Testando as previsões de trade-off e pecking order sobre dividendos e dívida no Brasil

Silva, Júlio Cesar G. da; Brito, Ricardo D.

doi:10.1590/S0101-41612005000100002

Resumos

Este trabalho mostra que as companhias brasileiras distribuem uma proporção pequena dos lucros em dividendos apesar da legislação favorável. Os dividendos pagos são rapidamente ajustados ao lucro corrente, mas parte da variação de curto prazo nos lucros é absorvida por dívida. De acordo com a previsão comum dos modelos de trade-off e pecking order, as firmas mais lucrativas e menos endividadas distribuem uma maior proporção. Ainda de acordo com a pecking order, os dividendos não sofrem variações de curto prazo para acomodar os investimentos. Finalmente, as firmas mais lucrativas e que menos investem são as menos endividadas, favorecendo a pecking order contra trade-off.

dividendos; dívida; trade-off; pecking order; Brasil

This article shows that the Brazilian companies have a low target payout ratio, although the local tax code favors dividends' distributions. The dividends paid present fast adjustment to current earnings, but part of the short-term variation in earnings is still absorbed by debt. Confirming predictions shared by the trade-off and pecking order models, more profitable firms and less levered firms have higher dividend payouts. Consistent with the pecking order model, dividends do not vary in the short-term to accommodate investments. Finally, more profitable firms and firms with fewer investments are less levered, accepting the pecking order hypothesis against the trade-off one.

dividends; debt; trade-off; pecking order; Brazil

Testando as previsões de trade-off e pecking order sobre dividendos e dívida no Brasil

Júlio Cesar G. da Silva^I; Ricardo D. Brito^II

^IFaculdades Ibmec/RJ

^IIIbmec São Paulo

RESUMO

Este trabalho mostra que as companhias brasileiras distribuem uma proporção pequena dos lucros em dividendos apesar da legislação favorável. Os dividendos pagos são rapidamente ajustados ao lucro corrente, mas parte da variação de curto prazo nos lucros é absorvida por dívida. De acordo com a previsão comum dos modelos de trade-off e pecking order, as firmas mais lucrativas e menos endividadas distribuem uma maior proporção. Ainda de acordo com a pecking order, os dividendos não sofrem variações de curto prazo para acomodar os investimentos. Finalmente, as firmas mais lucrativas e que menos investem são as menos endividadas, favorecendo a pecking order contra trade-off.

Palavras-chave: dividendos, dívida, trade-off, pecking order, Brasil.

ABSTRACT

This article shows that the Brazilian companies have a low target payout ratio, although the local tax code favors dividends' distributions. The dividends paid present fast adjustment to current earnings, but part of the short-term variation in earnings is still absorbed by debt. Confirming predictions shared by the trade-off and pecking order models, more profitable firms and less levered firms have higher dividend payouts. Consistent with the pecking order model, dividends do not vary in the short-term to accommodate investments. Finally, more profitable firms and firms with fewer investments are less levered, accepting the pecking order hypothesis against the trade-off one.

Key words: dividends, debt, trade-off, pecking order, Brazil

JEL Classification

G32, G35

Texto completo disponível apenas em PDF.

Full text available only in PDF format.

(Recebido em outubro de 2003. Aceito para publicação em julho de 2004).

Agradecemos a Caio Ibsen Almeida (Faculdades Ibmec/RJ), Daniel Ferreira (Stockholm School of Economics), Mônica R. Lima (Faculdades Ibmec/RJ), Ricardo Rochman (EAESP/FGV) e demais participantes do 3o Encontro Brasileiro de Finanças pelos valiosos comentários e sugestões. As imprecisões remanescentes são de nossa responsabilidade. Endereçar correspondência a Ricardo D. Brito: ricardodob@ibmec.br.

