Essa dissertação procura analisar se as variações dos retornos de carteiras setoriais formadas por ações do Índice teórico da Bolsa de Valores de São Paulo (Ibovespa), do primeiro quadrimestre de 2010, podem ser explicadas pelo CAPM condicional não-paramétrico proposto por Wang (2002) e também por quatro variáveis de informação disponíveis aos investidores: (i) percentual de variação do nível de produção industrial brasileira; (ii) percentual de variação do monetário agregado M4; (iii) percentual de variação da inflação representada pelo Índice de Preços ao Consumidor Amplo (IPCA); e (iv) percentual de variação da taxa de câmbio real-dólar, obtida pela cotação do dólar PTAX. O estudo compreendeu as ações listadas na Bolsa de Valores de São Paulo no período de janeiro de 2002 a dezembro de 2009. Utilizou-se a metodologia de teste desenvolvida por Wang (2002) e replicada para o contexto mexicano por Castillo-Spíndola (2006). Foram utilizados os excessos de retornos mensais para as ações, carteiras e prêmio de mercado. Ainda, para estimar a influência das variáveis de informação, foram calculados seus respectivos percentuais de variação mensal, para o período de janeiro de 2002 a novembro de 2009. A fim de validar a aplicação do CAPM condicional não-paramétrico para o mercado acionário brasileiro, foram estimados os diversos parâmetros do modelo e testada sua validade estatística para cada variável de informação avaliando-se o p-value. Os resultados observados indicam que o modelo condicional não-paramétrico é relevante na explicação dos retornos das carteiras da amostra considerada para duas das quatro variáveis testadas, M4 e dólar PTAX. / This dissertation seeks to analyze if the variations of returns from sector portfolios, formed by shares of the São Paulo Stock Exchange Index (Ibovespa), in the first four months of 2010, could be explained by the nonparametric conditional Capital Asset Pricing Model (CAPM), suggested by Wang (2002), and also by four variables of information available to the investors: (i) percentage variation of the Brazilian industrial production level; (ii) percentage variation of broad money supply M4; (iii) percentage variation of the inflation represented by the Índice de Preços ao Consumidor Amplo (IPCA); and (iv) percentage variation in the real-dollar exchange rate, obtained by PTAX dollar quotation. This study comprised the shares listed in São Paulo Stock Exchange throughout January 2002 to December 2009. The test methodology developed by Wang (2002) and retorted to the Mexican context by Castillo-Spíndola (2006) was used. The excess of monthly returns for the shares, portfolios, and market premium were used. Still, aiming to estimate the influence of information variables, their monthly percentage variations were calculated for the period from January 2002 to November 2009. In order to validate the nonparametric conditional CAPM application for the Brazilian stock market, the models several parameters were estimated and its statistic validity was tested for each information variable, evaluating the p-value. The observed results indicate that the nonparametric conditional model is relevant in explaining the portfolios returns of the sample considered for two among the four tested variables, M4 and PTAX dollar.

