O coeficiente beta, definido no contexto do modelo de avaliação de ativos denominado Capital Asset Pricing Model, tem sido amplamente utilizado no Setor Elétrico Brasileiro. Sua aplicação tem sido importante não apenas no âmbito das revisões tarifárias conduzidas pelo órgão regulador, mas também para análise das empresas do setor pelos investidores em mercado de capitais. Embora a aplicação do modelo CAPM seja simples, ele é construído sobre hipóteses rigorosas, que nem sempre são observáveis no mercado real, principalmente em países emergentes. Inserido no referencial teórico deste Modelo, o presente trabalho tem como o objetivo analisar a utilização do coeficiente beta no setor elétrico brasileiro, identificando potenciais distorções que decorram de sua aplicação. Adicionalmente, este trabalho busca analisar o comportamento desse coeficiente de mercado ao longo do período de 1999 a 2007, identificando possíveis tendências. Para isso, lança-se mão de dados que são amplamente utilizados pelos agentes do mercado de capitais, oriundos de uma amostra de empresas que, por possuírem dados disponibilizados em bolsa de valores tornam viável gerar este coeficiente. Das análises realizadas é possível concluir que o coeficiente beta obtido com dados do mercado brasileiro apresentou valores bem próximos aos coeficientes obtidos em mercados desenvolvidos. Também foi possível constatar que os segmentos de distribuição e geração apresentam, no mercado brasileiro, betas desalavancados de mesma ordem de grandeza entre si, embora o segmento de geração seja mais concorrencial e, no de distribuição, predomine um contexto de monopólio natural. / The coefficient beta, defined in the context of the Capital Asset Pricing Model, has been widely applied within the Brazilian electricity industry. Its application has been conducted not only by the regulatory authority regarding tariff review of regulated electricity concessionaires, but also largely used by investors in Brazilian the capital market. Although the CAPM tool is a straight forward one, the Model itself was built under strict assumptions which are not often found in the real world, mainly in developing countries. Departing from this theoretical framework, this master thesis analyses the coefficient beta within the Brazilian electricity industry, identifying potential distortions derived from its application. Additionally, this work examines the coefficient beta behavior throughout 1999 up to 2007, pointing possible trends. For generating the beta coefficient, it is used the same sort of data usually selected by market investors, applied to a set of select companies belonging to the Brazilian electricity industry that have their information publicly disclosed in the financial and stock markets. The result of the analysis pointed that the coefficient beta generated for the Brazilian companies analyzed did not differ much form those of companies belonging to the electricity industry of developed countries. It was also perceived that the segments of electricity distribution and electricity generation presented unlevered betas of the same magnitude although generating companies operates in a competitive market and distribution concessionaires face predominantly a natural monopoly context.

