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Artigos • Rev. adm. empres. 46 (2) • Jun 2006 • https://doi.org/10.1590/S0034-75902006000200005   copiar

Importância do rating na padronização de debêntures

Autoria SCIMAGO INSTITUTIONS RANKINGS

Resumos

As debêntures padronizadas possibilitam aos investidores prescindir de complexas análises contratuais e cálculos sofisticados em mercados secundários. Este artigo analisa, com base em contratos de debêntures não padronizados, se, caso as diferenças contratuais fossem controladas estatisticamente, os ratings dessas debêntures seriam suficientes para captar os custos inerentes nas taxas de juros de suas emissões. Para tanto, analisamos uma amostra de 24 emissões de debêntures no período de 1999-2001, e verificamos se houve alguma diferença estatisticamente significativa (distribuição binomial) nas cláusulas contratuais entre as emissões com elevado rating e baixo rating. Concluímos que, para ratings elevados, a padronização afeta as taxas de juros como reflexo de seu rating. Contudo, para ratings baixos, a padronização não capta diferenças contratuais específicas, tais como repactuação programada e garantia.

Rating; taxa de juros; padronização; debêntures; cláusulas

Standard bonds dispense investors of complex contractual analysis and sophisticated calculus in secondary markets transactions. This paper - based in non-standard bond contracts - investigates the effects of controlling statistically contractual differences: would the bond ratings be sufficient to capture interest rates' costs of its issues? We take a sample of 24 bond issues in the period from 1999 to 2001 in order to verify if the difference in corporate bond covenants, when comparing issues with high rating and low rating, are statistically significant (binomial distribution). We conclude that, for high ratings, interest rate reflects standard features due to rating. For low ratings, standard features do not capture specific contractual difference, like established reinvestment and guarantee.

Rating; interest rate; standardization; corporate bonds; covenants

ARTIGOS

Importância do rating na padronização de debêntures

Hsia Hua Sheng; Richard Saito

FGV-EAESP

RESUMO

As debêntures padronizadas possibilitam aos investidores prescindir de complexas análises contratuais e cálculos sofisticados em mercados secundários. Este artigo analisa, com base em contratos de debêntures não padronizados, se, caso as diferenças contratuais fossem controladas estatisticamente, os ratings dessas debêntures seriam suficientes para captar os custos inerentes nas taxas de juros de suas emissões. Para tanto, analisamos uma amostra de 24 emissões de debêntures no período de 1999-2001, e verificamos se houve alguma diferença estatisticamente significativa (distribuição binomial) nas cláusulas contratuais entre as emissões com elevado rating e baixo rating. Concluímos que, para ratings elevados, a padronização afeta as taxas de juros como reflexo de seu rating. Contudo, para ratings baixos, a padronização não capta diferenças contratuais específicas, tais como repactuação programada e garantia.

Palavras-chave:Rating, taxa de juros, padronização, debêntures, cláusulas.

ABSTRACT

Standard bonds dispense investors of complex contractual analysis and sophisticated calculus in secondary markets transactions. This paper – based in non-standard bond contracts – investigates the effects of controlling statistically contractual differences: would the bond ratings be sufficient to capture interest rates' costs of its issues? We take a sample of 24 bond issues in the period from 1999 to 2001 in order to verify if the difference in corporate bond covenants, when comparing issues with high rating and low rating, are statistically significant (binomial distribution). We conclude that, for high ratings, interest rate reflects standard features due to rating. For low ratings, standard features do not capture specific contractual difference, like established reinvestment and guarantee.

Keywords: Rating, interest rate, standardization, corporate bonds, covenants.

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AGRADECIMENTO

Hsia Hua Sheng agradece ao CNPq, entidade do governo brasileiro voltada ao Desenvolvimento Científico e Tecnológico, pela bolsa de doutorado-sanduíche na New York University.

Artigo recebido em 28.04.2004.

Aprovado em 06.02.2006.

Hsia Hua Sheng

Professor de Finanças da FGV-EAESP. Doutor em Administração pela FGV-EAESP. Interesses de pesquisa nas áreas de análise de investimento em ativos financeiros, administração de riscos utilizando derivativos e gestão financeira. E-mail: hsiasheng@fgvsp.br Endereço: Departamento de CFC, Av. 9 de Julho 2029, Bela Vista, São Paulo – SP, 01313-902.

Richard Saito

Professor titular da FGV-EAESP e pesquisador do CNPq. Ph.D. pela Stanford University. Interesses de pesquisa nas áreas de finanças corporativas e corporate governance, incluindo aspectos de estratégia financeira de longo prazo. E-mail: rsaito@fgvsp.br Endereço: Departamento de CFC, Av. 9 de Julho 2029, Bela Vista, São Paulo – SP, 01313-902.

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Datas de Publicação

  • Publicação nesta coleção
    27 Nov 2012
  • Data do Fascículo
    Jun 2006

Histórico

  • Recebido
    28 Abr 2004
  • Aceito
    06 Fev 2006
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