Listagem em bolsa induz sofisticação do orçamento 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

Listagem em bolsa induz sofisticação do orçamento de capital

Autoria SCIMAGO INSTITUTIONS RANKINGS

Este artigo compara técnicas de orçamento de capital empregadas nas empresas listadas e não-listadas no Brasil. Emprega-se um survey dirigido aos Chief Financial Officers (CFOs) de 398 empresas listadas e 300 grandes empresas não-listadas e, com base em 91 respondentes, os resultados sugerem que os CFOs das empresas listadas tendem a usar mais intensamente métodos menos simplistas, e.g. VPL e CAPM, e que CFOs de empresas não-listadas menos provavelmente estimam o custo de capital próprio, mesmo se tratando de empresas de grande porte. Esses achados indicam que a listagem em bolsa pode requerer maior sofisticação do processo de orçamento de capital.

Orçamento de Capital; survey em finanças; decisões financeiras; finanças corporativas; inovação financeira

	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

Fundação Getulio Vargas, Escola de Administração de Empresas de S.Paulo Avenida Nove de Julho, 2.029, Bela Vista, CEP: 01313-902, Telefone: +55 (11) 3799-7718 - São Paulo - SP - Brazil
E-mail: rae@fgv.br

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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.