La cotización bursátil lleva al perfeccionamiento de la presupuestación de capital

MENDES-DA-SILVA, WESLEY; SAITO, RICHARD

doi:10.1590/S0034-759020140509

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Articles • Rev. adm. empres. 54 (5) • Sep-Oct 2014 • https://doi.org/10.1590/S0034-759020140509 copiar

La cotización bursátil lleva al perfeccionamiento de la presupuestación de capital

Autoría SCIMAGO INSTITUTIONS RANKINGS

El presente artículo compara las técnicas de presupuestación empleadas por las empresas brasileñas cotizadas y no cotizadas. Encuestamos a los Gerentes de Finanzas Corporativos (Chief Financial Officers, CFO) de 398 empresas cotizadas y 300 grandes empresas no cotizadas, y, con base en 91 encuestados, los resultados sugieren que los CFO de las empresas cotizadas tienden a usar con más frecuencia métodos menos simplistas; por ejemplo: NPV y CAPM, y los CFO de las empresas no cotizadas son menos propensos a estimar el costo de los fondos propios, a pesar de tratarse de grandes empresas. Estos resultados indican que la cotización de la bolsa de valores puede requerir un mayor perfeccionamiento del proceso de presupuestación de capital.

Presupuestación de capital; encuesta financiera; decisiones financieras; finanzas corporativas; innovación financiera

	NPV				IRR			PB
	I		II		III	IV		V	VI
Constant	0.470		1.689	^* * p-value < 0.01;	0.470	0.550		0.258	-0.776
	(0.329)		(0.883)		(0.329)	(0.713)		(0.323)	(0.720)
Listed Company	1.235	^ p-value < 0.05;	0.506		0.629	-0.035		-0.258	-0.845
	(0.506)		(0.614)		(0.459)	(0.534)		(0.426)	(0.566)
Company Size			-1.396	^* * p-value < 0.01;		-0.390			-0.053
			(0.787)			(0.581)			(0.560)
CFO's Education			1.076			0.387			0.853
			(0.819)			(0.660)			(0.556)
CFO's Age			0.111			0.325			0.829	^* * p-value < 0.01;
			(0.540)			(0.501)			(0.487)
Operational Sector			-0.349			0.158			1.366	^* ***** p-value < 0.1.
			(0.526)			(0.484)			(0.500)
Governance			1.392			1.576	^ p-value < 0.05;		1.424	^ p-value < 0.05;
			(0.895)			(0.735)			(0.639)
#Observations	91		91		91	91		91	91
McFadden R2	0.060		0.135		0.016	0.070		0.002	0.139
Akaike's Criterion	100.61		103.02		114.45	118.45		129.51	122.30
% correct classification	74.7%		74.7%		69.2%	69.2%		52.7%	68.1%
X2 Likelihood test	6.27		13.86		1.88	7.87		0.37	17.57

	CAPM				k_d + premium + growth			Does not estimate k_e
	VII		VIII		IX	X		XI		XII
Constant	-0.693	^ p-value < 0.05;	-1.420	^ p-value < 0.05;	-2.170^* ***** p-value < 0.1.	-1.480		-0.811	^ p-value < 0.05;	-0.640
	(0.340)		(0.704)		(0.932)	(1.976)		(0.346)		(1.188)
Listed Company	0.770	^* * p-value < 0.01;	1.086	^* * p-value < 0.01;	0.464	-1.317		-1.226	^ p-value < 0.05;	-0.936
	(0.439)		(0.562)		(0.653)	(1.138)		(0.556)		(0.676)
Company Size			1.293	^ p-value < 0.05;		-0.959				-0.210
			(0.628)			(0.704)				(0.648)
CFO's Education			0.041			-0.342				-0.635
			(0.642)			(0.812)				(0.873)
CFO's Age			-0.279			-0.203				-0.598
			(0.477)			(0.742)				(0.632)
Operational Sector			-0.790			0.420				0.659
			(0.496)			(0.717)				(0.591)
Governance			-0.309			2.580	^ p-value < 0.05;			-0.707
			(0.621)			(1.034)				(0.894)
#Observations	91		91		91	91		91		91
McFadden R2	0.025		0.099		0.007	0.133		0.057		0.095
Akaike's Criterion	125.65		126.34		74.44	75.476		89.338		95.88
% Correct classifications	58.2%		70.3%		86.8%	86.8%		80.2%		81.3%
X2 Likelihood test	3.16		12.47		0.52	9.48		5.17		8.63

