O impacto da migração das empresas para os níveis diferenciados de governança corporativa da BM&F Bovespa sobre o risco e o retorno de suas ações

Abstract

http://dx.doi.org/10.5902/198346592599The transparency of information is important to diminish the asymmetry of information. The more quality information there is about the business, or financial and economic performance of a certain company, theoretically, the more one can expect a different perception of risk by the investor. The aim of this study was to verify whether the initiative of the companies to adhere to BMF BOVESPA’s Differentiated Levels of Corporate Governance impacts both at risk and return of the closing price of its shares. For that, daily returns of 252 days before and after the accession of companies to NDGC were used. Over the measures of absolute risk (standard deviation) and relative risk (beta), and return, Kolmogorov-Smirnov tests were made in order to analyze normality, as well as parametric test of paired means and Wilcoxon’s non-parametric test. The behaviors of the roles of 48 companies were analyzed. The results showed that the means of the returns of the companies’ shares showed no significant differences before and after the date of accession to NDGC. Moreover, the risk proxies were significantly different.