IDEAS home Printed from https://ideas.repec.org/a/fgv/eaerae/v46y2006i0a37017.html
   My bibliography  Save this article

Risco de insolvência e risco sistemático: relação teórica não verificada na Bovespa

Author

Listed:
  • Antunes, Gustavo Amorim
  • Guedes, Gilvan Ramalho

Abstract

It is tested, through correlation, regression and dispersion graphics analyses, whether the accounting leverage proxies systematically risk beta. Beta, total and financial leverage indicators of all firms listed in Bovespa along 1995 and 2005, were collected in Economática database. No empirical relationship was observed among these variables. This result holds even (a) when beta is calculated through GARCH-M model and only liquid firms are considered, (b) when it is used current and lagged leverage indicators, (c) when market value is used as a second independent variable, or (d) when non-linear transformations are tried. This evidence indicates that leverage (total or financial) should not be used as beta’s proxy. In order to explain this empirical finding the main cause proposed here is the capital marketconcentration that may cause Brazilian accounting to be irrelevant for investors´ decisions.

Suggested Citation

  • Antunes, Gustavo Amorim & Guedes, Gilvan Ramalho, 2006. "Risco de insolvência e risco sistemático: relação teórica não verificada na Bovespa," RAE - Revista de Administração de Empresas, FGV-EAESP Escola de Administração de Empresas de São Paulo (Brazil), vol. 46(0), January.
    • Handle: RePEc:fgv:eaerae:v:46:y:2006:i:0:a:37017
    as

    Download full text from publisher

    File URL: http://bibliotecadigital.fgv.br/ojs/index.php/rae/article/view/37017
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fgv:eaerae:v:46:y:2006:i:0:a:37017. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Núcleo de Computação da FGV EPGE (email available below). General contact details of provider: https://edirc.repec.org/data/eagvfbr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.