Conexões políticas e precificação de ativos: evidências no mercado regulado brasileiro

Abstract

The objective of this thesis was to analyze political connections in regulated companies as an omitted factor in asset pricing models. The sample shows 79 companies listed on B3 and that are under the supervision of regulatory agencies such as, for example, the National Electric Energy Agency (Aneel), National Water Agency (Ana), National Telecommunications Agency (Anatel) in the period 2011 to 2022, which totaled 3,160 observations. The methodology follows the steps of Fama and French (1993) for the three-factor model; by Carhart (1997) for the four-factor model and by Fama and French (2015) for the five-factor model. Two factors were included in these models: the first deals with political connections through the proportion of politically connected advisors in relation to the total number of advisors and the second factor seeks a temporal analysis due to the requirements imposed by Law 13,303/2016 (Law of Responsibility of State-owned companies) for investiture in the position of director of companies controlled by the public authorities. The results showed that political connections began to be priced after the law was published, that is, the absence of political connections can be considered as an omitted factor in asset pricing models requiring an excess return for investors after the law was published. 13,303/2016, which aligns with the Resource Dependence Theory to the detriment of the Agency Theory. The significance of the proportionality of politically connected advisors in relation to the total number of advisors was not verified, on the contrary, their isolated inclusion in the model proved to be an anomaly, since the intercept of the regressions returns a value different from zero and statically significant, violating an assumption for an adjusted model.