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  • 标题:Risco de insolvência e risco sistemático: relação teórica não verificada na Bovespa
  • 作者:Gustavo Amorim Antunes ; Gilvan Ramalho Guedes
  • 期刊名称:RAE - Revista de Administração de Empresas
  • 印刷版ISSN:2178-938X
  • 出版年度:2006
  • 卷号:46
  • 页码:58-71
  • 语种:Portuguese
  • 出版社:RAE - Revista de Administração de Empresas
  • 摘要: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 market concentration that may cause Brazilian accounting to be irrelevant for investors´ decisions.
  • 关键词:Leverage effect;beta;financial debt;total debt;relevance of accounting information;Efeito alavancagem;beta;endividamento oneroso;endividamento total;relevância da informação contábil
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