As empresas podem financiar suas atividades por meio da utilização de recursos próprios e de terceiros, que juntos, formam a sua estrutura de capital. Na literatura financeira, o estudo sobre a estrutura de capital teve como marco a publicação do trabalho de Modigliani e Miller (1958), e desde então, vem sendo amplamente debatido no meio acadêmico. Todavia, pouco se concluiu a respeito dos fatores que determinam a estrutura de capital das organizações. O presente trabalho, procurou, por meio da aplicação de questionários em uma população composta por 356 empresas brasileiras de capital aberto, investigar os fatores que são determinantes na escolha das fontes de recursos de longo prazo utilizadas pelas organizações. Os questionários foram enviados para os e-mails do departamento de Relações com Investidores e da população, resultou uma amostra composta por 40 empresas que responderam os questionários. Tal amostra foi classificada como não-probabilística, o que impede que seus resultados sejam generalizados à população. Os setores de utilidade pública, materiais básicos e consumo cíclico foram responsáveis, juntos, por 63% do total de questionários respondidos. Diferente do que se esperava em relação à teoria mais utilizada pelas organizações na definição da estrutura de capital, o oportunismo foi considerado apenas por 13% das empresas, enquanto que a adoção de uma estrutura meta de capital foi a opção de metade da amostra. A teoria da hierarquia de fontes de recursos foi a escolha de 28% das empresas analisadas. Quanto aos motivos que levam as empresas a não utilizar o mercado de capitais, a não necessidade de captação de altos volumes, a excessiva burocracia e os elevados custos operacionais foram os considerados mais importantes pelas empresas analisadas. Por outro lado, esse mercado foi considerado uma fonte de recursos com custos atraentes (sendo o principal motivo da utilização do mercado de capitais para 25% das empresas). Estratégia de crescimento e/ou valorização da empresa, bem como maior visibilidade no mercado financeiro, também justificam a utilização do mercado de capitais pelas empresas pesquisadas. Os custos de transação foram considerados o fator que mais afeta a formação da estrutura de capital por 23% das empresas da amostra, o que é condizente com a importância dos juros na escolha das fontes de recursos. Flexibilidade financeira foi a segunda opção de 15% das empresas; rating e benefícios fiscais da dívida foram considerados a terceira opção para 13% das companhias da amostra. Percebeu-se que alguns resultados obtidos foram condizentes com as expectativas, outros não. A limitação do presente trabalho encontra-se na quantidade de empresas que compuseram a amostra, ficando como principal sugestão para trabalhos futuros, uma forma de aplicação de questionários mais abrangente. / One of the most contentious issues in the theory of finance has been the theory of capital structure. In recent years, a number of theories have been proposed to explain the variation in debt ratio across firms. The theories suggest that firms select their capital structure depending on attributes that determine the various costs and benefits associated with debt and equity financing. Modigliani e Miller (1958) showed that capital structure decisions do not affect firm value when capital markets are perfect and when corporate and personal taxes do not exist. However, when one or more of the M&M assumptions are relaxed, many authors demonstrate how firm value may vary with changes in the debt-equity mix. Since the discussion regarding to the capital structure of the firms is not finished in financial literature, the aim of this study was to find out what factors are more important when financial executives choose the sources of long term capital that will be used by their companies. For this proposal, a survey instrument was adeveloped and sent to a list of 356 brazilian companies. A total of 40 firms aswered the survey and for this reason, the sample analized in this study is classified as non-probabilistic, and its results can not be representative of the population. This survey showed that 50% of the firms have a target capital structure and 28% follow the Pecking Order Theory. When asked about what is the main motive the affects the debt ratio, 73% of the firms aswered that interest rates are the most important variable that has some influence on the capital structure decision of the company. Other interest results were found in this study and they can help to explain some of the decisions that are taken by financial executives regarding to the capital structure of their firms.

[pt] Em uma indústria sujeita à regulamentação, o Custo Médio Ponderado de Capital - CMPC é parâmetro fundamental para a determinação da remuneração justa dos fornecedores de capital das empresas reguladas (investidores e credores), bem como para determinar a tarifa módica para o consumidor dos produtos ou serviços. Sabendo que as indústrias reguladas prestam, em geral, serviços básicos e de infra- estrutura, toda a sociedade é atingida pelas decisões a respeito desse custo, e sua determinação é parte importante das atividades do regulador. A teoria que suporta o conceito do CMPC remonta ao final da década de 50 e se encontra consagrada nos meios acadêmicos, empresariais e normativos. Entretanto, a metodologia para a determinação dos seus componentes prospectivos, ou seja, a determinação de qual será o CMPC no futuro, encontra divergências entre os principais autores e apresenta dificuldades operacionais. Essas dificuldades aumentam em um mercado de capitais pequeno quando comparado a outros países e em um ambiente político com uma curta história de estabilidade. O objetivo do presente trabalho é discutir a metodologia empregada pela Agência Nacional de Energia Elétrica - ANEEL para determinar o CMPC para empresas de distribuição de energia elétrica no Brasil à luz das melhores práticas e do conhecimento teórico sobre o tema. / [en] In regulated industries, estimating the weighted average cost of capital (CMPC) is important to the regulatory framework in order to establish both the fair return to the capital providers (investors and creditors) of the regulated companies, as well the reasonable price of goods or services for the customers. The regulated industries provide, in general, basic or infrastructure services and, as the whole society is affected by decisions about this cost, the determination of such is an important part of the regulators activities. The theoretical foundations supporting the concept of the weighted average cost of capital (CMPC) date back to the 1950 s and are solidly established in the academic and business circles, as well as in the regulating entities. The methodologies applied to estimate the expected weighted average cost of capital (CMPC) in future years generate, however, some controversy among the authors. In addition, difficulties exist in gathering the necessary data, especially in emerging markets with small capital markets and a short history of political stability. The objective of this dissertation is to analyze the methodology employed by Agência Nacional de Energia Elétrica - ANEEL (Brazilian National Agency for Electricity - the country s regulator of electricity generation, transmission and distribution) in the calculation of the weighted average cost of capital (CMPC) used in the tariff review process for the electricity distribution companies.

