Análise da relação entre o retorno sobre o patrimônio líquido e o custo do capital próprio, medido pelo CAPM, das empresas não financeiras brasileiras

• Ano de defesa: 2007
• Autor(a) principal: Lee, Stefan Colza
• Orientador(a): Securato, José Roberto
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Pontifícia Universidade Católica de São Paulo
• Programa de Pós-Graduação: Programa de Estudos Pós-Graduados em Administração
• Departamento: Faculdade de Economia, Administração, Contábeis e Atuariais
• País: BR
• Palavras-chave em Português: CAPM; Custo do Capital Próprio; ROE; Retorno sobre Patrimônio Líquido; Empreendedorismo; CAPM Internacional; Criação de Valor; Zero Beta CAPM; Modelo de participacao de bens de capital; Retorno sobre patrimonio liquido
• Palavras-chave em Inglês: CAPM; Cost of Equity; ROE; Return on Equity; Entrepreneurship; International CAPM; Value Creation; Zero Beta CAPM
• Área do conhecimento CNPq: CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
• Link de acesso: https://tede2.pucsp.br/handle/handle/1206

This dissertation analyzes the relationship between the return on equity and the cost of equity, as suggested by the CAPM: Capital Asset Pricing Model, for non financial Brazilian companies. Among the various kinds of returns on equity, the net profit divided by shareholder s accounting equity was adopted as the principal return, having advantages including widespread utilization and simplicity. Sector samples, taken from the paper and pulp, steel, textile and petrochemical sectors, and a non sector sample, composed of 105 companies, were analyzed. The differences between ROE and cost of equity were calculated for the period between 1995 and 2005 and the parametrical t Student and non parametrical Wilcoxon statistic tests were carried out to compare means. The results reveal a pessimistic scenario for investments in Brazil and, from the five samples, only one from the steel sector sample reported a compatible ROE with the cost of equity. Most of non financial Brazilian companies do not have equal or higher returns than the cost of equity and, worse of all, these returns are many times lower than federal interest rates. Complementary analysis with the multi regression technique indicated a paradox due to the coexistence of a high cost of equity, shareholder s value destruction, and continuity, creation, and growth of investments. Future studies are proposed to understand and rationalize the results