Value added by intellectual capital: a study from the brazilian B3´s ISE portfolio – Corporate Sustainability Index

Rezende, José Francisco de Carvalho; Silva, Mônica Pereira da

doi:10.1590/1806-9649-2020v28e5124

José Francisco de Carvalho Rezende

Universidade Federal do Rio de Janeiro – UFRJ, Faculdade de Administração e Ciências Contábeis – FACC, Rio de Janeiro, RJ, Brasil. E-mail: rezende.jf@gmail.com

http://orcid.org/0000-0001-9397-205X

Mônica Pereira da Silva

Instituto Federal de São Paulo – IFSP, São Paulo, SP, Brasil. E-mail: monicapsilva8@hotmail.com

http://orcid.org/0000-0002-3954-3323

Figures (3)
Tables (13)

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Figure 1
VAIC™ framework. Source: The authors, based on Nazari & Herremans (2007)Nazari, J. A., & Herremans, I. M. (2007). Extended VAIC model: measuring intellectual capital components. Journal of Intellectual Capital, 8(4), 595-609. http://dx.doi.org/10.1108/14691930710830774.
http://dx.doi.org/10.1108/14691930710830... .

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Figure 2
ICE versus MTBV scattered plotting. Source: The authors.

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Figure 3
Interpolation between VAIC™ and MTBV. Source: The authors.

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Chart 1
Rationale of the variables applied to the VAIC^™ Model.

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Chart 2
– Reasoning and Hypothesis Unfolding.

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Table 1
Descriptive Statistics for the ISE Portfolio.

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Table 2
Descriptive Statistics for the Adjusted ISE Portfolio.

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Table 3
Interdependence Relationship Testing of Value Creation Drivers.

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Table 4
Interdependence Relationship Testing of Value Drivers Efficiency.

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Table 5
Distribution of the Dimensions of Value Creation in Hierarchical Clusters.

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Table 6
Canonical Discriminant Functions.

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Table 7
Matrix of Structure and Weighting.

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Table 8
Comparison between clustering and forecasting.

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Table 9
Standardized efficiency coefficients of Value Creation in the hierarchical clusters.

