Análise da relação entre o risco de insolvência e o retorno ponderado pelo risco no mercado acionário brasileiro

Abstract

In a scenario of ample competition between companies, it is necessary for investors to assess which investment opportunity will provide them with the greatest return, however, this must pay attention to the risks inherent to each investment of resources. The risk-return theory indicates that the greater the uncertainty or variability of the returns, the risk, the greater the expected return (premium) will be, therefore, these are proportional variables, however the reality does not always go against the theory. With this, several techniques and models have been developed over the years, Sharpe (1964), Altman (1968), Kanitz (1978), for example, in order to evaluate and measure the risk that a given company present, as well as to identify if the returns offered by it are consistent with the risk assumed by investors when investing their resources. From this concern, the objective of the research arises, which is to check if there is any relationship between the probability of insolvency and the risk-adjusted return of publicly traded companies traded on the stock exchange. In this context, the work is presented as a descriptive documentary research whose approach was quantitative in which publicly traded companies traded in Brazil, Stock Exchange and Counter (B3) for the period from january 1, 2010, to december 31, 2019, which presented the necessary information to calculate the Probit model of Martins and Ventura Júnior, with the exception of the finance and insurance sector. Descriptive statistics, correlation and regression tests were applied in order to identify whether there is a relationship between the risk of insolvency, as measured by the aforementioned model, and the variables of risk, beta and Value at Risk (VAR), return and Sharpe index, in addition to of control variables such as: degree of indebtedness, liquidity and total assets. The main results obtained through the applied tests indicate that, in fact, the risk of insolvency maintained a significant relationship with an index that weighs the return for the risk, this relationship being inversely proportional. In addition, the results obtained by the regression tests showed that an indicator that considers the risk-adjusted return is the best variable to relate to an insolvency index.