ALLEN, F.; MICHAELY, R. Payout policy. In: CONSTANTINIDES, G.; HARRIS, M.; STULZ, R., Handbook of the economics of finance: corporate finance. North-Holland, 2003.
AUERBACH, A. J. Real determinants of corporate leverage. In: FRIEDMAN, B., Corporate capital structures in the United States. Chicago: University of Chicago Press, 1985.
BRITO, R.; LIMA, M. A escolha da estrutura de capital sob fraca garantia legal: o caso do Brasil. Revista Brasileira de Economia, v. 59, p. a definir, 2005.
COCHRANE, J. Asset pricing. Princeton: Princeton University Press, 2001.
DE ANGELO, H.; MASULIS, R. Optimal capital structure under corporate and personal taxation. Journal of Financial Economics, v. 8, p. 3-29, 1980.
EASTERBROOK, F. Two agency-cost explanations of dividends. American Economic Review, v. 74, p. 650-659, 1984.
FAMA, E.; FRENCH, K. Disappearing dividends: changing firm characteristics or lower propensity to pay? Journal of Financial Economics, v. 60, p. 3-43, 2001.
_______. Testing trade-off and pecking order predictions about dividends and debt. The Review of Financial Studies, v. 15, n. 1, p. 1-33, 2002.
FAMA, E.; MACBETH, J. Risk, return and equilibrium: empirical tests. Journal of Political Economy, v. 81, p. 607-636, 1973.
FIGUEIREDO, A. C. O conteúdo informativo de dividendos: evidęncias no Brasil. Anais do 2ş Encontro Brasileiro de Finanças, 2002.
GOMES, G.; LEAL, R. Determinantes da estrutura de capitais das empresas brasileiras com açőes negociadas em bolsas de valores. In: LEAL, R.; COSTA JR., N.; LEMGRUBER, E. Finanças corporativas. Săo Paulo: Atlas, 2001.
GRAHAM, J.; HARVEY, C. The theory and practice of corporate finance: evidence from the field. Journal of Financial Economics, forthcoming, 2000.
HARRIS, M.; RAVIV, A. The theory of capital structure. The Journal of Finance, v. 46, n. 1, p. 297-355, 1991.
JALILVAND, A.; HARRIS, R. S. Corporate behavior in ajusting to capital structure and dividend targets: an econometric study. Journal of Finance, v. 39, p. 127-145, 1984.
JENSEN, M. Agency costs of free-cash-flow, corporate finance, and takeovers. American Economic Review, v. 76, p. 323-329, 1986.
JENSEN, M.; MECKLING, W. Theory of the firm: managerial behavior, agency costs and ownership structure. Journal of Financial Economics, v. 3, p. 305-360, 1976.
LA PORTA, R.; LOPEZ-DE-SILANES, F.; SHLEIFER, A.; VISHNY, R. Agency problems and dividends around the world. The Journal of Finance, v. 55, n. 1, p. 1-33, 2000.
LINTNER, J. The distribution of incomes of corporations among dividends, retained earnings, and taxes. American Review, v. 46, p. 97-113, 1956.
MILLER, M. Debt and taxes. Journal of Finance, v. 32, p. 261-75, 1977.
MILLER, M.; SCHOLES, M. Dividends and taxes. Journal of Financial Economics, v. 6, p. 333-364, 1978.
MILLER, M.; MODIGLIANI, F. Dividend policy, growth and the valuation of shares. Journal of Business, v. 53, p. 433-443, 1963.
_______. Corporate income taxes and the cost of capital: a correction. American Economic Review, v. 34, p. 411-33, 1961.
MODIGLIANI, F.; MILLER, M. E. The cost of capital, corporation finance and theory of investment. American Economic Review, v. 48, p. 261-297, 1958.
MYERS, S. The capital structure puzzle. Journal of Finance, v. 39, p. 575-592, 1984
MYERS, S.; MAJLUF, N. Corporate financing and investment decisions when firms have information that investors do not have. Journal of Financial Economics, v. 13, p. 187-221, 1984.
PEROBELLI, F.; FAMÁ, R. Determinantes da estrutura de capital: aplicaçăo a empresas de capital aberto brasileiras. Revista de Administraçăo da Universidade de Săo Paulo, v. 37, jul-set. 2001.
PROCIANOY , J.; VERDI, R. O efeito clientela no mercado brasileiro. Anais do 2ş Encontro Brasileiro de Finanças, 2002.
RAJAN, R.; ZINGALES, L. What do we know about capital structure? Some evidence from international data. Journal of Finance, v. 50, p. 1421-1460, 1995.
SAITO, R.; LUCINDA, C. Determinantes do endividamento das empresas brasileiras volume e composiçăo. 2002. Mimeografado.
SHYAM-SUNDER, L.; MYERS, S. Testing static tradeoff against pecking order models of capital structure. Journal of Financial Economics, v. 51, p. 219-244, 1999.
TITMAN, S.; WESSELS, R. The determinants of capital structure choice. Journal of Finance, v. 43, p. 1-19, 1988.
TOBIN, J. A general equilibrium approach to monetary theory. Journal of Money, Credit and Banking, v. 1, p. 15-29, 1969.

Datas de Publicação

Publicação nesta coleção
15 Set 2009
Data do Fascículo
Mar 2005

Histórico

Recebido
Out 2003
Aceito
Jul 2004

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

[1] ALLEN, F.; MICHAELY, R. Payout policy. In: CONSTANTINIDES, G.; HARRIS, M.; STULZ, R., Handbook of the economics of finance: corporate finance. North-Holland, 2003.

[2] AUERBACH, A. J. Real determinants of corporate leverage. In: FRIEDMAN, B., Corporate capital structures in the United States. Chicago: University of Chicago Press, 1985.

[3] BRITO, R.; LIMA, M. A escolha da estrutura de capital sob fraca garantia legal: o caso do Brasil. Revista Brasileira de Economia, v. 59, p. a definir, 2005.

