O impacto do risco de crédito sobre a diferença cross-section do retorno acionário brasileiro

• Ano de defesa: 2016
• Autor(a) principal: Toledo, Eduardo Rietmann
• Orientador(a): Pessoa, Marcelo de Sales
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Risco de crédito; Precificação de ativos; Retorno cross-section
• Palavras-chave em Inglês: Credit risk; Asset pricing; Cross-section return
• Link de acesso: https://hdl.handle.net/10438/17128

The aim of this study is to assess the impact of credit risk in the Brazilian stock cross-section return, and evaluate if a strategy based on this feature is able to generate positive and significant alpha. To measure credit risk, credit ratings were used assigned to Brazilian companies by the american agency Standard and Poors in the period between 2009 and 2014. First we divided ali firms in portfolios according to their credit risk and after we analyzed monthly returns of their stocks. Empirically, we find an evidence that the credit risk has a positive correlation in stock returns. However, as the strategy to operate based on credit risk was not able to generate significant alpha, it was not possible to statistically validate this effect on return.