Submitted by Renata Lopes (renatasil82@gmail.com) on 2018-07-13T14:40:54Z No. of bitstreams: 1 rafaelgomesteixeira.pdf: 1635376 bytes, checksum: 0f010ba2c1ce9a5dac0a0799cbe7298e (MD5) / Approved for entry into archive by Adriana Oliveira (adriana.oliveira@ufjf.edu.br) on 2018-09-03T16:16:44Z (GMT) No. of bitstreams: 1 rafaelgomesteixeira.pdf: 1635376 bytes, checksum: 0f010ba2c1ce9a5dac0a0799cbe7298e (MD5) / Made available in DSpace on 2018-09-03T16:16:44Z (GMT). No. of bitstreams: 1 rafaelgomesteixeira.pdf: 1635376 bytes, checksum: 0f010ba2c1ce9a5dac0a0799cbe7298e (MD5) Previous issue date: 2018-06-14 / Desde o trabalho pioneiro de Markowitz (1952) que demonstrou que risco e retorno devem ser avaliados simultaneamente, sendo o retorno a variável a ser maximizada e o risco o fator a ser minimizado, investidores têm buscado controlar e reduzir o risco ao qual estão expostos. A solução proposta pelo autor foi a diversificação dos investimentos onde um ativo deve ser avaliado conforme o comportamento de sua covariância com relação aos demais ativos. Seguindo a lógica de Markowitz, acionistas deveriam diversificar a sua carteira de ações de forma a limitar a sua exposição ao risco. Mas seria possível que o risco dos acionistas, numa única empresa, fosse reduzido a partir de uma transferência de risco para os credores? Isto seria factível considerando a proposição II de Modigliani e Miller (1958,1963) segundo a qual o valor da firma independe da sua estrutura de capital. Utilizando o índice beta (procedente do modelo CAPM, desenvolvido inicialmente por Sharpe (1964) a partir dos estudos de Markowitz) como uma boa medida de risco, e considerando que é possível estimar o valor de mercado da dívida corporativa através do modelo de Merton (1974), no qual os acionistas são identificados como detentores de uma opção de compra sobre os ativos da firma, estimou-se o valor do índice beta da dívida corporativa pelo cálculo da covariância de seu retorno com o retorno da carteira de mercado. Utilizando o modelo de Conine (1980) foi simulada uma situação hipotética de modo a verificar se haveria uma transferência de risco entre acionistas e credores. O resultado encontrado foi comparado com um estudo econométrico onde o risco da dívida foi regredido contra o risco do acionista e outras variáveis de controle. A principal conclusão deste estudo foi que índice beta do acionista e o índice beta da dívida corporativa tendem a se movimentar em direções oposta, considerando os casos onde foi possível aplicar o modelo de Merton (1974). Assim, pode-se afirmar que uma redução do risco dos acionistas propende a aumentar o risco dos credores. / Since Markowitz's (1952) pioneering paper has shown that risk and return must be evaluated simultaneously, with return being the variable to be maximized and risk being the factor to be minimized, investors have sought to control and reduce the risk to which they are exposed. The solution proposed by the author was the diversification of investments where an asset should be evaluated according to the behavior of its covariance among other assets. Following Markowitz's ideas, shareholders should diversify their stock portfolio in order to limit their exposure to risk. But is it possible the risk of shareholders in a single company could be reduced by transferring risk to creditors? This would be feasible considering Proposition II of Modigliani and Miller (1958, 1963) according to which the firm's value is independent of its capital structure. Using the beta index (from the CAPM model, initially developed by Sharpe (1964) from the Markowitz studies) as a good measure of risk, and considering that it is possible to estimate the market value of corporate debt employing the Merton model (1974), in which the shareholders are identified as holders of a call option on the assets of the firm, the beta value of the corporate debt was estimated by calculating the covariance of its return with the return of the market portfolio. Using the Conine (1980) model, a hypothetical situation was simulated to check if there would be a risk transfer between shareholders and creditors. The result was compared to an econometric model where the risk of debt was regressed on the risk of the shareholder and other control variables. The main conclusion of this study was that the shareholder beta index and the corporate debt beta index tend to move in opposite directions, considering the cases where it was possible to apply the Merton model (1974). Therefore, it can be stated that a reduction in shareholder risk tends to increase the risk of creditors.

