Avaliação do impacto da regulamentação da comissão de valores mobiliários e da U.S. Securities and Exchange Commission sobre o desempenho de papéis de empresas brasileiras

Abstract

This work tests hybrid models to evaluate the impacts caused by financial regulation over Brazilian stocks listed in the Brasil, Bolsa, Balcão (B3) and the New York Stock Exchange (NYSE). The analysis considers a period from 2005 to 2017. Based on the combination and enhancement of literatures models, this study tries to identify the effects created by the actions of the Comissão de Valores Mobiliários (CVM) and the U.S. Securities and Exchange Commissions (SEC) over the return and risk of Brazilian securities. Those indicators are important market performance measures that affect the investment decision process and the countries economic credibility. Four groups, with daily and monthly data, were created: (a) the first comprises Brazilian American Depositary Receipts (ADR) negotiated in the NYSE; (b) a second with stocks negotiated in the B3 that have a counterpart in ADR; (c) a third which includes the other B3 companies that belong to Ibovespa, however with no international negotiation; and (d) the last one considering the Ibovespa and S&P 500 market indexes. Therefore, this work tries to identify any positive regulatory effect, caused by the creation of an institutional structure that increases markets efficiency, generating a legal system that reduces risk, attracts new capital and creates value. The counterpart would be the negative effects that emerge from greater transactional costs and the establishment of a bureaucratic inefficient conjuncture, being unable to reduce market risks. This last effect discourages investments and weakens the companies results. An econometric study with linear regressions estimated through Ordinary Least Squares (OLS) was carried out, complemented with Granger Causality Tests. The data collected produced non-balanced panels, containing variables that could explain the correlation between financial, economic and regulatory variables that influence companies performance, allowing the evaluation of supervision actions. The findings point out that regulatory measures impact, in a perceivable way, on return and risk. There was convergence between the results found with the B3 and the NYSE data. The legal production from SEC and CVM yields negative effects on stocks. There are evidences that there is a positive impact from regulation also, probably created by the engagement against financial market crimes and other activities. Brazilian companies that have ADRs presented smaller returns when compared to others that do not have it. Granger causality tests identified impact of regulatory measures over Ibovespa and S&P 500 volatility