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Master's Dissertation
DOI
10.11606/D.12.2012.tde-06022013-200206
Document
Author
Full name
Fabio Ricardo dos Santos Calhau
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2012
Supervisor
Committee
Lima, Gerlando Augusto Sampaio Franco de (President)
Almeida, José Elias Feres de
Galdi, Fernando Caio
Title in Portuguese
Estudo da assimetria da informação e seus impactos no custo de capital das empresas brasileiras negociadas em bolsa
Keywords in Portuguese
Assimetria da informação
Bolsa de valores
Custo de capital
Empresas
PIN (Probability of Informed)
Abstract in Portuguese
O objetivo principal deste trabalho é analisar o efeito da assimetria da informação no custo de capital próprio das empresas negociadas em bolsa de valores no Brasil. O tema está em constante debate sobre a existência dessa relação e até mesmo sobre sua relação com o custo de capital ser favorável ou não. A assimetria da informação foi estimada através da Probability of informed trading (PIN), mensurando de forma direta a existência de negociações com informação privilegiada para a confrontação com custo de capital das empresas brasileiras. O resultado encontrado não apresentou relação estatisticamente significante a 5% entre a PIN e o custo de capital, de forma que não foi possível verificar a relação entre assimetria da informação e o custo de capital. Adicionalmente, o coeficiente encontrado para a PIN no modelo adotado indica uma possível correlação negativa da variável estudada e o custo de capital, deste modo o estudo corrobora com a conclusão de Lambert et al. (2012), segundo a qual, em mercados líquidos, a assimetria da informação não exerce papel relevante e sim a quantidade e a qualidade da informação disponível, não importando a forma de entrada da informação no mercado.
Title in English
Study of asymmetry information and its impacts on capital cost of Brazilian companies traded in stock exchange
Keywords in English
Cost of equity
Information asymmetry
PIN (Probability of Informed Trading)
Abstract in English
The main objective of this thesis is to analyze the effect of information asymmetry on the cost of equity of companies traded in stock exchanges in Brazil. It is constantly debated whether this relationship exists and also whether information asymmetry's effect on the cost of equity is favorable or not. Information asymmetry has been estimated using the PIN (Probability of Informed Trading), directly measuring the existence of insider trading for confrontation with the cost of equity of Brazilian companies. The result obtained did not show a statistically significant relationship at the 5% level between the PIN and the cost of equity; therefore, it was not possible to ascertain the relationship between information asymmetry and cost of equity. Additionally, the coefficient found for the PIN on the selected model indicates a possible negative correlation between the studied variable and the cost of equity, which indicates that the study corroborates the conclusion of Lambert et al. (2012), according to which information asymmetry does not exert a significant role in liquid markets but rather this role is exerted by the quantity and quality of available information, regardless of how information reaches the market.
 
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Publishing Date
2013-02-22
 
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