Instituições financeiras e a avaliação de sua posição econômica: análise fundamentalista para bancos

Abstract

This paper aimed to explain the relationship between the economic-financial indicators and the returns of publicly-traded banks listed in Brazil Bolsa Balcão - B3. This research is based on the theory of portfolios (MARKOWITZ, 1952) and the Efficient Markets theory (FAMA, 1970). The indicators used in this research were drawn from the works of Assaf Neto (2015) and Graham (1942), which were: average return on credit operations, RMOC; participation in loans, PE; operational efficiency index, IEO; loans on deposits, RED (these from the work of Assaf Neto); equity, ROE and stock price / equity ratio, P / VPA (these are used from Graham). In order to carry out this research, data from 20 publicly-traded banks listed in B3 were collected from the Central Bank of Brazil (BACEN) database between 2007 and 2016. A regression model was analyzed using the data from of the year 2007 and another using the data from the year 2008 to consider the effect of the financial crisis on results. In this context, the Ordinary Least Squares (OLS) method was used to estimate the relationship between the indicators and the returns of the banks from the regression models. For the data that did not meet the autocorrelation assumption, the Newey-West covariance matrix was used. The results showed that when the data are used from the year 2007, where the effect of the subprime financial crisis is considered, statistical significance is not obtained. However, when the data were analyzed from 2008 onwards, the results, with 5% of significance, indicate that despite the fact that most indicators, about 67%, do not explain the returns, the 33% that presented significant correlation have considerable magnitude and sign. Finally, the results point out that investors and potential investors should increase these indicators in their decision matrix when seeking to invest in financial institutions.