Do State-owned Enterprises in Brazil Require a Risk Premium Factor?

Despite the extensive privatization achievements over the last decades, government ownership of publicly traded companies remains pervasive around the world. Consistent with past evidence of structural change in the beta coefficient during financial crises, the more recent economic recession of 2014...

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Autores principales:	Rafaela Vitoria, Aureliano Angel Bressan, Robert Aldo Iquiapaza
Formato:	article
Lenguaje:	EN PT
Publicado:	FUCAPE Business School 2020
Materias:	state ownership privatization asset pricing capm financial crisis Business HF5001-6182
Acceso en línea:	https://doaj.org/article/d40bae861155416fa420c5be6f022521
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id	oai:doaj.org-article:d40bae861155416fa420c5be6f022521
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spelling	oai:doaj.org-article:d40bae861155416fa420c5be6f0225212021-11-11T15:48:08ZDo State-owned Enterprises in Brazil Require a Risk Premium Factor?1807-734X10.15728/bbr.2020.17.5.1https://doaj.org/article/d40bae861155416fa420c5be6f0225212020-01-01T00:00:00Zhttp://www.redalyc.org/articulo.oa?id=123064464001https://doaj.org/toc/1807-734XDespite the extensive privatization achievements over the last decades, government ownership of publicly traded companies remains pervasive around the world. Consistent with past evidence of structural change in the beta coefficient during financial crises, the more recent economic recession of 2014 to 2016 in Brazil presents an opportunity to demonstrate the disadvantages of allocating investment in companies that are publicly traded, but are controlled by the government. Constructing a portfolio of publicly traded State Owned Enterprises, we find that the financial crisis produced a significant increase in risk exposure, results that were much more pronounced when compared with a portfolio of privatized companies. The results also indicate that, in addition to a market factor, the poor performance can be explained by controllership. We believe this study adds to the long-standing debate on whether state-owned firms perform worse than private firms, with higher volatility and lower returns, particularly, during a period of financial crisis.Rafaela VitoriaAureliano Angel BressanRobert Aldo IquiapazaFUCAPE Business Schoolarticlestate ownershipprivatizationasset pricingcapmfinancial crisisBusinessHF5001-6182ENPTBBR: Brazilian Business Review, Vol 17, Iss 5, Pp 488-505 (2020)
institution	DOAJ
collection	DOAJ
language	EN PT
topic	state ownership privatization asset pricing capm financial crisis Business HF5001-6182
spellingShingle	state ownership privatization asset pricing capm financial crisis Business HF5001-6182 Rafaela Vitoria Aureliano Angel Bressan Robert Aldo Iquiapaza Do State-owned Enterprises in Brazil Require a Risk Premium Factor?
description	Despite the extensive privatization achievements over the last decades, government ownership of publicly traded companies remains pervasive around the world. Consistent with past evidence of structural change in the beta coefficient during financial crises, the more recent economic recession of 2014 to 2016 in Brazil presents an opportunity to demonstrate the disadvantages of allocating investment in companies that are publicly traded, but are controlled by the government. Constructing a portfolio of publicly traded State Owned Enterprises, we find that the financial crisis produced a significant increase in risk exposure, results that were much more pronounced when compared with a portfolio of privatized companies. The results also indicate that, in addition to a market factor, the poor performance can be explained by controllership. We believe this study adds to the long-standing debate on whether state-owned firms perform worse than private firms, with higher volatility and lower returns, particularly, during a period of financial crisis.
format	article
author	Rafaela Vitoria Aureliano Angel Bressan Robert Aldo Iquiapaza
author_facet	Rafaela Vitoria Aureliano Angel Bressan Robert Aldo Iquiapaza
author_sort	Rafaela Vitoria
title	Do State-owned Enterprises in Brazil Require a Risk Premium Factor?
title_short	Do State-owned Enterprises in Brazil Require a Risk Premium Factor?
title_full	Do State-owned Enterprises in Brazil Require a Risk Premium Factor?
title_fullStr	Do State-owned Enterprises in Brazil Require a Risk Premium Factor?
title_full_unstemmed	Do State-owned Enterprises in Brazil Require a Risk Premium Factor?
title_sort	do state-owned enterprises in brazil require a risk premium factor?
publisher	FUCAPE Business School
publishDate	2020
url	https://doaj.org/article/d40bae861155416fa420c5be6f022521
work_keys_str_mv	AT rafaelavitoria dostateownedenterprisesinbrazilrequireariskpremiumfactor AT aurelianoangelbressan dostateownedenterprisesinbrazilrequireariskpremiumfactor AT robertaldoiquiapaza dostateownedenterprisesinbrazilrequireariskpremiumfactor
_version_	1718433922842361856

Do State-owned Enterprises in Brazil Require a Risk Premium Factor?

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