[pt] Identificar as variáveis que influenciam de forma positiva ou negativa o custo de capital de uma empresa, ou numa forma mais abrangente, o custo de capital associado a um país, tem sido fonte de inúmeras pesquisas, já publicadas no meio acadêmico nos últimos anos. O surgimento do Modelo de Precificação de Ativos, ou CAPM - Capital Asset Pricing Model, no início dos anos 60, pode ser encarado como um marco histórico, uma vez que após a sua publicação, diversas teorias e trabalhos surgiram com o objetivo de criticá-lo e na tentativa de testar a sua aplicabilidade em diferentes tipos de mercados - desenvolvidos ou emergentes. Alguns estudos acadêmicos, como os realizaram por Gitman e Forrester (1977), Gitman e Mercurio (1982), Moore e Reichert (1983), Trahan e Gitman (1995), Bruner (1998), Block (2000) e Graham e Harvey (2001 e 2002), discutem as práticas de decisão de investimentos e estimativa do custo de capital em corporações americanas. As variáveis que afetam a rentabilidade de uma determinada indústria passaram a ser mais estudadas após a divulgação do Modelo das Cinco Forças Competitivas (Porter, 1980). Com base na grande complexidade que existe sobre o tema é que surge essa pesquisa, tendo como principal problema a ser investigado, a seguinte pergunta: quais as variáveis que influenciam o custo total de capital disponível para uma empresa, em determinado país, fazendo com que ele seja tão diferente de um país para outro? Após analisar os dados verificamos que nos países emergentes o custo de capital apresentou relação com as variáveis: Emprego, Educação, Infraestrutura Básica, Comercio Internacional e Investimento Internacional. Já para os países desenvolvidos, as variáveis que mostraram maior relação foram: Infraestrutura Básica, Preços, Finanças Públicas e Práticas Gerenciais. / [en] Identifying the variables that positively or negatively impacts a company´s Cost of Capital or, in a general way, a country´s Cost of Capital has been the objective of much research published in the academic environment in the last few years. The appearance of the Capital Asset Pricing Model - CAPM in the early ´60s could be seen as a milestone inasmuch as, after its publications, various studies, such as those performed by Gitman e Forrester (1977), Gitman e Mercurio (1982), Moore e Reichert (1983), Trahan e Gitman (1995), Bruner (1998), Block (2000) e Graham e Harvey (2001 e 2002), challenge the investment decision-making practices and cost of capital estimates in US corporations. The variables that affect the profitability of a determined industry were more closely studied after the publication of the Five Competitive Forces Model (Porter, 1980). Based on the huge complexities that involves those issues, and which arose during this research, one of the principle questions to be answered became: what are the variables that influence the total Cost of Capital available for a company, in any given country, in light of the fact that it may be very different from country to country? Upon analyzing the data, we see that, in emerging countries, the cost of capital is related to Employment, Education, Basic Infrastructure, International Investment and International Trade, while in developed countries, it is related to Basic Infrastructure, Prices, Public Finance and Managerial Practices.