	Difficulty estimating risk			Difficulty including strategy in the project			Other advantages of using non-DCF techniques
	XIII	XIV		XV	XVI		XVII	XVIII
Constant	-0.154	-1.074		0.154	0.731		-1.204^* ***** p-value < 0.1.	-2.610	^* ***** p-value < 0.1.
	(0.321)	(0.712)		(0.321)	(0.741)		(0.380)	(0.869)
Listed Company	0.308	0.711		-0.308	-0.098		0	-0.719
	(0.425)	(0.618)		(0.425)	(0.559)		(0.503)	(0.796)
Company Size		0.747			-0.194			1.180	^* * p-value < 0.01;
		(0.563)			(0.595)			(0.714)
CFO's Education		-0.347			-0.177			0.801
		(0.639)			(0.528)			(0.612)
CFO's Age		-1.272	^ p-value < 0.05;		0.271			0.332
		(0.508)			(0.463)			(0.545)
Operational Sector		1.678	^* ***** p-value < 0.1.		-0.995	^ p-value < 0.05;		0.115
		(0.513)			(0.483)			(0.586)
Governance		0.043			-0.814			1.428	^* * p-value < 0.01;
		(0.635)			(0.603)			(0.776)
#Observations	91	91		91	91		91	91
McFadden R²	0.004	0.142		0.004	0.058			0.089
Akaike's Criterion	129.61	122.15		129.61	132.79		102.31	103.56
% Correct classifications	53.8	65.9%		53.8%	61.5%		76.9%	76.9%
x² Likelihood test	0.52	17.99		0.53	7.35		-	8.75

Company characteristics		Listed		Unlisted		X²
		N	%	N	%
Gross revenue						4.018
	Less than 2.4 Mil BRL$	6	11.5	3	7.7
	Between 2.4 Mil BRL$ and 16 Mil BRL$	3	5.8	1	2.6
	Greater than 16 Mil BRL$ and up to 90 Mil BRL$	1	1.9	0	0.0
	Greater than 90 Mil BRL$ and up to 300 Mil BRL$	5	9.6	1	2.6
	Greater than 300 Mil BRL$	37	71.2	34	87.2
% of Sales abroad						3.231
	There are no sales for the international market	28	53.8	17	43.6
	1%-24%	15	28.8	9	23.1
	25%-50%	5	9.62	7	17.9
	50%-90%	3	5.77	5	12.8
	100%	1	1.92	1	2.56
Industry						10.876^* * p-value < 0.1. The test statistic x2 suggests the existence of dependence between stock exchange listing and two company characteristics, i.e., Operational sector (x2 = 10.876) and CFO's Age (x2 = 7.515).
	Industrial/Manufacturing	18	34.6	19	48.7
	Transportation/Infrastructure	7	13.5	6	15.4
	Technology	1	1.92	1	2.56
	Financial Services	5	9.62	0	0
	Energy	10	19.2	1	2.56
	Wholesale/Retail	11	21.2	12	30.8
CFO's Education						2.303
	No Degree	2	3.85	0	0
	Degree	8	15.4	8	20.5
	Masters/PhD	11	21.2	6	15.4
	MBA	31	59.6	25	64.1
CFO's Age						7.515^* * p-value < 0.1. The test statistic x2 suggests the existence of dependence between stock exchange listing and two company characteristics, i.e., Operational sector (x2 = 10.876) and CFO's Age (x2 = 7.515).
	≤ 40 years	16	30.8	6	15.4
	Between 40 and 48 years	16	30.8	17	43.6
	Between 49 and 59 years	13	25	15	38.5
	≥ 60 years	7	13.5	1	2.56
Governance (BM&FBovespa criteria)
	Traditional	18	34.6	0	0
	Bovespa+	2	3.85	0	0
	Level 1	5	9.62	0	0
	Level 2	2	3.85	0	0
	New Market	25	48.1	0	0

