volatility of Latin American stocks, from January 2005 to June 2020. Method: A multiple linear regression was used, with the coefficients estimated by the GMM and with the data arranged in a panel. Volatility was estimated by the EGARCH model and six leverage measures were used. Originality/Relevance: The study analyzes the relationship between volatility and leverage in the context of Latin America and shows that periods of crisis can affect this relationship. The results are relevant for managers, who can strategically adjust the degree of leverage in order to maximize the company's value for shareholders, and also for investors, as it allows for a better alignment between their risk profile and the desired return. Results: The results indicate that there is a positive relationship between the degree of leverage of the firm and the volatility of assets. It was also found that, in periods of crisis, even if companies reduce their leverage levels, volatility will tend to increase due to the uncertainties related to these periods. Theoretical/Methodological Contributions: In the analysis of the relationship between leverage and volatility, the moderating effect of periods of crisis was also verified and the endogeneity between the variables was considered through the GMM. In addition, volatility was estimated using the EGARCH model, which considers volatility asymmetries, with results controlled by corporate and macroeconomic variables. |
id |
UNB-21_49bd9ae0a5c9a71ea9946ea80007922b |
---|---|
oai_identifier_str |
oai:oai.jamg.cloud:article/2992 |
network_acronym_str |
UNB-21 |
network_name_str |
Contabilidade, Gestão e Governança |
repository_id_str |
|
spelling |
Volatility and Leverage: an Analysis of Latin American CompaniesVolatilidade e Alavancagem: uma Análise das Empresas da América LatinaVolatilidadeAlavancagemCriseEGARCHGMMVolatilityLeverageCrisisEGARCHGMMObjective: To analyze the relationship between the leverage level and the volatility of Latin American stocks, from January 2005 to June 2020. Method: A multiple linear regression was used, with the coefficients estimated by the GMM and with the data arranged in a panel. Volatility was estimated by the EGARCH model and six leverage measures were used. Originality/Relevance: The study analyzes the relationship between volatility and leverage in the context of Latin America and shows that periods of crisis can affect this relationship. The results are relevant for managers, who can strategically adjust the degree of leverage in order to maximize the company's value for shareholders, and also for investors, as it allows for a better alignment between their risk profile and the desired return. Results: The results indicate that there is a positive relationship between the degree of leverage of the firm and the volatility of assets. It was also found that, in periods of crisis, even if companies reduce their leverage levels, volatility will tend to increase due to the uncertainties related to these periods. Theoretical/Methodological Contributions: In the analysis of the relationship between leverage and volatility, the moderating effect of periods of crisis was also verified and the endogeneity between the variables was considered through the GMM. In addition, volatility was estimated using the EGARCH model, which considers volatility asymmetries, with results controlled by corporate and macroeconomic variables.Objetivo: Analisar a relação entre o nível de alavancagem e a volatilidade das ações da América Latina, no período de janeiro de 2005 a junho 2020. Método: Utilizou-se uma regressão linear múltipla, sendo os coeficientes estimados pelo GMM e com os dados dispostos em painel. A volatilidade foi estimada pelo modelo EGARCH e utilizou-se seis medidas de alavancagem. Originalidade/Relevância: O estudo analisa a relação entre volatilidade e alavancagem no contexto da América Latina e mostra que os períodos de crise podem afetar essa relação. Os resultados são relevantes para gestores, que podem ajustar estrategicamente o grau de alavancagem a fim de maximizar o valor da empresa para os acionistas, e também para os investidores, pois permite um melhor alinhamento entre o seu perfil de risco e o retorno almejado. Resultados: Os resultados apontam que há uma relação positiva entre o grau de alavancagem da firma e a volatilidade dos ativos. Também se constatou que, em períodos de crise, mesmo que as empresas reduzam seus níveis alavancagem, a volatilidade tenderá a aumentar devido às incertezas relacionadas a esses períodos. Contribuições Teóricas/Metodológicas: Na análise da relação entre alavancagem e volatilidade, também se verificou o efeito moderador dos períodos de crise e considerou-se a endogeneidade entre as variáveis por meio do GMM. Além disso, a volatilidade foi estimada por meio do modelo EGARCH que considera as assimetrias da volatilidade, sendo os resultados controlados por variáveis corporativas e macroeconômicas.Contabilidade Gestão e Governança2023-07-31info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfapplication/pdfhttps://revistacgg.org/index.php/contabil/article/view/299210.51341/cgg.v26i1.2992Journal of Accounting, Management and