<p>När en värdering av ett företag skall göras finns det flera olika typer av värderingsmetoder som kan användas. Bakgrunden till den här studien är att uppsatsförfattarna blev kontaktade av ägarna till ett företag som undrade vad deras företag skulle vara värt vid en eventuell försäljning. Det specifika med företaget är att det endast arbetar mot en kund, samt att företaget nästan inte har några materiella tillgångar.</p><p>Syfte: Syftet är att kartlägga de olika värderingsmodeller som används vid värdering av företag, för att därefter klargöra vilken eller vilka metoder som är bäst lämpade för vårt fallföretag. Detta syftar till att resultera i en värdering av vårt fallföretag.</p><p>Metod: Vi har använt oss av en kvalitativ metod i form av en grundlig litteraturstudie, samt en genomgång av tidigare forskning. Vidare har ett antal e-postintervjuer genomförts och slutligen presenteras en modell för värdering av vårt fallföretag.</p><p>Teori: Den teoretiska delen av denna studie består av de värderingsmetoder som beskrivs i den litteratur som finns inom området. Vidare redovisas en del teori i form av tidigare forskning som publicerats i olika vetenskapliga tidskrifter.</p><p>Empiri: Empirin består av två stycken e-postintervjuer med representanter för Nordeas, samt Swedbanks Corporate Finance avdelningar. Vidare har intervjuer genomförts med representanter för fallföretaget. Vi har även tagit del av information från fallföretagets ekonomisystem i form av balans- och resultatrapporter.</p><p>Resultat: Denna studie visar att de lämpligaste värderingsmetoderna att använda vid värdering av ett företag i den specifika situation som vårt fallföretag befinner sig i, är kassaflödesmetoden samt residualvinstmetoden. Vidare visar studien att de vanligast använda värderingsmetoderna är multipelvärdering samt kassaflödesvärdering. Studien visar också att det är väldigt svårt att komma fram till ett exakt värde på ett företag då framtiden är oviss.</p> / <p>When valuing a company there exist various possible valuation methods to use. The reason behind this study is that the authors were contacted by the owners of a company, who where interested to know how much their company would be worth in the case of a possible sale. Specific with this company is that it only has one customer and almost no tangible assets.</p><p>Purpose: The purpose of this study is to make a survey of the different valuation methods that exist and to clarify which one is best suited in this particular case. This will result in a valuation of our case company.</p><p>Method: We have used a qualitative method in the shape of a thorough literary study and an exposition of earlier research in the area of company valuation. Furthermore we have made two interviews by email with representatives from the Corporate Finance departments of Swedbank and Nordea.</p><p>Theory:The theorethical framework of this study involves the different valuation methods that are described in the litterature that exists in the area. We have also shown some theory in the shape of earlier research that has been published in various scientific magazines.</p><p>Empirical foundation: The empirical foundation contains two interviews carried out by email with representatives from the Corporate Finance departments of Swedbank and Nordea. Interviews have also been made with representatives from our case company. The balance sheet and income statement from our case company’s economic system have also been studied.</p><p>Conclusion: This study shows that the most suitable valuation methods for our case company are the Discounted Cash Flow Model and the Residual Income Model. The study also shows that the most commonly used valuation methods are Multiple Valuation and Discounted Cash Flow Valuation. Finally the study shows that it is very difficult to reach one precise value when valuing a company with an uncertain future.</p>

This dissertation focuses on models for company (equity) valuation. Company valuation has many interacting components. Essay 1, On the Fundamentals of Company Valuation, discusses the different roles of these components and shows how their interaction can be captured in a valuation framework. Essay 2, Looking Beyond the Horizon, is devoted to problems connected with horizon (terminal) value estimations. Essay 3, Company Valuation with a Periodically Adjusted Cost of Capital, shows how the cost of equity and the weighted average cost of capital can be simultaneously adjusted to reflect varying capital structures. The main contribution of Essay 4, On the General Equivalence of Company Valuation Models, is the specification of a company valuation framework that ensures that the free cash flow, dividend, abnormal earnings, economic value added and adjusted present value models are all equivalent. One characteristic of the framework is that it explicitly links the specification of discount rates to the anticipated future development of the company. Moreover, the results highlight the reasons for why the different models can produce different value estimates in practical applications. / Diss. Stockholm : Handelshögsk.