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Industry Organization Code Invested Financial Capital Market Value Added Value Human Capital Structural Capital FCE HCE SCE ICE VAIC™ MTBV Cluster 1 Electric Energy Copel CPLE6 14,584,478 5,446,068 14,456,447 1,337,474 13,118,973 0.991 10.809 0.907 11.716 12.707 0.373 1 2 Banking Banco Brasil (*) BBAS3 86,229,994 41,162,229 38,413,622 21,329,593 17,084,029 0.445 1.801 0.445 2.246 2.691 0.477 NA 3 Aeronautical Embraer EMBR3 15,008,670 22,248,551 5,527,827 3,342,390 2,185,437 0.368 1.654 0.395 2.049 2.418 1.482 2 4 Health Fleury FLRY3 1,655,439 2,500,694 1,226,816 571,733 655,083 0.741 2.146 0.534 2.680 3.421 1.511 2 5 Banking Santander BR SANB11 79,835,284 57,209,381 14,883,671 6,829,965 8,053,706 0.186 2.179 0.541 2.720 2.907 0.717 NA 6 Banking Bradesco (*) BBDC3 90,914,762 100,043,545 29,340,796 12,244,544 17,096,252 0.323 2.396 0.583 2.979 3.302 1.100 NA 7 Banking ItauUnibanco (*) ITUB3 114,059,000 150,488,035 44,532,000 17,609,000 26,923,000 0.390 2.529 0.605 3.134 3.524 1.319 NA 8 Building Supplies Duratex DTEX3 4,616,476 3,912,166 1,802,228 686,654 1,115,574 0.390 2.625 0.619 3.244 3.634 0.847 2 9 Building Even EVEN3 2,466,162 885,499 488,515 177,094 311,421 0.198 2.759 0.637 3.396 3.594 0.359 2 10 Industrial Goods Weg WEGE3 6,156,060 24,112,073 5,707,748 2,050,734 3,657,014 0.927 2.783 0.641 3.424 4.351 3.917 2 11 Commerce B2W Digital BTOW3 2,706,133 3,918,959 1,658,001 571,158 1,086,843 0.613 2.903 0.656 3.558 4.171 1.448 2 12 Electric Energy Eletrobras ELET3 41,739,222 9,034,105 19,951,059 6,004,845 13,946,214 0.478 3.322 0.699 4.022 4.500 0.216 2 13 Meat & Food BRF Brasil Foods BRFS3 13,835,853 44,307,621 16,286,114 4,768,435 11,517,679 1.177 3.415 0.707 4.123 5.300 3.202 2 14 Highways Ecorodovias ECOR3 1,638,454 2,832,412 1,872,675 440,249 1,432,426 1.143 4.254 0.765 5.019 6.162 1.729 2 15 Paper & Cellulose Klabin S/A KLBN11 5,352,340 25,968,329 4,039,356 927,354 3,112,002 0.755 4.356 0.770 5.126 5.881 4.852 2 16 Assurance Sul America SULA11 4,430,871 6,219,408 2,607,368 584,317 2,023,051 0.588 4.462 0.776 5.238 5.827 1.404 2 17 Commerce Lojas Americanas LAME3 2,943,605 19,732,679 5,283,238 1,145,637 4,137,601 1.795 4.612 0.783 5.395 7.190 6.704 2 18 Commerce Lojas Renner LREN3 2,310,896 10,938,716 3,766,752 804,253 2,962,499 1.630 4.684 0.786 5.470 7.100 4.734 2 19 Personnel Products Natura (*) NATU3 1,077,767 10,107,371 6,272,471 1,244,978 5,027,493 5.820 5.038 0.802 5.840 11.660 9.378 3 20 Electric Energy Cesp (**) CESP6 7,310,892 4,036,226 1,163,920 168,146 995,774 0.159 6.922 0.856 7.778 7.937 0.552 1 21 Petrochemicals Braskem (*) BRKM5 1,337,711 16,690,447 10,496,192 1,209,732 9,286,460 7.846 8.676 0.885 9.561 17.408 12.477 3 22 Telecom Telefônica Brasil VIVT4 68,567,242 59,065,822 31,167,140 3,561,671 27,605,469 0.455 8.751 0.886 9.636 10.091 0.861 1 23 Highways CCR AS CCR03 3,904,312 22,158,119 6,117,780 688,031 5,429,749 1.567 8.892 0.888 9.779 11.346 5.675 1 24 Paper & Cellulose Fibria FIBR3 12,815,320 28,707,990 7,661,841 727,641 6,934,200 0.598 10.530 0.905 11.435 12.033 2.240 1 25 Electric Energy Cemig (*) CMIG4 12,999,113 7,643,700 18,187,991 1,595,391 16,592,600 1.399 11.400 0.912 12.313 13.712 0.588 1 26 Electric Energy Eletropaulo (*) (**) ELPL4 2,839,145 1,512,258 11,978,826 987,742 10,991,084 4.219 12.127 0.918 13.045 17.264 0.533 3 27 Banking Itausa (***) ITSA4 44,847,000 46,861,260 11,140,000 813,000 10,327,000 0.248 13.702 0.927 14.629 14.878 1.045 NA 28 Electric Energy Engie Brasil EGIE3 6,642,136 21,860,336 4,121,326 292,274 3,829,052 0.620 14.101 0.929 15.030 15.650 3.291 1 29 Financial Services Cielo CIEL3 10,163,967 63,210,697 8,549,113 604,804 7,944,309 0.841 14.135 0.929 15.065 15.906 6.219 1 30 Telecom Tim Part S/A TIMP3 16,933,044 16,602,823 14,265,135 850,362 13,414,773 0.842 16.775 0.940 17.716 18.558 0.980 1 31 Electric Energy CPFL Energia (*) CPFE3 10,130,138 15,073,956 17,366,310 905,103 16,461,207 1.714 19.187 0.948 20.135 21.849 1.488 1 32 Electric Energy AES Tiete TIET11 2,018,466 5,512,920 1,528,934 71,335 1,457,599 0.757 21.433 0.953 22.386 23.144 2.731 1 33 Electric Energy Energias BR ENBR3 7,488,447 5,725,911 9,005,639 363,659 8,641,980 1.203 24.764 0.960 25.724 26.926 0.765 1 34 Electric Energy Light S/A LIGT3 3,669,622 2,018,947 9,331,741 371,449 8,960,292 2.543 25.123 0.960 26.083 28.626 0.550 1 *

