Setor bancário brasileiro: uma avaliação do risco e retorno dos ativos listados na Bovespa no ano de 2017

Abstract

The purpose of this paper is to investigate the relationship between the risk and the return of the Brazilian banking assets listed on BM & FBOVESPA in 2017. For this we use the capital asset pricing model (CAPM), which was developed by Sharpe (1964). The daily average prices of the fourteen assets of the banks that presented a regular price during the period studied were analyzed. Then, the average of the returns of each asset was calculated. Through the econometric it was possible to estimate the individual betas of the assets that measure the relation between risk and return. As a result, it was possible to observe that an asset had a direct relationship between risk and return, that is, it presented the highest average returns, on the other hand, it presented the highest risk coefficient. An asset showed an inverse relationship with higher risk coefficient and the lowest average return. An asset presented loss to the investor, although its risk rate was the lowest in the period studied. The other research assets presented a significant level of risk in relation to average returns.