Betas – A importância na definição do custo do capital próprio

0
549

No CAPM, o beta de um investimento é o risco que aquele investimento acrescenta á característica de mercado. No APM, e nos modelos multifatoriais, os betas do investimento relativo a cada fator precisam ser medidos. Existem três abordagens disponíveis para  a estimativa desses parâmetros. A primeira utiliza dados históricos dos preços de mercados, para cada um dos investimentos individuais. A segunda, é estimar os betas das características fundamentais do investimento; e a terceira, é usar dos dados da contabilidade de acordo com o desempenho da empresa em relação a um parâmetro de mercado previamente definido.

Apresentamos abaixo o estudo efetuado por Damondaran na análise de um banco de dados estatístico de empresas dos EUA.

Industry Name Number of Firms Average Beta Market D/E Ratio Tax Rate Unlevered Beta
Advertising 32 1,68 40,84% 16,02% 1,25
Aerospace/Defense 66 0,98 26,64% 20,08% 0,81
Air Transport 36 1,03 59,08% 21,35% 0,70
Apparel 54 1,36 13,77% 18,57% 1,23
Auto Parts 54 1,76 24,37% 18,77% 1,47
Automotive 12 1,73 103,42% 16,24% 0,93
Bank 416 0,77 128,23% 16,39% 0,37
Bank (Midwest) 68 0,89 49,85% 20,99% 0,64
Beverage 35 0,95 22,29% 18,82% 0,80
Biotechnology 214 1,23 15,92% 2,98% 1,07
Building Materials 43 1,57 65,24% 9,48% 0,99
Cable TV 20 1,40 66,11% 21,23% 0,92
Chemical (Basic) 18 1,37 24,73% 21,89% 1,15
Chemical (Diversified) 33 1,55 16,69% 19,75% 1,37
Chemical (Specialty) 70 1,18 20,53% 15,35% 1,00
Coal 20 1,47 68,38% 11,27% 0,91
Computer Software 191 0,98 6,55% 12,43% 0,92
Computers/Peripherals 81 1,37 9,70% 10,01% 1,26
Diversified Co. 113 1,22 78,69% 17,18% 0,74
Drug 223 1,08 14,79% 5,14% 0,94
E-Commerce 64 1,05 6,74% 10,52% 0,99
Educational Services 33 0,91 24,73% 21,72% 0,76
Electric Util. (Central) 20 0,57 85,00% 30,12% 0,36
Electric Utility (East) 17 0,43 67,90% 33,49% 0,29
Electric Utility (West) 15 0,58 81,37% 29,09% 0,37
Electrical Equipment 64 1,43 12,28% 16,15% 1,29
Electronics 123 1,22 22,46% 11,31% 1,01
Engineering & Const 30 1,28 13,23% 25,00% 1,17
Entertainment 76 1,60 33,87% 12,56% 1,24
Entertainment Tech 42 1,11 11,54% 11,01% 1,01
Environmental 84 0,66 43,07% 7,60% 0,48
Financial Svcs. (Div.) 256 1,34 204,42% 16,23% 0,49
Food Processing 119 0,87 23,50% 21,63% 0,74
Foreign Electronics 10 1,10 45,71% 23,12% 0,81
Funeral Services 6 1,12 49,48% 28,66% 0,83
Furn/Home Furnishings 32 1,63 22,06% 16,69% 1,37
Healthcare Information 20 0,97 11,62% 20,31% 0,88
Heavy Truck & Equip 23 1,80 47,30% 22,74% 1,32
Homebuilding 22 1,55 49,57% 7,12% 1,06
Hotel/Gaming 57 1,65 44,75% 17,52% 1,21