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Statistics C Average Median Standard Deviation Minimum Maximum Data (R$ K) Market Value (MV) 1 19,774,117 15,073,956 20,142,563 2,018,947 63,210,697 2 13,585,478 9,034,105 12,876,385 885,499 44,307,621 3 9,436,692 10,107,371 7,611,289 1,512,258 16,690,447 Value Added (VA) 1 10,994,101 9,005,639 8,180,418 1,163,920 31,167,140 2 5,401,361 3,766,752 5,941,449 488,515 19,951,059 3 9,582,496 10,496,192 2,960,870 6,272,471 11,978,826 Invested Financial Capital (FC) 1 13,632,860 10,130,138 17,103,488 2,018,466 68,567,242 2 8,066,168 4,430,871 11,005,143 1,638,454 41,739,222 3 1,751,541 1,337,711 950,818 1,077,767 2,839,145 Human Capital (HC) 1 887,488 688,031 916,530 71,335 3,561,671 2 1,698,066 804,253 1,852,907 177,094 6,004,845 3 1,147,484 1,209,732 139,459 987,742 1,244,978 Structural Capital (SC) 1 10,106,614 8,641,980 7,336,948 995,774 27,605,469 2 3,703,296 2,185,437 4,200,135 311,421 13,946,214 3 8,435,012 9,286,460 3,071,616 5,027,493 10,991,084 Variables (Ratios) Invested Financial Capital Efficiency (FCE) 1 1.05 0.84 0.63 0.16 2.54 2 0.83 0.74 0.49 0.20 1.79 3 5.96 5.82 1.82 4.22 7.85 Human Capital Efficiency (HCE) 1 14.83 14.10 6.15 6.92 25.12 2 3.38 3.32 1.01 1.65 4.68 3 8.61 8.68 3.55 5.04 12.13 Structural Capital Efficiency (SCE) 1 0.92 0.93 0.03 0.86 0.96 2 0.67 0.70 0.11 0.40 0.79 3 0.87 0.88 0.06 0.80 0.92 Intellectual Capital Efficiency (ICE) 1 15.75 15.03 6.18 7.78 26.08 2 4.06 4.02 1.12 2.05 5.47 3 9.48 9.56 3.60 5.84 13.05 VAIC™ 1 16.81 15.65 6.56 7.94 28.63 2 4.89 4.50 1.48 2.42 7.19 3 15.44 17.26 3.28 11.66 17.41 MTBV 1 2.75 2.14 1.97 0.37 6.22 2 4.38 3.69 2.00 0.22 6.70 3 1.32 1.80 6.20 0.53 12.48 Source: The authors. Sample n = 29; C1, n = 13; C2, n = 13; C3, n = 3.

