Abstract
This study examines whether there is a relationship between the risk of a portfolio that would be sufficiently diversified in the Brazilian stock market, made by companies classified in the IGC, in comparison with the Market Portfolio. For this purpose, a preliminary proceeding of the methodological research literature, documentary exploratory and subsequent research of the theoretical portfolio of the index shares differentiated corporate governance of BM&FBOVESPA valid for first, second and third quarters of 2009. Therefore, with the aid of the electronic spreadsheet Excel, being used with the model of Markowitz (1952) and of the methodology developed by Gonçalves Jr, Pamplona and Montevechi (2002), we have attempted to find the minimum variance portfolios for each quarter in order to test the hypothesis that there is a relationship between the risk of these portfolios, considered sufficiently diversified in the Brazilian stock market (according to the findings of Sanvicente and Bellato, 2004), composed by companies classified in the IGC. The results have indicated that these portfolios for the assets of IGC, are higher than the market portfolio, since they would have their risks represented by about 34%, 32% and 21% of risk IBOVESPA in its corresponding period in identical levels of return. Through the theory of diversification is possible to obtain an inverse relationship between risk and good corporate governance practices. Additionally, the IGC selected portfolio dominates the portfolio of the IGC and the Bovespa index, respectively, using the coefficient of variation, it has the lowest risk contained for each additional return.Key words: Corporate governance. Portfolio selection. Portfolio optimization.
Highlights
IBOVESPA in its corresponding period in identical levels of return
Selected portfolio dominates the portfolio of the IGC and the Bovespa index, respectively, using the coefficient of variation, it has the lowest risk contained for each additional return
A Teoria dos Portfólios utiliza apenas o valor esperado, a variância e a covariância dos retornos dos ativos que compõem a carteira e consiste em selecionar carteiras eficientes de ativos que melhor atendam aos objetivos do investidor em termos de retorno esperado e risco (MARKOWITZ, 1952)
Summary
Segundo Martins, Hildebrand e Ziviani (2008) as concepções ou definições de Governança. Conforme Maciel et al (2009), essas diferenciam-se de outras organizações do mesmo porte por tornarem-se mais profissionais e respeitadas por toda sua cadeia de negócios, além de que, as boas práticas de governança corporativa contribuem para sua perenidade, por facilitar seu acesso ao capital, e têm a finalidade de aumentar o valor da sociedade. Andrade e Rossetti (2007) defendem que, por tornar os negócios mais seguros e menos expostos a riscos externos ou de gestão, o que aumenta a confiança dos investidores, a boa governança aumenta as bases estratégicas da criação de valor e proporciona bases para encarar novos níveis de complexidade, por isso é fator de harmonização de interesses. Ao que Marinelli (2005) complementa que, empresas que possuem uma boa governança corporativa têm mais facilidade para vender seus títulos, diminuir custos de captação de recursos e valorizarem seus produtos, o que finda, consequentemente, por aumentar seu valor de mercado
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