Household Products 27 0,98 18,11% 24,66% 0,86
Human Resources 25 1,38 10,80% 26,61% 1,28
Industrial Services 136 0,97 36,56% 20,19% 0,75
Information Services 28 1,25 28,46% 18,33% 1,01
Insurance (Life) 32 1,44 55,85% 21,09% 1,00
Insurance (Prop/Cas.) 62 0,85 21,48% 10,73% 0,71
Internet 194 1,17 2,29% 8,43% 1,15
Investment Companies 31 1,27 7,55% 2,26% 1,18
IT Services 63 1,05 5,72% 16,27% 1,00
Machinery 94 1,26 17,39% 22,73% 1,11
Maritime 51 1,51 181,21% 7,92% 0,57
Med Supp Invasive 87 0,87 16,48% 12,60% 0,76
Med Supp Non-Invasive 143 1,07 12,89% 10,61% 0,96
Medical Services 118 0,84 50,23% 17,72% 0,59
Metal Fabricating 25 1,63 23,59% 23,30% 1,38
Metals & Mining (Div.) 77 1,62 15,42% 11,24% 1,42
Natural Gas (Div.) 31 1,28 41,08% 22,02% 0,97
Natural Gas Utility 27 0,46 66,15% 28,80% 0,31
Newspaper 14 1,86 39,29% 18,35% 1,41
Office Equip/Supplies 22 1,43 72,14% 22,66% 0,91
Oil/Gas Distribution 12 1,02 53,39% 18,11% 0,71
Oilfield Svcs/Equip. 81 1,66 27,72% 18,20% 1,35
Packaging & Container 27 1,20 56,17% 23,09% 0,84
Paper/Forest Products 32 1,37 43,01% 11,43% 0,99
Petroleum (Integrated) 26 1,17 20,47% 30,34% 1,02
Petroleum (Producing) 176 1,45 28,12% 11,71% 1,16
Pharmacy Services 18 1,17 18,88% 23,18% 1,02
Pipeline MLPs 53 0,74 44,37% 4,30% 0,52
Power 101 1,35 163,45% 6,19% 0,53
Precious Metals 83 1,03 13,65% 11,13% 0,92
Precision Instrument 82 1,27 21,21% 14,13% 1,07
Property Management 31 1,30 112,58% 16,50% 0,67
Public/Private Equity 12 2,02 28,73% 19,17% 1,64
Publishing 29 1,17 36,14% 22,69% 0,92
R.E.I.T. 127 1,43 37,01% 0,04% 1,04
Railroad 12 1,32 23,46% 28,60% 1,13
Recreation 51 1,45 37,75% 20,31% 1,11
Reinsurance 11 0,82 18,90% 3,58% 0,69
Restaurant 65 1,16 13,15% 19,23% 1,05
Retail (Hardlines) 79 1,79 26,01% 22,55% 1,49
Retail (Softlines) 42 1,43 5,59% 25,57% 1,37
Retail Automotive 19 1,39 44,33% 32,69% 1,07
Retail Building Supply 10 1,11 11,72% 25,56% 1,02
Retail Store 38 1,29 25,58% 24,83% 1,08
Retail/Wholesale Food 30 0,68 34,84% 31,18% 0,55
Securities Brokerage 27 1,07 264,59% 30,41% 0,38
Semiconductor 142 1,49 10,06% 11,71% 1,37
Semiconductor Equip 10 1,79 16,98% 15,21% 1,57
Shoe 17 1,26 1,94% 19,89% 1,24
Steel 33 1,65 56,21% 24,24% 1,16
Telecom. Equipment 105 1,07 13,31% 14,01% 0,96
Telecom. Services 76 1,15 31,82% 16,22% 0,91
Telecom. Utility 23 0,92 108,25% 26,94% 0,51
Thrift 170 0,68 19,50% 15,84% 0,58
Tobacco 11 0,86 18,87% 32,82% 0,76
Toiletries/Cosmetics 14 1,17 20,63% 27,33% 1,01
Trucking 34 1,09 42,33% 25,94% 0,83
Water Utility 11 0,49 73,18% 31,45% 0,33
Wireless Networking 58 1,35 25,67% 10,06% 1,10
Total Market 6177 1,17 42,92% 14,93% 0,86
Compartilhe nas Redes Sociais