Performance das melhores práticas de governança corporativa no Brasil: um estudo de carteiras

Abstract

The practice of superior principles corporate governance can increase return and decrease share volatility, increase negotiated volume and liquidity, decreasing exposure to external risks, bringing the cost of capital down and enhancing the firm’s value. This work has the objective to analyzing if companies that adopt superior corporate governance practices achieve better performance than companies that do not adopt this strategy. This way, two types of portfolio were build with four diversification strategies: portfolios of high corporate governance firms and portfolios who lower corporate governance practices, and related to diversification strategies, the following criteria are prioritized: a) liquidity; b) market value; c) prices; d) Optimum portfolio according to Sharpe Index methodology. In this sense, by the bootstrap method, the averages from the portfolios in three classes of performances, return, risk and risk adjusted return between January 2003 to October 2006. In the first class of indicator were used real monthly returns and in the second were used risk measures of real monthly returns: standard deviation, variation coefficient, semi-variance and CAPM Beta. Related to adjusted returns from risk, the following indicators were used: Sharpe Index (IS), Treynor Index (T), M2 Index, Jensen Alfa ( α) e Sortino Index(S). Overall, statistically and at least in the period analyzed, the portfolios of high corporate governance firms do not indicates better performance than the portfolios that lowers corporate governance practices.