Estimating betas from fundamentals: an analysis of Brazilian banks / Avaliação de betas por fundamentos: uma análise de bancos no Brasil

AUTOR(ES)
DATA DE PUBLICAÇÃO

2009

RESUMO

The cost of equity capital, according to the CAPM of Sharpe, Lintner and Mossin, depends on the beta of a company stock. However, a relevant part of Brazilian banks is not listed in any stock exchange. Therefore, this paper has the objective of proposing and testing a methodology to estimate betas based on specific bank fundamentals. The model, based on bank accounting fundamentals, has indicated that only two variables are relevant for estimating bank betas in Brazil: (1) real estate loans as a proportion of total assets; (2) a dummy variable which segregates state-owned from privately-owned banks. The application of the beta estimation model to a validation sample showed that it is more efficient than the use of a null or unitary beta. Nevertheless, the model was less efficient than the use of a beta based on the average of peer banks or the extrapolation of a constant historical beta value

ASSUNTO(S)

beta economia beta capm risk capm bancos banks risco

ACESSO AO ARTIGO

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