Avaliação de betas por fundamentos: uma análise de empresas do setor elétrico na América Latina / Estimating betas from fundamentals: an analysis of Latin American electric sector companies

AUTOR(ES)
DATA DE PUBLICAÇÃO

2008

RESUMO

It is necessary to calculate the cost of equity which effectively shows the intrinsic business risk. The most used method to estimate the cost of equity encompasses the use of average of traded stocks betas. Although, the number of electrical power companies with different activities: generation, distribution, transmission and trading, and the percentage that each activity represents in a portfolio differs significantly from one company to another. The scope of this work aims at calculating the stocks betas for electrical power sector companies in Latin America through the use of business and project fundamentals. The method used comprises the calculation of beta through pooled time series and cross section regression using business fundamentals (economical and financial). The results shows that operating and financial leverage, size, activity (generation, transmission and distribution) and country affect shareholders risk perception and the cost of equity, as expected according to the literature

ASSUNTO(S)

beta capm risk energia economia energy capm latin america américa latina risco beta

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