Efeito da dupla listagem sobre o valuation das empresas no Brasil em períodos de crise

Abstract

Crisis periods have been recurrent, whether internal or external, their impacts can be seen beyond the epicenter economies, and among the factors that interconnect these economies and how they make them more vulnerable is the cross-listing. From this perspective, this study objective is to analyze the effect of cross-listing in the markets of Brazil and the United States on the distance between the price and value of companies listed on B3, in periods of crisis and non-crisis, considering their financial fundamentals. Therefore, the study covered the quarters between 2006 and 2020, including the periods of the Subprime Crisis, European Crisis, Brazilian Internal Crisis, Covid-19 Crisis, and non-crisis periods. In total, 405 companies were identified and 24.400 observations were collected, subdivided into domestic companies (21.314) and cross-listed companies (2.986). As a proxy for the distance between price and value, was chose the multiple market-too-book, largely used by market analysts, and expressed by the ratio between the market price (price) and the book value (book value per share). This multiple was regressed to financial liquidity (FCO), return (ROE), and debts (END) variables. Initially, the full sample was used to make inferences about the price-value distance, fixed effects for sector and quarter, and in the search for greater robustness, a new sample was built using the technique of Propensity Score Matching, which identified similar companies according to the measures of risk (BETA), cash flow (ML) and growth (CAGR). This new sample was composed of 5.188 domestic companies (control) and 2.034 cross-listed (treatment). The results showed that a cross-listing decreases the distance between price and value when considering the crisis and non-crisis periods of the study. For periods of internal crisis, the results could not identify greater or lesser impact for cross-listed companies, while for external crises these companies are more negatively affected when compared to domestic companies.