Relação entre ratings de crédito e o custo de capital de empresas de capital aberto considerando o modelo Exposure at Default

Abstract

The proper definition of the cost of capital is essential for financial decision-making, and factors such as credit risk can directly influence its estimation. In this context, credit ratings are widely used as indicators of the risk perceived by investors and creditors. Accordingly, this research aimed to analyze the relationship between credit ratings and the cost of capital of non-financial publicly traded companies in Brazil, in light of the Exposure at Default (EAD) model. The sample consisted of 64 companies listed on [B]3, Fitch Ratings, and Refinitiv, and the main variables included credit ratings, cost of capital (WACC, based on the CAPM model), and accounts receivable (used as a proxy for EAD), covering data from 2015 to 2024. The empirical methodology employed panel data analysis, and the study was structured in four phases: data treatment; analysis of the relationship between rating and WACC; joint analysis of ratings, EAD, and WACC; and sectoral assessment to identify variability by industry segment. The results indicate that, in isolation, credit ratings did not prove to be an efficient predictor of the cost of capital. However, when considering EAD and industry sectors, relevant patterns emerged, reinforcing the importance of sectoral analysis in capital cost management. As a contribution, the findings may assist managers and investors in formulating more effective financial strategies, taking into account sectoral specificities and implicit credit risks.