Corporate governance and portfolios optimization: the relation between risk and return and good governance practices / Governança corporativa e otimização de portfolios: a relação entre risco e retorno e boas práticas de governança

AUTOR(ES)

Aieda Batistela de Sirqueira

DATA DE PUBLICAÇÃO

2007

RESUMO

The objective of this work is to verify if shares of companies that adopt good corporate governance practice provides greater returns and lower risks to investors when compared with shares of companies that do not adopt these set of practices. Three optimization portfolios models were used to accomplish this objective. The first model, the maxmin model, maximizes the smallest monthly return, while the second maximizes the annual return. The third model minimizes the mean absolute deviation, which is considered a risk measure. All the models will be solved by linear programming (LP) methods, when it is not possible to determinate the number of shares in the portfolio, and mixed integer programming (MIP) methods, in which are inserted constraints that permit specify the minimum number and maximum number of shares in the models. The three models are applied to a portfolio formed by shares that are in IGC and to a portfolio formed by shares that are in IBOVESPA. The obtained results for both portfolios will be compared, willing to evidence the idea that good corporate governance is related with greater returns and lower risks. This study has the purpose to verify empirically if shares of companies with good governance provides greater returns and lower risks to investors and, this way, supplies new information that contribute with knowledge and greater development of the theme. The results of this work show that the better performance of portfolio formed by shares of IGC, that presented greater returns and lower risks. According to these results, there are indicators that the commitment with additional corporate governance practices can be providing greater returns and lower risks.

ASSUNTO(S)

corporate governance programação inteira mista ibovespa nível 1 novo mercado ibovespa linear programming level 1 new market governança corporativa level 2 programação linear igc igc nível 2 portfolio optimization otimização de portfolios mixed integer programming

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