Risco de insolvência e risco sistemático: relação teórica não verificada na Bovespa

Abstract

It is tested, through correlation, regression and dispersion graphics analyses, whether the accounting leverage proxies systematically risk beta. Beta, total and financial leverage indicators of all firms listed in Bovespa along 1995 and 2005, were collected in Economática database. No empirical relationship was observed among these variables. This result holds even (a) when beta is calculated through GARCH-M model and only liquid firms are considered, (b) when it is used current and lagged leverage indicators, (c) when market value is used as a second independent variable, or (d) when non-linear transformations are tried. This evidence indicates that leverage (total or financial) should not be used as beta’s proxy. In order to explain this empirical finding the main cause proposed here is the capital marketconcentration that may cause Brazilian accounting to be irrelevant for investors´ decisions.