Governance; Vol. 26 No. 1 (2023); 32-62Contabilidade Gestão e Governança; v. 26 n. 1 (2023); 32-621984-392510.51341/cgg.v26i1reponame:Contabilidade, Gestão e Governançainstname:Universidade de Brasília (UnB)instacron:UNBporenghttps://revistacgg.org/index.php/contabil/article/view/2992/794https://revistacgg.org/index.php/contabil/article/view/2992/795Copyright (c) 2023 Arthur Antonio Silva Rosa, Kárem Cristina de Sousa Ribeiro, Luciano Ferreira Carvalhoinfo:eu-repo/semantics/openAccessRosa, Arthur Antonio SilvaRibeiro, Kárem Cristina de SousaCarvalho, Luciano Ferreira2023-08-05T01:14:19Zoai:oai.jamg.cloud:article/2992Revistahttp://www.revistacgg.org/index.php/contabilPUBhttps://revistacgg.org/index.php/contabil/oaijamg.cgg@gmail.com1516-70111984-3925opendoar:2023-08-05T01:14:19Contabilidade, Gestão e Governança - Universidade de Brasília (UnB)false |
dc.title.none.fl_str_mv |
Volatility and Leverage: an Analysis of Latin American Companies Volatilidade e Alavancagem: uma Análise das Empresas da América Latina |
title |
Volatility and Leverage: an Analysis of Latin American Companies |
spellingShingle |
Volatility and Leverage: an Analysis of Latin American Companies Rosa, Arthur Antonio Silva Volatilidade Alavancagem Crise EGARCH GMM Volatility Leverage Crisis EGARCH GMM |
title_short |
Volatility and Leverage: an Analysis of Latin American Companies |
title_full |
Volatility and Leverage: an Analysis of Latin American Companies |
title_fullStr |
Volatility and Leverage: an Analysis of Latin American Companies |
title_full_unstemmed |
Volatility and Leverage: an Analysis of Latin American Companies |
title_sort |
Volatility and Leverage: an Analysis of Latin American Companies |
author |
Rosa, Arthur Antonio Silva |
author_facet |
Rosa, Arthur Antonio Silva Ribeiro, Kárem Cristina de Sousa Carvalho, Luciano Ferreira |
author_role |
author |
author2 |
Ribeiro, Kárem Cristina de Sousa Carvalho, Luciano Ferreira |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Rosa, Arthur Antonio Silva Ribeiro, Kárem Cristina de Sousa Carvalho, Luciano Ferreira |
dc.subject.por.fl_str_mv |
Volatilidade Alavancagem Crise EGARCH GMM Volatility Leverage Crisis EGARCH GMM |
topic |
Volatilidade Alavancagem Crise EGARCH GMM Volatility Leverage Crisis EGARCH GMM |
description |
Objective: To analyze the relationship between the leverage level and the volatility of Latin American stocks, from January 2005 to June 2020. Method: A multiple linear regression was used, with the coefficients estimated by the GMM and with the data arranged in a panel. Volatility was estimated by the EGARCH model and six leverage measures were used. Originality/Relevance: The study analyzes the relationship between volatility and leverage in the context of Latin America and shows that periods of crisis can affect this relationship. The results are relevant for managers, who can strategically adjust the degree of leverage in order to maximize the company's value for shareholders, and also for investors, as it allows for a better alignment between their risk profile and the desired return. Results: The results indicate that there is a positive relationship between the degree of leverage of the firm and the volatility of assets. It was also found that, in periods of crisis, even if companies reduce their leverage levels, volatility will tend to increase due to the uncertainties related to these periods. Theoretical/Methodological Contributions: In the analysis of the relationship between leverage and volatility, the moderating effect of periods of crisis was also verified and the endogeneity between the variables was considered through the GMM. In addition, volatility was estimated using the EGARCH model, which considers volatility asymmetries, with results controlled by corporate and macroeconomic variables. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-07-31 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://revistacgg.org/index.php/contabil/article/view/2992 10.51341/cgg.v26i1.2992 |
url |
https://revistacgg.org/index.php/contabil/article/view/2992 |
identifier_str_mv |
10.51341/cgg.v26i1.2992 |
dc.language.iso.fl_str_mv |
por eng |
language |
por eng |
dc.relation.none.fl_str_mv |
https://revistacgg.org/index.php/contabil/article/view/2992/794 https://revistacgg.org/index.php/contabil/article/view/2992/795 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/pdf |
dc.publisher.none.fl_str_mv |
Contabilidade Gestão e Governança |
publisher.none.fl_str_mv |
Contabilidade Gestão e Governança |
dc.source.none.fl_str_mv |
Journal of Accounting, Management and Governance; Vol. 26 No. 1 (2023); 32-62 Contabilidade Gestão e Governança; v. 26 n. 1 (2023); 32-62 1984-3925 10.51341/cgg.v26i1 reponame:Contabilidade, Gestão e Governança instname:Universidade de Brasília (UnB) instacron:UNB |
instname_str |
Universidade de Brasília (UnB) |
instacron_str |
UNB |
institution |
UNB |
reponame_str |
Contabilidade, Gestão e Governança |
collection |
Contabilidade, Gestão e Governança |
repository.name.fl_str_mv |
Contabilidade, Gestão e Governança - Universidade de Brasília (UnB) |
repository.mail.fl_str_mv |
jamg.cgg@gmail.com |
_version_ |
1798315266229141504 |