Alavancagem financeira, estrutura patrimonial e a volatilidade dos ativos negociados na B3
DOI:
https://doi.org/10.18593/race.20845Palavras-chave:
Alavancagem financeira, Volatilidade e estrutura patrimonialResumo
Este artigo possui o objetivo de mensurar o efeito da alavancagem financeira e da estrutura patrimonial das empresas listadas na B3 (Brasil, Bolsa, Balcão) na volatilidade de seus ativos negociados em Bolsa. Para isso, estimou-se um modelo de painel com efeitos fixos utilizando dados trimestrais e calculou-se a volatilidade trimestral por meio do desvio padrão dos preços de fechamento diários dos ativos. Os dados utilizados incluem os balanços trimestrais desde o período de 2010 até o primeiro trimestre de 2017, e o preço dos ativos negociados em Bolsa. Os resultados demonstram que a estrutura de capital das empresas influencia a volatilidade de seus ativos, especialmente variáveis, como o grau de alavancagem, a composição do endividamento e a imobilização do patrimônio. Empresas com níveis maiores de endividamento são mais sensíveis a esses efeitos, bem como empresas do setor de varejo e transportes.
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Referências
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https://doi.org/10.1016/j.jempfin.2016.02.008
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Titman, S., & Wessels, R. (1988). The Determinants of Capital Structure Choice. The Journal of Finance, 43(1), 1- 19. Retrieved from
https://onlinelibrary.wiley.com/doi/full/10.1111/j.1540-6261.1988.tb02585.x
https://doi.org/10.1111/j.1540-6261.1988.tb02585.x
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https://doi.org/10.1086/379933
Alaoui, A.O. el, Bacha, O. I. & Masih, M. (2017). Leverage versus volatility: Evidence from the capital structure of European firms. Economic Modelling, 62, 145- 160. Retrieved from https://www.sciencedirect.com/science/article/pii/S0264999316307702?via%3Dihub
https://doi.org/10.1016/j.econmod.2016.11.023
Angrist, J. D., & Pischke, J. S. (2009). Mostly Harmless Econometrics: An Empiricist's Companion. Princeton University Press.
Baker, S. H. (1973). Risk, leverage and profitability: an industry analysis. The Review of Economics and Statistics, 55(4), 503-507. Retrieved from https://www.jstor.org/stable/1925675
Bauer, P. (2004). Determinants of Capital Structure: Empirical evidence from the Czech Republic, Czech. Journal of Economics and Finance, 2-21.
Beakaerta, G., & WU, G. (2000). Asymmetric volatility and risk in equity markets. The Review of Financial Studies, 13, 1–42. Retrieved from https://academic.oup.com/rfs/article-abstract/13/1/1/1584172?redirectedFrom=fulltext https://doi.org/10.1093/rfs/13.1.1
Bouchaud, J. P., Matacz, A., & Potters, M. (2001). The leverage effect in financial markets: retarded volatility and market panic. Physical review letters, 22- 26. Retrieved from https://journals.aps.org/prl/abstract/10.1103/PhysRevLett.87.228701 https://doi.org/10.1103/PhysRevLett.87.228701
Bradley, M., Jarrel, G. A., & Kim, E. H. (1984). On the existence of an optimal capital structure: theory and evidence. The Journal of Finance, 39, 857- 878. Retrieved from
https://doi.org/10.1111/j.1540-6261.1984.tb03680.x
Campbell, J. Y., & Taksler, G. B. (2003). Equity volatility and corporate bond yield. The Journal of Finance, 58, 2321- 2350. Retrieved from https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1540-6261.1984.tb03680.x
https://doi.org/10.1046/j.1540-6261.2003.00607.x
Céspedes, J., González, M., & Molina, C. A. (2010). Ownership and capital structure in Latin America. Journal of Business Research, 63(3), 248- 254. Retrieved from https://www.sciencedirect.com/science/article/abs/pii/S014829630900068X?via%3Dihub
https://doi.org/10.1016/j.jbusres.2009.03.010
Chen, J. J. (2004). Determinants of capital structure of Chinese-listed companies. Journal of Business Research, 57(12), 1341- 1351. Retrieved from https://www.sciencedirect.com/science/article/abs/pii/S0148296303000705?via%3Dihub
https://doi.org/10.1016/S0148-2963(03)00070-5
Choi, J., & Richardson, M. (2016). The Volatility of a firm’s assets and the leverage effect. Journal of Financial Economics, 121(2), 254- 277. Retrieved from https://www.sciencedirect.com/science/article/pii/S0304405X16301003?via%3Dihub
https://doi.org/10.1016/j.jfineco.2016.05.009
Deesomsak, R., Paudyal, K., & Pescetto, G. (2004). The determinants of capital structure: evidence from the Asia Pacic region. Journal of Multinational Financial Management, 14(4-5), 387- 405. Retrieved from https://www.sciencedirect.com/science/article/pii/S1042444X04000039?via%3Dihub
https://doi.org/10.1016/j.mulfin.2004.03.001
Eckbo, B. E., & Norli, Ø. (2005). Liquidity risk, leverage and long-run IPO returns. Forthcoming Journal of Corporate Finance, 11(1-2), 1- 35. Retrieved from https://www.sciencedirect.com/science/article/pii/S0929119904000276?via%3Dihub https://doi.org/10.1016/j.jcorpfin.2004.02.002