Os mecanismos de proteção aos acionistas e credores surgiram prometendo às empresas que realizam investimentos em governança corporativa obter valorização da organização. Isto se daria porque os financiadores estariam menos expostos à expropriação do seu capital por meio de mecanismos de governança corporativa que assegurassem os seus direitos, o que facilitaria a comercialização de suas ações e títulos, o acesso ao mercado de capitais e uma redução do custo de capital, levando, assim, à valorização da empresa. Dentro deste contexto, este trabalho busca analisar a relação entre governança corporativa e o custo de capital próprio em empresas brasileiras de capital aberto. O presente estudo investiga se as empresas que adotam práticas de governança corporativa, medida pelos níveis diferenciados de governança corporativa da Bovespa, possuem um menor custo de capital próprio associado quando comparadas às empresas que não adotam tais práticas. Para o cálculo do custo de capital próprio foram utilizados o CAPM e o Modelo de Três Fatores com o intuito de verificar se a relação com as práticas de governança independe do método adotado. Utilizou-se a regressão linear múltipla para as análises estatísticas tendo como variável dependente o custo de capital próprio e as variáveis independentes de governança corporativa, grau de alavancagem financeira, grau de alavancagem operacional, os setores, o grau de intangibilidade da empresa e o tempo que a empresa está presente na Bovespa. Foi encontrada uma relação positiva do custo de capital próprio, medido pelo CAPM, com as empresas que adotam qualquer um dos níveis diferenciados de governança corporativa, ou seja, o custo de capital próprio é maior para empresas que aderiram a tais práticas. Nas demais análises, a governança corporativa não foi significativa. Dentro deste contexto, não se confirma a hipótese apresentada de menor custo de capital próprio associado à governança corporativa. Assim sendo, a valorização das empresas poderia se dar pelo incremento do fluxo de caixa esperado e não pela diminuição do custo de capital próprio. Pode-se considerar também que a adoção das práticas de governança corporativa estaria relacionada às empresas que possuem um maior risco associado, e que pretendem reduzi-lo adotando medidas de proteção ao acionista minoritário, ou ainda que o beta da empresa que representa o CAPM estaria mostrando um desempenho superior da empresa com relação ao mercado e dentro deste contexto não estaria sinalizando o risco associado, mas sim um melhor comportamento da ação da empresa se comparada ao mercado. / Protection mechanisms to shareholders and creditors were created promising that companies that invest in corporate governance would be appreciated. This would be possible because investors would be less exposed to the expropriation of their own capital by means of corporate governance mechanisms that ensure their rights and, accordingly, this would facilitate the sale of their shares and securities, the access to the capital market and a decrease in the cost of capital, appreciating thus the company. In this context, this paper has the purpose of analyzing the relationship between corporate governance and the cost of capital in Brazilian publicly-traded companies. This study determines whether the companies that adopt corporate governance practices, measured by Bovespa\'s (São Paulo Stock Exchange) corporate governance different levels, have a lower cost of capital when compared to companies that do not adopt these practices. To calculate the cost of capital, the CAPM and the Three-factor model were used to verify whether the relationship with corporate governance practices depends or not on the method adopted. The multiple linear regression was used to analyze statistics and the dependent variable was the cost of capital and the independent variables were the degree of financial leverage, the degree of operating leverage, the industries, the company\'s degree of intangibility and the time the company is listed on Bovespa. A positive relationship between the cost of capital, measured by the CAPM, and companies that adopt any of the corporate governance different levels was found, namely, the cost of capital is higher for companies that adhered to these practices. In the other analyses, the corporate governance was not significant. In this context, the hypothesis determining that a lower cost of capital is related to corporate governance is not confirmed. Therefore, the companies could be appreciated by increasing the expected cash flow and not by decreasing the cost of capital. We may also consider that corporate governance practices would be adopted by companies subject to a higher risk and that intend to reduce it by adopting protection measures to the minority shareholder, or that the company\'s beta that represents the CAPM would show a higher performance in relation to the market and, in this case, this would not highlight the risk, but a better performance of the company\'s shares when compared to the market.

The Diploma Thesis deals with the problems of an estimate of the discount rate and the single parameters used especially in the two basic methods for its determination: the surcharge (premium) method and the CAPM model. In the first part there are presented the effects which influence the discount rate and thus also the method of its estimate. The second part of the thesis describes the surcharge (premium) method which includes an estimate of the riskfree rate, the risk premiums and the liquidity premium. The third part of the work is devoted to the CAPM model, and it is divided into two chapters. Firstly, the CAPM model is derived in chapter 3. Then, in chapter 4, there are presented the possibilities of estimate of its single parameters and premiums which are most frequently added to the basic CAPM model.

This master‘s thesis is focused on creating an application, which would suggest an optimal portfolio of shares from SPAD Stock Market Praha. The application is based on the CAPM model, which is also described in this paper. There is a calculation of securities characteristics and specific portfolio diversification is suggested. The application also allows a user to simulate investments based on his requirements.

This is a study where the purpose is to investigate the risk-adjusted return and the correlation between the two investments, the stock market and the condominium market. In addition to this, it was analyzed how the two investments performed during the financial crisis and the covid-19 crisis. Study is carried out to get answers to the eternal question of which of these two investments is considered the most suitable for both short-term or long-term investment goals where financial conditions are taken into account. The study conducted various tests such as Pearson correlation test, volatility and regression models. The Sharpe ratio was used to measure the risk-adjusted return. These are carefully selected to see what returns the two investments give at different risks, as well as how the investments correlate with each other during crises and conditions of economic growth. The conclusion reached by this study is that the investor should diversify and invest in both investments. This is because their risk versus return profile becomes more even by investing in both investments. When one investment does worse, the other investment will, according to the study's various tests, make the return and risk profile more stable. Despite the high correlation between the investments, diversification is useful in case of possible future economic crises. / Detta är en studie där syftet är att undersöka den riskjusterade avkastningen samt korrelationen  mellan de två investeringarna aktiemarknaden och bostadsrättsmarknaden. Utöver detta analyserades hur de två investeringarna presterade under finanskrisen och covid-19-krisen.  Studie är genomförd för att få svar på den eviga frågan om vilken av dessa två investeringar som anses vara lämpligast för både kortsiktiga eller långsiktiga investeringsmål där ekonomiska förhållanden tas i akt.  Studien genomförde olika tester som Pearson korrelationstest, volatilitet och regressionsmodeller. Sharpekvoten användes  för att mäta den riskjusterade avkastningen. Dessa är noga utvalda för att se vad de två investeringarna ger för avkastning vid olika risker, samt hur investeringarna korrelerar med varandra under kriser och förhållanden vid ekonomisk tillväxt. Slutsatsen som denna studie kom fram till är att investeraren bör diversifiera sig och investera i båda investeringarna. Detta på grund av att deras riskprofil kontra avkastning blir mer jämnare genom att investera i båda investeringarna. När den ena investeringen går sämre kommer den andra investeringen som enligt studiens olika tester att göra att avkastningen och riskprofilen blir mer stabil. Trots den höga korrelationen mellan investeringarna så är diversifiering användbar vid eventuella framtida ekonomiska kriser.

