A efetividade da governança corporativa sobre o risco dos ativos da BM&FBovespa

Abstract

This work consists of investigating whether the use of the corporate governance methods adopted by the BM&FBovespa listed companies reduces risk on assets. Using data from 06/01/2012 to 07/04/2016, this study is divided into three stages: first, the three portfolios of minimum variance are optimized and analyzed by performance for the different levels of listing for governance corporate: Level 1 (N1), Level 2 (N2) and New Market (NM). At the second stage, the model from Sharpe-Lintner-Black, the Capital Asset Pricing Model (CAPM), estimated by OMS, in which are obtained the estimates of influence from the returns of the market portfolio on the return series of the optimized portfolios. At the third step, the performance of representative portfolios rated at different levels of governance are compared with governance indexes proposed by BM&FBovespa. According to the results, it is observed that the assets that have higher communication levels tend to have lower levels of variance of returns, in addition to having a lower influence of market returns. In addition, it is verified the higher efficiency of minimum variance portfolios for governance assets against the indexes of this market.