Accounting data
Value Added (VA)	Represents the current wealth generated. Excerpted from the Value Added Statement (VAS). Account caption: Total Value Added to Distribute.
Invested Financial Capital (FC)	Represents the carrying amount of the firm's net assets. Account caption: Shareholders' Equity.
Human Capital (HC)	Represents the amount of human resources expenditures (wages, benefits, charges, training). Excerpted from VAS. Account caption: Distribution of Value Added / Total Salaries.
Structural Capital (SC)	Represents the amount added to Human Capital to make up the current wealth generated, that is, the difference between Value Added and Human Capital: SC = VA – HC
Structural Capital (SC)	[1]
Efficiency Coefficients
Financial Capital Efficiency (FCE)	Ratio between Value Added and Invested Financial Capital:
	FCE = VA / FC
	[2]
Human Capital Efficiency (HCE)	Ratio between Value Added and Human Capital: HCE = VA / HC
Human Capital Efficiency (HCE)	[3]
Structural Capital Efficiency (SCE)	Ratio between Structural Capital and Value Added, determined in the formulation of Pulic (2000)Pulic, A. (2000). VAIC™ – an accounting tool for IC management. International Journal of Technology Management, 20(5-8), 702-714. http://dx.doi.org/10.1504/IJTM.2000.002891. http://dx.doi.org/10.1504/IJTM.2000.0028... where Human Capital and Structural Capital are items of proportionally inverse quantities in the formation of Added Value: SCE = SC / VA
Structural Capital Efficiency (SCE)	[4]
Intellectual Capital Efficiency (ICE)	Sum of the “efficiency” plots in the Value Creation: (2) + (3):
	ICE = HCE + SCE
	[5]
Value Creation Efficiency	Sum of the “efficiency” plots in Value Creation (2) + (3) + (4):
(VCE or VAIC^™)	VCE or VAIC^™ = FCE + HCE + SCE
	[6]
Market Metrics
Market Value (MV)	Number of shares multiplied by the respective price on the stock exchange environment in each category of share issued by the public company
Market to Book Value (MTBV)	Ratio between the price attributed by the market to the stock traded on the stock exchange and that of accounting for the same fraction of the firm's capital: MTBV = MV / FC
Market to Book Value (MTBV)	[7]

Hypothesis	Test	Unfolding	Expected
H_0,1: There is no currency based interdependence among the driving dimensions that portray the Value Creation in the companies of the ISE Portfolio under the Intellectual Capital perspective.	Spearman Correlation	(i) H_01,a: FC and HC; (ii) H_01,b: FC and SC; (iii) H_01,c: FC and MV; (iv) H_01,d: HC and SC; (v) H_01,e: HC e MV; and (vi) H_01,f: SC and MV	Significant positive correlations
H_0,2: There is no ratio based interdependence among the achievement of efficiency standard in a theoretical dimension of Value Creation and the efficiency generated in the other dimensions.	Spearman Correlation	(i) H_02,a: FCE and HCE; (ii) H_02,b: FCE and SCE; (iii) H_02,c: FCE and VAIC™; (iv) H_02,d: FCE and MTBV; (v) H_02,e: HCE and SCE; (vi) H_02,f: HCE and VAIC™; (vii) H_02,g: HCE and MTBV; (viii) H_02,h: SCE and VAIC™; (ix) H_02,i: SCE and MTBV; and (x) H_02,j: VAIC™ and MTBV	Significant positive correlations
H_0,3: There are no clusters of companies capable of characterizing the similarities and dissimilarities of the companies of the ISE Portfolio when simultaneously taking into account the dimensions driving Value Creation from the point of view of Intellectual Capital.	ANOVA, MANOVA		At least three significant different categories
H_0,4: There are no canonical classification functions capable of predicting the categorization of companies of the ISE Portfolio when simultaneously taking into account the dimensions driving Value Creation from the point of view of Intellectual Capital.	χ², Predicting %		At least two significant different predicting functions achieving 85% of the cases
H_0,5: There are no driving dimensions that can be considered more determinant in the Value Creation in the hierarchical clusters of companies when observed in the ISE Portfolio	Wilcoxon Z Test, Kruskal-Wallis H Test	H_05,a: FCE distributions; (ii) H_05,b: HCE distributions; (iii) H_05,c: SCE distributions; (iv) H_05,d: ICE distributions; (v) H_05,e: VAIC™ distributions; and (vi) H_05,f: MTBV distributions	Significant not symmetrical in the three clusters. Significant not symmetrical among the three clusters.

