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Risk and systemic risk perception in the telecommunications sector in Brazil: an investor perspective assessment

Author

Listed:
  • Charlita de Freitas, Luciano
  • Euler de Morais, Leonardo
  • Manuel Baigorri, Carlos

Abstract

This article approaches the risk perception towards the Brazilian telecommunications sector and how it might affect the flow of data driven investment in the country. Empirical evaluations are carried out with risk assessment metrics, Value at Risk (VaR) and Conditional Value at Risk (CoVaR), for a sample of telecommunications companies. Such approach is complemented by a descriptive review of the sector´s potential sources of risk and contagion channels. Results present own risk for each company in the sample and their individual contribution to the systemic risk in the sector. Besides, findings suggest that systemic risk perception might play an important role on investors´ decision to invest in the telecommunications sector in Brazil. Final remarks include notes on the potential benefits of adopting risk metrics as a tool to improve governance in the sector.

Suggested Citation

  • Charlita de Freitas, Luciano & Euler de Morais, Leonardo & Manuel Baigorri, Carlos, 2017. "Risk and systemic risk perception in the telecommunications sector in Brazil: an investor perspective assessment," MPRA Paper 85687, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:85687
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    References listed on IDEAS

    as
    1. Peter L. Smith & Bjorn Wellenius, 1999. "Mitigating Regulatory Risk in Telecommunications," World Bank Publications - Reports 11470, The World Bank Group.
    2. Taylor Reynolds, 2009. "The Role of Communication Infrastructure Investment in Economic Recovery," OECD Digital Economy Papers 154, OECD Publishing.
    3. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    4. Marcílio Zanelli Pereira & Suzana Quinet de Andrade Bastos & Fernando Salgueiro Perobelli, 2013. "Análise sistêmica do setor de serviços no Brasil para o ano de 2005," Pesquisa e Planejamento Econômico - PPE, Instituto de Pesquisa Econômica Aplicada, vol. 43(1), pages 161-202, abr..
    5. Grout, Paul A. & Zalewska, Anna, 2006. "The impact of regulation on market risk," Journal of Financial Economics, Elsevier, vol. 80(1), pages 149-184, April.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Risk; Systemic Risk; Infrastructure; Investment;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation
    • L96 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Telecommunications

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