O impacto da securitização de ativos nos indicadores financeiros e no beta das empresas

Abstract

This research analyzes the influence of asset securitization over the financial indicators and the beta of corporations which use this kind of structured operation. This influence is studied through the application of theoretical models and empirical tests which relate corporate finance concepts to portfolio theory elements. The results indicate a relationship between corporate leverage and the credit rating criteria and the possibility to estimate the significance of such relationship. The research sample is composed of corporations which executed operations of receivable securitization and also had their stocks traded at the Sao Paulo Stock Exchange from years 2000 to 2005. Such sample period contains the largest number of corporate receivable securitization operations. To analyze the relationship between receivable securitization and financial indicators and between receivable securitization and market beta, the following variables were selected: financial leverage, operational leverage, total leverage, equity beta and asset beta. The fuzzy statistical relation and the linear relationship hypothesis between the dependent and independent variables, and between the independent variables themselves was tested through the application of mathematical tools, of statistical tests of association and of simple and multiple regression models. This research also found strong evidences that asset securitization leads to an improvement in credit rating, for the companies which adopt such structured operations. viii