		DCF		Non-DCF
		NPV	IRR	PB	ARR	Others
Panel A: Listed (N = 52)
% Scores 5 or 6		84.6%	75.0%	50.0%	13.4%	13.5%
Average score		5.30	4.90	4.00	2.50	2.0
Company Size
	Annual revenue ≤ BRL$ 300,000,000	5.50	4.70	3.70	2.50	1.33
	Annual revenue > BRL$ 300,000,000	5.20	5.00	4.20	2.50	1.84
CFO's Education
	Yes	5.36	4.91	4.00	2.27	1.82
	No	5.32	4.90	4.02	2.56	1.66
CFO's Age
	<49 years	5.40	5.00	4.00	2.3	1.56
	≥49 years	5.30	4.80	4.00	2.9	1.90
Operational Sector
	Manufacturing	5.17	5.39	4.61^* * p-value < 0.1;	2.72	1.28
	Others	5.41	4.65	3.71	2.38	1.91
International sales
	≤50%	5.27	4.81^* * p-value < 0.1;	3.88^* * p-value < 0.1;	2.50	1.69
	>50%	6.0	6.0	5.75	2.50	1.75
Governance
	Yes	5.6	5.5	4.5	2.5	1.8
	No	5.0	4.3	3.6	2.5	1.6

Panel B: Unlisted (N = 39)
% Scores 5 or 6		61.5	61.5	56.4	20.50	15.3
Average score		4.60 (720)^* ***** p-value < 0.01	4.50 (809)^* * p-value < 0.1;	4.40	2.50	1.74
Company Size
	Annual revenue ≤ BRL$ 300,000,000	5.40	5.40	5.20	1.40	1.00
	Annual revenue > BRL$ 300,000,000	4.50	4.40	4.40	2.70	1.85
CFO's Education
	Yes	5.0	4.80	4.80	2.20	2.50
	No	4.60	4.50	4.40	2.60	1.61
CFO's Age
	<49 years	4.52	4.13^* * p-value < 0.1;	4.30	2.83	1.61
	≥49 years	4.81	5.06	4.69	2.13	1.94
Operational Sector
	Manufacturing	4.70	4.30	4.90	2.10	1.79
	Others	4.60	4.70	4.00	3.00	1.70
International sales
	≤50%	4.55	4.48	4.58	2.70	1.73
	>50%	5.17	4.67	3.83	1.67	1.83

		Rates used as a proxy for cost of capital
		Specific k of each project	WACC	K_d	K_e	Other methods
Panel A: Listed (N = 52)		5.0	37.0	4.0	6.0	0.0
		9.6	71.2	7.7	11.5	0.0
Company Size
	Annual revenue ≤ BRL$ 300,000,000	13.3	80.0	6.7	0.0	0.0
	Annual revenue > BRL$ 300,000,000	8.1	67.6	8.1	16.2	0.0
CFO's Education
	No	9.8	68.3	7.3	14.6	0.0
	Yes	9.1	81.8	9.1	0.0	0.0
CFO's Age
	<49 years	6.3	75.0	9.4	9.4	0.0
	≥49 years	15.0	65.0	5.0	15.0	0.0
Operational Sector
	Others	11.8	73.5	5.9	8.8	0.0
	Manufacturing	5.6	66.7	11.1	16.7	0.0
International sales > 50%
	No	10.4	72.9	8.3	8.3	0.0
	Yes	0.0	50.0	0.0	50.0	0.0
Governance
	No	18.5	63.0	14.8	3.7	0.0
	Yes	0.0	80.0	0.0	20.0	0.0

