Spread de crédito no mercado de debêntures no Brasil de 2010 a 2020
Data
2021-03-01
Autores
Lauande, Michelle Nasser Vaz 
Orientadores
Oliveira Filho, Bolívar Godinho de
Tipo
Trabalho de conclusão de curso
Título da Revista
ISSN da Revista
Título de Volume
Resumo
O objetivo do trabalho foi analisar a influência dos fatores rating, volume, prazo, câmbio e EMBI (Emerging Markets Bond Index) na precificação de debêntures através de modelos de determinação de spread nas emissões desses ativos na última década no Brasil. A base de dados é composta de 340 emissões de debêntures precificadas a CDI mais spread registradas entre janeiro de 2010 e dezembro de 2020, em mercado primário público. Foram feitas regressões múltiplas lineares com base nas premissas do método dos mínimos quadrados para testar a relevância e grau de influência dos fatores estudados na determinação do spread. Corroborando as hipóteses levantadas em estudos anteriores, foram encontradas evidências de que o rating afetou direta e de maneira significante os spreads analisados e, além disso, testando um fator pouco utilizado em estudos brasileiros, o câmbio foi usado como um indicador econômico ligado diretamente à estabilidade financeira do país e se mostrou bastante significativo na precificação das debêntures da amostra. Os demais fatores, apesar de atestarem as correlações esperadas com os spreads no levantamento de hipóteses, não se mostraram estatisticamente relevantes.
The main objective of this study was to analyze the influence of rating, size, maturity, exchange rate and EMBI (Emerging Markets Bond Index) as factors in the pricing of corporate bonds through statistic models to determinate the spread of bonds interest rates in the last decade in Brazil. Data from 340 issued Brazilian bonds priced at CDI plus spread were collected from January 2010 through December 2020, in the public primary market. Multiple linear regressions were made based on the premises of the least squares method to test the relevance and degree of influence of the factors studied in determining the spread. Corroborating the assumptions raised in previous studies, evidence was found that the rating directly and significantly affected the spreads analyzed and, in addition, testing a factor rarely used in Brazilian studies, the exchange rate was used as an economic indicator directly linked to financial stability situation and proved to be very significant in the pricing of corporate bons in the sample. The other factors, despite attesting the expected correlations with the spreads in the hypothesis survey, were not statistically relevant.
The main objective of this study was to analyze the influence of rating, size, maturity, exchange rate and EMBI (Emerging Markets Bond Index) as factors in the pricing of corporate bonds through statistic models to determinate the spread of bonds interest rates in the last decade in Brazil. Data from 340 issued Brazilian bonds priced at CDI plus spread were collected from January 2010 through December 2020, in the public primary market. Multiple linear regressions were made based on the premises of the least squares method to test the relevance and degree of influence of the factors studied in determining the spread. Corroborating the assumptions raised in previous studies, evidence was found that the rating directly and significantly affected the spreads analyzed and, in addition, testing a factor rarely used in Brazilian studies, the exchange rate was used as an economic indicator directly linked to financial stability situation and proved to be very significant in the pricing of corporate bons in the sample. The other factors, despite attesting the expected correlations with the spreads in the hypothesis survey, were not statistically relevant.