Ajuste no modelo CAPM para precificação de empresas considerando variáveis contábeis

Abstract

The current research aims to propose an extension to the financial assets pricing model using as basis accounting variables and logistic regression. To reach this objective, data from all companies negotiated in the New York Stock Exchange. This data was extracted from the software Economatica and contains the period of 2006 to 2021. Accounting indicators such as Return on Invested Capital, EBITDA margin, Net Margin, Market Capitalization, Company’s Beta (related to the S&P500 index), Free Cash Flow, Operating Cycle, Financial Cycle, and Financial Leverage Ratio were used to create an indicator for the study’s development known as σ. The σ modeling factor was made through the linear regression model with fixed panels. For the model’s development, the variables were subdivided into three groups: Profitability, Cash flow management, and efficiency of debt management. The results demonstrated that the model did not present a high explaining power, however, almost all used variables were statistically significant. Therefore, one suggests the use of macroeconomic information in the σ factor modeling, as well as the use of another regressor, instead of the logistic one, to model such factor in future research. It is concluded that the chosen company’s accounting variables– related through a logistic regression (factor σ)– are not as relevant for measuring the entity’s return on equity.