Panel B: Unlisted (N = 39)		50	24.0	2.0	3.0	50
		12.8	61.5	5.1	7.7	12.7
Company Size
	Annual revenue ≤ BRL$ 300,000,000	20	20	20	40	0
	Annual revenue > BRL$ 300,000,000	11.8	67.6	5.9	5.9	8.9
CFO's Education
	No	12.1	57.6	6.1	9.1	15.1
	Yes	16.7	83.3	0	0	0
CFO's Age
	<49 years	13.0	65.2	4.3	4.3	13.1
	≥49 years	12.5	56.25	6.25	12.5	12.5
Operational Sector
	Others	70.0	5.0	15.0	10.0
	Manufacturing	26.3	52.6	5.3	0.0	15.8
International sales > 50%
	No	12.1	60.6	6.1	9.1	12.1
	Yes	16.7	66.7	0.0	0.0	16.7
Governance
	No	12.8	61.5	5.1	7.7	12.8
	Yes	0	0	0	0	0

		Historical average return	CAPM	k_e + Premium + growth	Does not estimate k_e	Other methods
Panel A: Listed (N = 52)			27.0	8.0	6.0	8.0
		5.8	51.9	15.4	11.5	15.4
Company Size
	Annual revenue ≤ R$300,000,000	13.3	33.3	26.7	13.3	13.3
	Annual revenue > R$300,000,000	2.7	59.5	10.8	10.8	16.2
CFO's Education
	No	4.9	51.2	14.6	12.2	17.1
	Yes	9.1	54.5	18.2	9.1	9.1
CFO's Age
	<49 years	3.1	56.3	15.6	12.5	12.5
	≥49 years	10.0	45.0	15.0	10.0	20.0
Operational Sector
	Others	5.9	61.8	11.8	8.8	11.8
	Manufacturing	5.6	33.3	22.2	16.7	22.2
International sales > 50%
	No	6.3	50.0	14.6	12.5	16.7
	Yes	0.0	75.0	25.0	0.0	0.0
Governance
	No	7.4	51.9	3.7	14.8	22.2
	Yes	4.0	52.0	28.0	8.0	8.0

Panel B: Unlisted (N = 39)		1.0	13.0	4.0	12.0	9.0
		2.6	33.3	10.3	30.8	23.1
Company Size
	Annual revenue ≤ R$ 300,000,000	0.0	0.0	0.0	40.0	60.0
	Annual revenue > R$ 300,000,000	0.0	38.2	11.8	29.4	20.6
CFO with Masters/PhD
	No	0.0	33.3	12.1	33.3	21.2
	Yes	0.0	33.3	0.0	16.7	50.0
CFO's Age
	<49 years	0.0	34.8	13.0	34.8	17.4
	≥49 years	0.0	31.3	6.3	25.0	37.5
Operational Sector
	Others	0.0	40.0	10.0	25.0	25.0
	Manufacturing	0.0	26.3	10.5	36.8	26.3
International sales > 50%
	No	0.0	30.3	12-1	30.3	27.2
	Yes	0.0	50.0	0.0	33.3	16.7
Governance
	No	0.0	0.0	0.0	0.0	0.0
	Yes	0.0	0.0	0.0	0.0	0.0

	Listed Company		Company Size	CFO's Education	CFO's Age	Operational Sector
Company Size	-0.192	^* * p-value < 0,01;
CFO's Education	0.073		-0.018
CFO's Age	-0.026		-0.059	0.016
Operational Sector	-0.142		-0.155	-0.110	0.108
Governance	0.533	^* ***** p-value < 0.1.	0.029	0.084	-0.095	-0.108

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[tfn01t06] Note: All of the models presented in this table were estimated using the logit method. In parentheses, under each coefficient, is the standard error of the estimate for each coefficient obtained. The estimates were obtained with a robust standard error using the procedure suggested by Davidson and Mackinnon (2004, p. 250)Davidson, R. & Mackinnon, J. G. (2004). Econometric theory and methods. New York: Oxford University Press..

[tfn02t06] ^*
p-value < 0.01;

[tfn03t06] ^**
p-value < 0.05;

[tfn04t06] ^***
p-value < 0.1.