[4] COCHRANE, J. Asset pricing. Princeton: Princeton University Press, 2001.

[5] DE ANGELO, H.; MASULIS, R. Optimal capital structure under corporate and personal taxation. Journal of Financial Economics, v. 8, p. 3-29, 1980.

[6] EASTERBROOK, F. Two agency-cost explanations of dividends. American Economic Review, v. 74, p. 650-659, 1984.

[7] FAMA, E.; FRENCH, K. Disappearing dividends: changing firm characteristics or lower propensity to pay? Journal of Financial Economics, v. 60, p. 3-43, 2001.

[8] _______. Testing trade-off and pecking order predictions about dividends and debt. The Review of Financial Studies, v. 15, n. 1, p. 1-33, 2002.

[9] FAMA, E.; MACBETH, J. Risk, return and equilibrium: empirical tests. Journal of Political Economy, v. 81, p. 607-636, 1973.

[10] FIGUEIREDO, A. C. O conteúdo informativo de dividendos: evidęncias no Brasil. Anais do 2ş Encontro Brasileiro de Finanças, 2002.

[11] GOMES, G.; LEAL, R. Determinantes da estrutura de capitais das empresas brasileiras com açőes negociadas em bolsas de valores. In: LEAL, R.; COSTA JR., N.; LEMGRUBER, E. Finanças corporativas. Săo Paulo: Atlas, 2001.

[12] GRAHAM, J.; HARVEY, C. The theory and practice of corporate finance: evidence from the field. Journal of Financial Economics, forthcoming, 2000.

[13] HARRIS, M.; RAVIV, A. The theory of capital structure. The Journal of Finance, v. 46, n. 1, p. 297-355, 1991.

[14] JALILVAND, A.; HARRIS, R. S. Corporate behavior in ajusting to capital structure and dividend targets: an econometric study. Journal of Finance, v. 39, p. 127-145, 1984.

[15] JENSEN, M. Agency costs of free-cash-flow, corporate finance, and takeovers. American Economic Review, v. 76, p. 323-329, 1986.

[16] JENSEN, M.; MECKLING, W. Theory of the firm: managerial behavior, agency costs and ownership structure. Journal of Financial Economics, v. 3, p. 305-360, 1976.

[17] LA PORTA, R.; LOPEZ-DE-SILANES, F.; SHLEIFER, A.; VISHNY, R. Agency problems and dividends around the world. The Journal of Finance, v. 55, n. 1, p. 1-33, 2000.

[18] LINTNER, J. The distribution of incomes of corporations among dividends, retained earnings, and taxes. American Review, v. 46, p. 97-113, 1956.

[19] MILLER, M. Debt and taxes. Journal of Finance, v. 32, p. 261-75, 1977.

[20] MILLER, M.; SCHOLES, M. Dividends and taxes. Journal of Financial Economics, v. 6, p. 333-364, 1978.

[21] MILLER, M.; MODIGLIANI, F. Dividend policy, growth and the valuation of shares. Journal of Business, v. 53, p. 433-443, 1963.

[22] _______. Corporate income taxes and the cost of capital: a correction. American Economic Review, v. 34, p. 411-33, 1961.

[23] MODIGLIANI, F.; MILLER, M. E. The cost of capital, corporation finance and theory of investment. American Economic Review, v. 48, p. 261-297, 1958.

[24] MYERS, S. The capital structure puzzle. Journal of Finance, v. 39, p. 575-592, 1984

[25] MYERS, S.; MAJLUF, N. Corporate financing and investment decisions when firms have information that investors do not have. Journal of Financial Economics, v. 13, p. 187-221, 1984.

[26] PEROBELLI, F.; FAMÁ, R. Determinantes da estrutura de capital: aplicaçăo a empresas de capital aberto brasileiras. Revista de Administraçăo da Universidade de Săo Paulo, v. 37, jul-set. 2001.

[27] PROCIANOY , J.; VERDI, R. O efeito clientela no mercado brasileiro. Anais do 2ş Encontro Brasileiro de Finanças, 2002.

[28] RAJAN, R.; ZINGALES, L. What do we know about capital structure? Some evidence from international data. Journal of Finance, v. 50, p. 1421-1460, 1995.

[29] SAITO, R.; LUCINDA, C. Determinantes do endividamento das empresas brasileiras volume e composiçăo. 2002. Mimeografado.

[30] SHYAM-SUNDER, L.; MYERS, S. Testing static tradeoff against pecking order models of capital structure. Journal of Financial Economics, v. 51, p. 219-244, 1999.

[31] TITMAN, S.; WESSELS, R. The determinants of capital structure choice. Journal of Finance, v. 43, p. 1-19, 1988.

[32] TOBIN, J. A general equilibrium approach to monetary theory. Journal of Money, Credit and Banking, v. 1, p. 15-29, 1969.