This thesis contributes to an understanding of capital budgeting and accounting practice. The factors affecting practice are of special research interest. It is also investigated whether practice diverges from what is prescribed by finance text books and accounting standards/frameworks. The overarching research question posed in this thesis is: “What capital budgeting and accounting choices are made by top management in practice, and how can these choices be explained?”. The thesis consists of four papers that address this issue. The first two papers focused on capital budgeting choices. Findings emphasised that the use of sophisticated capital budgeting and cost of capital estimation methods such as NPV and CAPM was widespread in Swedish listed companies. However, also unsophisticated accounting based methods were employed. Overall, findings suggested that Swedish companies used capital budgeting and cost of capital estimation techniques less often than did U.S./continental European companies. Other interesting findings were changes over time. Over time, the use of sophisticated methods increased and the use of unsophisticated methods decreased. This indicated a closing of the theory-practice gap. Finally, size was generally positively related to more extensive use of methods. The last two papers focused on accounting choices. Findings showed that non-preparers supported amortisation of goodwill to a greater extent than did preparers. Preparers instead supported the goodwill impairment-only approach. It was suggested that economic consequences could explain why preparers supported the goodwill impairment-only approach. When the impairment-only approach subsequently was introduced by the International Accounting Standards Board (IASB), Swedish and Dutch preparers however only disclosed slightly more than 60% of the assumptions underlying the impairment test, after three years of learning. Moreover, findings showed that the level of compliance with the IASB’s disclosure requirements was associated with industry; financials were less compliant than were non-financials. Findings also showed that Swedish and Dutch companies were more compliant in 2008 than they were in 2005, which suggested learning over time. Finally, in 2005 the disclosure compliance level was higher in Sweden than in the Netherlands. Three years later, 2008, the difference was eliminated, thus indicating convergence.

När en värdering av ett företag skall göras finns det flera olika typer av värderingsmetoder som kan användas. Bakgrunden till den här studien är att uppsatsförfattarna blev kontaktade av ägarna till ett företag som undrade vad deras företag skulle vara värt vid en eventuell försäljning. Det specifika med företaget är att det endast arbetar mot en kund, samt att företaget nästan inte har några materiella tillgångar. Syfte: Syftet är att kartlägga de olika värderingsmodeller som används vid värdering av företag, för att därefter klargöra vilken eller vilka metoder som är bäst lämpade för vårt fallföretag. Detta syftar till att resultera i en värdering av vårt fallföretag. Metod: Vi har använt oss av en kvalitativ metod i form av en grundlig litteraturstudie, samt en genomgång av tidigare forskning. Vidare har ett antal e-postintervjuer genomförts och slutligen presenteras en modell för värdering av vårt fallföretag. Teori: Den teoretiska delen av denna studie består av de värderingsmetoder som beskrivs i den litteratur som finns inom området. Vidare redovisas en del teori i form av tidigare forskning som publicerats i olika vetenskapliga tidskrifter. Empiri: Empirin består av två stycken e-postintervjuer med representanter för Nordeas, samt Swedbanks Corporate Finance avdelningar. Vidare har intervjuer genomförts med representanter för fallföretaget. Vi har även tagit del av information från fallföretagets ekonomisystem i form av balans- och resultatrapporter. Resultat: Denna studie visar att de lämpligaste värderingsmetoderna att använda vid värdering av ett företag i den specifika situation som vårt fallföretag befinner sig i, är kassaflödesmetoden samt residualvinstmetoden. Vidare visar studien att de vanligast använda värderingsmetoderna är multipelvärdering samt kassaflödesvärdering. Studien visar också att det är väldigt svårt att komma fram till ett exakt värde på ett företag då framtiden är oviss. / When valuing a company there exist various possible valuation methods to use. The reason behind this study is that the authors were contacted by the owners of a company, who where interested to know how much their company would be worth in the case of a possible sale. Specific with this company is that it only has one customer and almost no tangible assets. Purpose: The purpose of this study is to make a survey of the different valuation methods that exist and to clarify which one is best suited in this particular case. This will result in a valuation of our case company. Method: We have used a qualitative method in the shape of a thorough literary study and an exposition of earlier research in the area of company valuation. Furthermore we have made two interviews by email with representatives from the Corporate Finance departments of Swedbank and Nordea. Theory:The theorethical framework of this study involves the different valuation methods that are described in the litterature that exists in the area. We have also shown some theory in the shape of earlier research that has been published in various scientific magazines. Empirical foundation: The empirical foundation contains two interviews carried out by email with representatives from the Corporate Finance departments of Swedbank and Nordea. Interviews have also been made with representatives from our case company. The balance sheet and income statement from our case company’s economic system have also been studied. Conclusion: This study shows that the most suitable valuation methods for our case company are the Discounted Cash Flow Model and the Residual Income Model. The study also shows that the most commonly used valuation methods are Multiple Valuation and Discounted Cash Flow Valuation. Finally the study shows that it is very difficult to reach one precise value when valuing a company with an uncertain future.

