Criação de valor econômico e suas implicações em empresas brasileiras de capital aberto: uma análise dos modelos de precificação de ativos financeiros

Abstract

The theme of this research is to refer to Economic Value Added (EVA) in Brazilian companies of open capital and the asset pricing models of unique factor. So, the principal objective ofthis research is consisted of tested financial asset pricing models, Capital Asset Pricing Model (CAPM) and Downside Capital AssetPricing Model (D-CAPM), which represem as the best altemative to measure the cost of equity capital of these Brazilian companies of open capital. Specifícally, it has sought for the value of efficiency in application of CAPM and D-CAPM for Brazilian market share and in compare to the EVA's results, affected from the time of use of asset pricing models, CAPM and DCAPM. In this sense, the present research has had as theoretic foundation on the economic value added and financial asset pricing models, preceded by a literature revision model about the market share with an emphasis in evolution of Brazilian market share. The research has been developed through a quantitative investigation, utilizing sample data of period from December 1996 to August 2002. The data has been collected through database of Comissão de Valores Mobiliários (CVM) and of Economática. The test of efficiency of financial asset pricing models indicated a superiority of model D-CAPM compare to CAPM in explanation to return the movable designation of Brazilian market capitais. In that case it is cited that between two models ofmeasuring the capital cost of property, the D-CAPM is more indicated for utilization as a supporting instrument to calculate growth versification of economic value.