Bakgrund: Analytikerhus och banker har i dagsläget en betydande roll för värderingen av företag och allmänhetens investeringsbeslut som följer dessa aktörers råd. Oavsett värderingsmetod så har analytikern en stor frihet i värderingsprocessen och det finns mycket möjligheter för subjektiva bedömningar och antaganden. Varför är detta viktigt? Jo, analytikernas ändamål skiljer sig mellan företag. Vissa aktieanalytiker arbetar med uppdragsanalyser, där ett företag begär en publik analys för att marknadsföra både sitt bolag och sin aktie, fokus kan ofta befinna sig på möjligheter för företaget i fråga snarare än hot. Vissa aktieanalytiker jobbar med M&A transaktioner, där det istället kan vara fördelaktigt för köparens team att komma fram till en låg värdering för att köpa ett bolag billigt men för säljaren gäller motsatsen. Olika ändamål kan skapa utrymme för missvisande värderingar. Syfte: Studiens syfte är att analysera hur svenska analytikerhus och banker jobbar med företagsspecifika riskpremier för att sedan kunna analysera hur de skiljer sig åt och belysa hur och när riskpremierna används av de olika analytikerna. Metod: Studien grundar sig i en kvalitativ undersökning i form av intervjuer med svenska analytiker från analytikerhus och banker, vars dagliga verksamhet består av företagsvärdering och/eller rådgivning. Efter empiriska data presenterats har denna ställts mot befintliga teorier och annan forskning för att skapa en redogörelse över hur analytikerna skiljer sig åt gällande riskpremierna Slutsats: En justerad CAPM används av nästan alla respondenter. De främsta riskerna som identifierades hos analytikerna vissa sig vara branschrisk, vinstvolatilitet, överlevnadsrisk, ledning, kund- och leverantörsberoende. Största skillnad var vilka risker analytikerna väljer att inkludera i prognos och i riskpremier. Författarna har identifierat att en storlekspremie används endast vid arbete med onoterade bolag av revisionsbyrå. Erfarenhet har visat sig vara avgörande vid skattningen av avkastningskravet, författarna menar att det kan finnas en koppling till bias i detta sammanhang. / Background: Analyst firms and banks currently play a significant role in the valuation of companies and the public's investment decisions that follow the advice of these players. Regardless of the valuation method, the analyst has a great deal of freedom in the valuation process and there are many opportunities for subjective assessments and assumptions. Why is this important? Well, the purpose of the analysts differs between companies. Some stock analysts work with commissioned analyzes, where a company requests a public analysis to market both its company and its stock, the focus can often be on opportunities for the company in question rather than threats. Some equity analysts work with M&A transactions, where it may instead be advantageous for the buyer's team to arrive at a low valuation to buy a company cheaply, but for the seller the opposite applies. Different purposes can create room for misleading valuations. Purpose: The purpose of the study is to analyze how Swedish analyst firms and banks work with firm-specific risk premiums in order to then be able to analyze how they differ and shed light on how and when the risk premiums are used by the various analysts.  Methodology: The study is based on a qualitative study in the form of interviews with Swedish analysts from analyst firms and banks, whose daily operations consist of company valuation and / or financial advice. After empirical data has been presented, this has been set against existing theories and previous research to create a description of how analysts differ regarding current risk premiums.  Conclusion: An adjusted CAPM is used by almost all respondents. The main risks identified by the analysts turned out to be industry risk, profit volatility, survival risk, management, customer and supplier dependence. The biggest difference was which risks the analysts choose to include in the forecast and in risk premiums. The authors have identified that a size premium is only used when working with unlisted companies by an auditing firm. Experience has proven to be crucial in estimating the required rate of return, the authors believe that there may be a connection to bias in this context.

