Determinação da variação do risco para ativos de empresas estatais no mercado de capitais brasileiro em anos de eleições majoritárias: um estudo sobre a variabilidade do coeficiente beta
Keywords:
Administração, Finanças, Risco, EleiçõesAbstract
A presente pesquisa objetivou identificar a variação no risco de ativos de empresas estatais listadas no Índice Bovespa (Ibovespa) em anos com eleições majoritárias para Presidente da República comparativamente com anos sem eleições, por meio da variabilidade da média do coeficiente beta (β), variável constituinte do Capital Asset Pricing Model (CAPM). Compreendendo a amostra, Foram considerados os ativos listados no Índice Bovespa da carteira no período de Setembro a Dezembro de 2014, sendo formada por um total de 70 ativos, sendo 10 controlados pelo Estado, resultando em 6 ativos para estudo em razão da ausência de informações relativas ao período em análise. Após os testes paramétricos de Kolmogorov-Smirnova e Shapiro-Wilk, verificou-se que a amostra não apresenta normalidade, sendo utilizado o teste não paramétrico de Kruskal-Wallis para testar a hipótese de que os ativos de empresas controladas pelo Estado não sofrem variação no risco em anos com eleições majoritárias para Presidência da República. Os resultados demonstram que os ativos quando testados em conjunto não apresentam diferença entre a média risco nos períodos em análise, e individualmente apenas o ativo BBAS3 apresentou aumento no risco em anos eleitorais.
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