Risco sistemático e ciclo de vida no mercado brasileiro

Abstract

Risk is defined as the chance than an outcome affects the ability to achieve objectives. It can be measured in several ways depending on the conditions analyzed. Risk analysis of firms’ life cycle can be helpful in decision making for investors and managers in the Brazilian stock market. We aimed to perform systematic risk analysis of the life cycle of 329 firms listed in the [B]3 (Brasil Bolsa Balcão) from 2016 to 2020. We used a multiple regression model in OLS to analyze all independent variables. We chose Dickinson's approach (2011) to analyze the stages of the firm life cycle and CAPM model to calculate adjusted beta. We also analyzed the importance of other variables in determining the risk assessment of firms. Results showed that the systematic risk is lower during the growth phase and higher during the shakeout phase. In addition, amongst all variables analyzed, only the Degree of Operating Leverage (DOL) and dividend yield played a role on the risk assessment of firms.