	Statistics
	Minimum	Maximum	Average	Standard Deviation	Asymmetry	Kurtosis
Data
Market Value	885,499	150,488,035	25,227,919	31,576,367	2.45	7.14
Value Added	488,515	44,532,000	11,182,312	10,848,744	1.60	2.35
Invested Financial Capital	1,077,767	114,059,000	20,683,177	30,544,132	1.90	2.50
Human Capital	71,335	21,329,593	2,820,022	4,907,858	2.80	7.61
Structural Capital [1]	311,421	27,605,469	8,362,290	7,175,486	1.09	0.90
Variables
Financial Capital Efficiency [2]	0.16	7.85	1.29	1.63	2.88	8.74
Human Capital Efficiency [3]	1.65	25.12	8.39	6.82	1.11	0.35
Structural Capital Efficiency [4]	0.40	0.96	0.78	0.16	-0.72	-0.52
Intellectual Capital Efficiency [5]	2.05	26.08	9.17	6.95	1.08	0.27
VAIC^™ [6]	2.42	28.63	10.46	7.39	0.90	-0.06
MTBV [7]	0.14	10.18	3.59	2.52	0.68	0.14

	Statistics
	Minimum	Maximum	Average	Standard Deviation	Asymmetry	Kurtosis
Data
Market Value	885,499	63,210,697	15,930,510	16,217,500	1.70	2.70
Value Added	488,515	31,167,140	8,340,983	7,202,786	1.36	2.10
Invested Financial Capital	1,077,767	68,567,242	9,908,344	13,873,885	3.29	12.08
Human Capital	71,335	6,004,845	1,277,746	1,409,735	2.19	4.53
Structural Capital [1]	311,421	27,605,469	7,063,236	6,406,876	1.35	2.21
Variables
Financial Capital Efficiency [2]	0.16	7.85	1.46	1.71	2.68	7.37
Human Capital Efficiency [3]	1.65	25.12	9.06	6.93	1.05	0.16
Structural Capital Efficiency [4]	0.40	0.96	0.81	0.14	- 1.06	0.76
Intellectual Capital Efficiency [5]	2.05	26.08	9.86	7.04	1.02	0.10
VAIC^™ [6]	2.42	28.63	11.32	7.42	0.82	- 0.21
MTBV [7]	0.22	12.48	2.80	2.96	1.77	3.21

		Invested Financial Capital	Human Capital	Structural Capital
Human Capital	ρ Spearman	0.45
Human Capital	Significance	0.14
Structural Capital	ρ Spearman	0.58	0.62
Structural Capital	Significance	0.00	0.00
Market Value	ρ Spearman	0.48	0.50	0.39
Market Value	Significance	0.01	0.01	0.04

		Financial Capital Efficiency	Human Capital Efficiency	Structural Capital Efficiency	VAIC^™
Human Capital Efficiency	ρ Spearman	0.45
Human Capital Efficiency	Significance	0.01
Structural Capital Efficiency	ρ Spearman	0.45	1.00
Structural Capital Efficiency	Significance	0.01	0.00
VAIC^™	ρ Spearman	0.56	0.97	0.97
VAIC^™	Significance	0.00	0.00	0.00
MTBV	ρ Spearman	-0.38	-0.38	-0.38	-0.43
MTBV	Significance	0.04	0.83	0.83	0.86

Dimension	ANOVA		MANOVA
Dimension	Critical (F)	Significance	Test	Critical (F)	Significance
Financial Capital Efficiency	62.12	0.00	Pillai’s	31.56	0.00
Human Capital Efficiency	22.60	0.00	Wilks	31.73	0.00
Structural Capital Efficiency	29.99	0.00

	Eigenvalue	% Explained Variance	Canonical Correlation	Lambda Wilks	χ²	GL	Sig.
FCE	5.53	66.60	0.92	0.04	80.14	6	0.00
ICE	2.78	33.40	0.86	0.27	33.23	2	0.00