Does the 4-factor model have a higher degree of explanation than CAPM and the 3-factor model on the Swedish stock market? The purpose of this thesis is to investigate whether the 4-factor model's ability to explain the systematic risk on the Swedish stock market is better than CAPM and the 3-factor model. Furthermore, we want to investigate whether it is possible to create portfolios based on the 4-factor model that generates excess returns. In addition, we will also compare our results with the results of previous international studies to see what results we get in the Swedish market.

För att upprätthålla en blomstrande ekonomi i samhället är det viktigt att marknaderna och de finansiella systemen är välfungerande och rationella, eftersom stabil ekonomisk tillväxt ökar välfärden i samhället. En grundläggande förutsättning för detta antagande är att företag värderas med förnuft och rationalitet för att undvika övervärderingar, vilket i sin tur kan ledatill volatilitet och minskad likviditet som inte är fördelaktigt för att upprätthålla förtroende föraktievärdering. Den digitala eran vi lever i har gjort det möjligt för nästan vem som helst att agera investerare på olika börser. Börserna är och har under de senaste åren varit högre värderade än någonsin tidigare. Att investera är att fatta ekonomiska beslut genom att allokera medel i tillgångar, där du förväntar dig en avkastning på investeringen. När en investerare förvärvar sådana tillgångar baserar de vanligtvis sitt beslut på tillgängliga ekonomiska data. Denna ekonomiska data kan komma i olika former, det kan vara årsredovisningar, kvartalsrapporter, värderingar, nyheter om företaget, globala externa faktorer och i vissa fall rekommendationer från andraköpare. Alla investerare har inte den djupgående kunskap som krävs för att sätta ett fundamentaltvärde på en aktie i ett företag, detta medför en risk för övervärdering för företag. Det finns många modeller och metoder för att värdera ett företag och en typisk metod som används är substansvärdering. Kortfattat betyder det att du drar av ett företags totala skulder från de totalatillgångarna, vilket ger dig ett substansvärde på aktierna. Man skulle snabbt inse att detta inte speglar det verkliga värdet av alla företag och därmed inte ger den fullständiga bilden av marknaden och tillväxten. / To sustain a thriving economy in society it's important that the markets and financial systems are well functioning and rational, since stable economic growth increases welfare in society. A fundamental condition for this assumption is that companies are valued with reason and rationality to avoid overevaluations, which in turn may lead to volatility and decreased liquidity that are non-beneficial for maintaining a trust in stock valuation. The digital era we live in has made it possible for almost anyone to act as an investor indifferent stock exchanges. The stock markets are and have for the past years been higher value than ever before. To invest is to conduct economic decisions by allocating means in assets, in which you expect a return on the investment. When an investor acquires such assets they usually base their decision on the economic data available. This economic data may come in different shapes, it could be annual reports, quarterly reports, valuations, news about the company, global external factors and in some cases recommendations from other buyers. All investors don't possess the profound knowledge required to put a fundamental value on a stock in a company, this brings a risk of overvaluation for companies. There are numerous models and methods to value a company and a typical method that is applied is substance valuation. In short, that means that you subtract a company's total liabilities from the total assets, that gives you a substance value of the stocks. One would quickly realize that this doesn't reflect the true value of all companies and thus not giving the full picture of the market and growth. This study is written in Swedish language.

[pt] Este trabalho analisa a eficácia da estratégia do fator Betting Against Beta (BAB), estabelecido por Frazzini e Pedersen (2014), aplicado no mercado de ações brasileiro. Os resultados indicam alfa significativo e persistente para BAB no Brasil mesmo quando controlado para demais fatores de risco conhecidos. O desempenho do fator BAB foi analisado sob a especificação original e permaneceu robusto à variações do parâmetro de suavização e janelas de estimação dos betas ex-ante. Adicionalmente, verificou-se a relevância da inclinação da curva de juros spot do Brasil e condições de liquidez do mercado como previsores do desempenho de BAB. Os resultados indicam elevada significância da inclinação de juros e da liquidez do mercado na performance contemporânea do fator BAB. / [en] This paper analyzes the effectiveness of the Betting Against Beta (BAB) factor strategy, established by Frazzini and Pedersen (2014), applied to the Brazilian stock market. The results points to significant and persistent alpha for BAB in Brazil even when controlled for other well-known risk factors. BAB factor performance was analyzed under the original model specification and remained robust to changes of the beta smoothing parameter and different ex-ante betas estimation windows. Additionally, we analyze the relevance of the Brazil s yield curve slope and stock market liquidity conditions as predictors of BAB performance. The results points to high significance level of the yield curve slope and market liquidity as explanations for contemporary performance of the BAB factor.