Coleção Insper Business and Economics Working Papers

Navegar

Agora exibindo 1 - 2 de 2

Determinants of the Implied Equity Risk Premium in Brazil
(2012) Sanvicente, Antonio Zoratto; Carvalho, Mauricio Rocha Alves de
This paper tests determinants of the equity risk premium (ERP) in Brazil. We use implied ERP, based on the Elton (1999) critique. ERP for Brazil is calculated as a mean of large samples of individual stock prices in each month in the January, 1995 to November, 2010 period. As determinants of changes in the ERP we obtain, as significant, and in the expected direction: changes in the CDI rate; country debt risk spread; equity market volatility; and US market liquidity premium. The influence of the proposed determining factors is tested with the use of time series regression analysis.
Capital Structure Decisions and the Interaction with Payout and Ownership Decisions: Evidence from Brazil
(2011) Sanvicente, Antonio Zoratto
The objective of this paper is to correct the analysis in most of the existing Brazilian literature on determinants of capital structure, which fails to consider the interaction of debt, payout and ownership policy decisions. With the estimation of a three-equation system by three-stage least squares, the paper obtains significant results, and its results contradict most of those obtained in the Brazilian literature. In addition, it confirms unambiguously the existence of an entrenchment effect in the agency relationship involving controlling and minority shareholders.