Macroconstruct – Factor	Correlations		Coefficients
Macroconstruct – Factor	F 1	F 2	F 1	F 2
Financial Capital Efficiency (FCE)	0.87	0.47	1.05	0.15
Human Capital Efficiency (HCE)	- 0.18	0.75	- 0.40	0.41
Structural Capital Efficiency (SCE)	- 0.08	0.91	- 0.22	0.69

		Cluster	Participation forecasted in cluster			Total
		Cluster	1	2	3	Total
Original	Counting	C1	13	0	0	13
		C2	0	13	0	13
		C3	0	0	3	3
	Percentage	C1	100.00	0,00	0.00	100.00
		C2	0.00	100.00	0.00	100.00
		C3	0.00	0,00	100.00	100.00
Cross Validation	Counting	C1	13	0	0	13
		C2	0	13	0	13
		C3	0	1	2	3
	Percentage	C1	100.00	0.00	0.00	100.00
		C2	0.00	100.00	0.00	100.00
		C3	0.00	33.30	66.70	100.00

HC	Statistics ^a	Financial Capital Efficiency	Human Capital Efficiency	Structural Capital Efficiency	Intellectual Capital Efficiency	VAIC^™	MTBV
C1	X	- 0.24	0.83	0.80	0.84	0.74	- 0.23
	S	0.37	0.89	0.22	0.88	0.88	0.94
	N	13	13	13	13	13	13
	HCE ^b	0.00
	SCE ^b	0.00	0.97
	ICE ^b	0.00	0.35	0.97
	VAIC^{™ b}	0.00	0.00	0.60	0.00
	MTBV ^b	0.86	0.01	0.00	0.01	0.02
C2	X	- 0.37	- 0.82	- 0.90	- 0.82	- 0.87	0.41
	S	0.28	0.15	0.79	0.16	0.20	1.01
	N	13	13	13	13	13	13
	HCE ^b	0.00
	SCE ^b	0.01	0.86
	ICE ^b	0.00	0.20	0.86
	VAIC^{™ b}	0.00	0.04	0.65	0.03
	MTBV ^b	0.10	0.00	0.01	0.00	0.00
C3	X	2.62	- 0.06	0.44	- 0.05	0.56	- 0.79
	S	1.06	0.51	0.41	0.51	0.44	0.40
	N	3	3	3	3	3	3
	HCE ^b	0.11
	SCE ^b	0.11	0.11
	ICE ^b	0.11	0.11	0.11
	VAIC^{™ b}	0.11	0.11	0.11	0.11
	MTBV ^b	0.11	0.29	0.29	0.29	0.29
Sample	X	0.00	0.00	0.00	0.00	0.00	0.00
	S	1.00	1.00	1.00	1.00	1.00	1.00
	N	29	29	29	29	29	29
	HCE ^b	0.86
	SCE ^b	0.58	0.51
	ICE ^b	0.85	0.58	0.52
	VAIC^{™ b}	0.89	0.03	0.57	0.03
	MTBV ^b	0.89	0.92	0.80	0.92	0.80
1 – 2 ^c		0.29	0.00	0.00	0.00	0.49	0.24
1 – 3 ^c		0.01	*0.09*	*0.09*	0.00	0.95	0.31
2 – 3 ^c		0.01	0.01	0.01	0.01	0.94	0.25

[1] Source: The authors, variables and equations based on Pulic (2000)Pulic, A. (2000). VAIC™ – an accounting tool for IC management. International Journal of Technology Management, 20(5-8), 702-714. http://dx.doi.org/10.1504/IJTM.2000.002891.
http://dx.doi.org/10.1504/IJTM.2000.0028... VAIC^TM framework.

Brasil

Brasil

Value added by intellectual capital: a study from the brazilian B3´s ISE portfolio – Corporate Sustainability Index

Valor adicionado pelo capital intelectual: um estudo do portfólio ISE da B3 - Índice de Sustentabilidade Corporativa de empresas brasileiras

Abstract: