Retorno e risco das carteiras de governança corporativa no mercado de capitais brasileiro: uma análise multiperíodo

Abstract

The general aim of the present study is to verify if the companies listed in the highest levels of corporate governance (CG) present lower risk, higher return and higher risk-adjusted return when compared to those companies pertaining to inferior levels and to those of the traditional market, considering periods before international financial crisis, crisis and post-crisis. In order to do so, a portfolio study has been carried out: four kinds of portfolios have been formed, from the perspective of two different weighing strategies and three distinct moments (before crisis, crisis and post-crisis). Three classes of performance measurement (return, risk and risk-adjusted return) have been compared, by using Tukey and Friedman tests, in separate periods: before crisis (2005-2007), crisis (2008- 2009) and post-crisis (2010-2012). In the first class of indicators, the monthly real returns were used and, in the second one, the risk measurements of the monthly real returns were employed: standard deviation, coefficient of variation, and Beta from Capital Asset Pricing Model (CAPM). In relation to the risk-adjusted returns, the following indicators were used: Sharpe Ratio, Treynor Ratio, Modigliani Ratio and Modigliani (M2) and Jensen‟s alpha. Overall, it has been concluded that there is strong evidence that the portfolios formed by stocks with better corporate governance practices present the same performance when compared to those with inferior corporate governance in the three periods that have been analysed. For future studies, the employment of different strategies to form and weigh portfolios is suggested, as well as the verification of the portfolios performance, by means of other indices of performance.