Engle, R. F., & NG, V. K. (1993). Measuring and testing the impact of news on volatility. The Journal of Finance, 48(5), 1749- 1778. Retrieved from https://onlinelibrary.wiley.com/doi/full/10.1111/j.1540-6261.1993.tb05127.x
https://doi.org/10.1111/j.1540-6261.1993.tb05127.x
Ericsson, J., Huang, X., & Mazzotta, S. (2016). Leverage and Asymmetric Volatility: The Firm-Level Evidence. Journal of Empirical Finance, 38(A), 1- 21. Retrieved from https://www.sciencedirect.com/science/article/abs/pii/S0927539816300226?via%3Dihub
https://doi.org/10.1016/j.jempfin.2016.02.008
Forte, D., Barros, L. A., & Nakamura, W. T. (2013). Determinants of the Capital Structure of Small and Medium Sized. Brazilian Administration Review, 10(3). Retirado de http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1807-76922013000300007&lng=en&tlng=en
http://dx.doi.org/10.1590/S1807-76922013000300007
Gill, A., Biger, N., & Mathur, N. (2011). The effects of capital structure on profitability: Evidence from United States. International Journal of Management, 28 (4). Retrieved from https://www.researchgate.net/profile/Amarjit_Gill/publication/281004540_The_effects_of_capital_structure_on_profitability_Evidence_from_United_States/links/578768ee08ae78057de18ede.pdf
Johnson, S. A. (2003). Debt maturity and the effects of growth opportunities and liquidity risk on leverage. The Review of Financial Studies, 16(1), 209- 236. Retrieved from https://academic.oup.com/rfs/article-abstract/16/1/209/1616950?redirectedFrom=fulltext
https://doi.org/10.1093/rfs/16.1.0209
Jong, A., Kabir, R., & Nguyen, T. T. (2008). Capital structure around the world: The roles of firm- and country-specific determinants. Journal of Banking & Finance, 32(9), 1954- 1969. Retrieved from https://www.sciencedirect.com/science/article/pii/S0378426608000113?via%3Dihub
https://doi.org/10.1016/j.jbankfin.2007.12.034
Kraus, A., & Litzenberger, R. H. (1973). A state‐preference model of optimal financial leverage. The journal of finance, 28(4), 911- 922. Retrieved from https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1540-6261.1973.tb01415.x https://doi.org/10.1111/j.1540-6261.1973.tb01415.x
Long, L., Tsui, A. K., Zhang, Z. (2014). Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market. Economic Modelling, 37, 89- 102. Retrieved from https://www.sciencedirect.com/science/article/pii/S0264999313004859?via%3Dihub
https://doi.org/10.1016/j.econmod.2013.11.002
Mesquita, J. M., & Carvalho, L.J. E. (2004). Capital structure and profitability: the Brazilian case. Journal of Finance. Retrieved from http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.528.6883&rep=rep1&type=pdf
Modigliani, F., & Miller, M. H. (1958). The Cost of capital, corporation finance and the theory of investment. The American Economic Review, 48(3). Retrieved from https://www.jstor.org/stable/1809766?origin=JSTOR-pdf&seq=1#page_scan_tab_contents
Myers, S. C., & Majluf, N. (1984). Corporate financing and investment decisions when firms have information that investors do not have. Journal of Financial Economics, 13(2), 187- 221. Retrieved from https://www.sciencedirect.com/science/article/pii/0304405X84900230?via%3Dihub
https://doi.org/10.1016/0304-405X(84)90023-0
Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: a new approach. Econometrica, 59(2), 347- 370. Retrieved from https://www.jstor.org/stable/2938260
Neto, A. A. (2015). Estrutura e análise de balanços: um enfoque econômico-financeiro. Atlas.
Rajan, R., & Zingales, L. (1995). What do we know about capital structure? Some evidence from international data. Journal of Finance, 50(5), 1421- 1460. Retrieved from https://onlinelibrary.wiley.com/doi/full/10.1111/j.1540-6261.1995.tb05184.x
https://doi.org/10.1111/j.1540-6261.1995.tb05184.x
Titman, S., & Wessels, R. (1988). The Determinants of Capital Structure Choice. The Journal of Finance, 43(1), 1- 19. Retrieved from
https://onlinelibrary.wiley.com/doi/full/10.1111/j.1540-6261.1988.tb02585.x
https://doi.org/10.1111/j.1540-6261.1988.tb02585.x
Welch, I. (2004). Capital Structure and Stock Returns. Journal of Political Economy, 112(1), 106- 132. Retrieved from https://www.journals.uchicago.edu/doi/10.1086/379933
https://doi.org/10.1086/379933
Publicado
04-09-2020
Como Citar
Oliveira, F. M. (2020). Alavancagem financeira, estrutura patrimonial e a volatilidade dos ativos negociados na B3. RACE - Revista De Administração, Contabilidade E Economia, 19(3), 463–488. https://doi.org/10.18593/race.20845
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Autores mantêm os direitos autorais e concedem ao periódico o direito de primeira publicação, com o trabalho simultaneamente licenciado sob a Licença Creative Commons - Atribuição-NãoComercial 4.0 Internacional, que permite o compartilhamento do trabalho com reconhecimento de autoria e publicação inicial neste periódico.