IFRS standards are getting acceptance day by day rapidly in all over the world. It is because IFRSs are the global and common language, which are more transparent and comparable for the investors and users residing in different nations. IFRSs are mandatory for all companies listed in capital market within EU from the beginning of 2005. As a member state of EU, Swedish banks also adopted mandatory IFRS from 1 January 2005. However, the banks were already implementing IFRS to some extent as most of the standards in SGAAP (Swedish Generally Accepted Accounting Principles) were already directly translated from IAS. After mandatory period, the banks adopted all new, updated and revised standards in accordance with EU recommendations. Nevertheless, there are little or no material effects of adoption of IFRS standards except some particular standards. Such particular standards are: IFRS3, IAS39, IAS27, EU Occupational Pension Directive, IAS32, and Deferred Acquisition Cost. And the main differences between IFRS and SGAAP are IAS1, IFRS3, financial assets, financial instruments, intangible assets, hedge accounting and tax driven. But, the Swedish GAAP no longer exists now for the companies listed in capital market as mandatory IFRS is into force. Furthermore, I examined transparency &amp; accounting quality, information environment, and cost of equity capital of four sample banks after mandatory IFRS adoption. But, I find the level of transparency and financial reporting quality has not been increased over the years. Regarding accounting quality, I also examined earning management, loss recognition, and value relevance. I find little evidence of less earning management, and find unclear evidence regarding loss recognition and value relevance. In other word, I find little evidence of increased accounting quality, although Sweden is a country with strong regulatory enforcements. Moreover, I also find little evidence of improved information environment but find information cost increased; although I find lower information risks after mandatory IFRS adoption. I, however, find lower cost of equity capital after mandatory IFRS adoption because for banks it will be easy to reach wider investors communities residing in different nations. Nevertheless, the evident advantage of IFRS is that the capital market can use information based on common rules.

The awareness and interest concerning corporate social responsibility has grownamong both firms and their stakeholders, which has resulted in a continuous upwardtrend regarding CSR reporting. This has led to the emergence of reporting frameworklike Global Reporting Initiative. The issues is that there are limited regulationscontrolling what should be reported and how it should be reported, thus most CSRreporting is voluntary. This creates differences among firms and within industries.The differences make it difficult to compare reporting between firms and to assess thebenefits of CSR reporting.The purposes of this study is to explain what variables affects the CSR reportingquality and what the rationale behind CSR reporting is, which includes investigatingthe effect of reporting quality on cost of capital. The evolution of CSR reporting willalso be examined.The nature of the study is quantitative with a deductive approach. Hypotheses will bedeveloped from prior theory and tested statistically using multiple regression analysis.The theoretical foundation of this study is stakeholder theory, legitimacy theory andinformation asymmetry. The chosen variables are argued by prior literature to effectreporting quality. The variables are board diversity, ownership concentration, separatesustainability reports, external assurance, GRI application levels and industry. Ameasure of reporting quality will be developed using content analysis and theestimation for cost of capital will be calculated based on a model for rPEG. Thesample consists of firms listed on Nasdaq OMXS30 index in 2006, 2008 and 2010.Statistical support for positive association between reporting quality and boarddiversity, ownership concentration, external assurance, GRI A and GRI B and theindustries industrials, consumer goods and basic materials were found. An indirectassociation between reporting quality and cost of capital was found. The findings arein agreement with the rationale behind CSR reporting; a firm can do well by doinggood. It was further concluded that the development during this time period hasfollowed the previous trend and continuously increased.