Evidence of the Economic Context in the Relationship Between Corporate Governance and Stock Market Volatility in the Brazilian Public Companies
DOI:
https://doi.org/10.51341/1984-3925_2021v24n1a1Keywords:
Corporate Governance. Stock Market Volatility. Economic Context. Gross Domestic Product.Abstract
Objective: to analyze how the economic context affects the relationship between corporate governance and stock market volatility of Brazilian public companies listed on B3 S.A. - Brasil, Bolsa, Balcão (B3), from 2010 to 2018.
Method: based on quantitative, descriptive, and documentary research, the stock market volatility on an annual basis was used as a metric for volatility (dependent variable); internal mechanisms (ownership and control structure, number of members of the administrative and fiscal council) and external mechanisms (B3 governance levels, American Depositary Receipt, and free float) such as corporate governance proxies (independent variable of interest); and control variables (Gross Domestic Product - GDP and others).
Originality/Relevance: there is no consensus regarding the way that corporate governance practices affect stock market volatility, when considering the economic context in which the country finds itself, given that different proxies can cause different effects before the market (Li et al., 2013; Litov et al., 2006).
Results: it was found that, in general, internal mechanisms have a significant influence in relation to stock market volatility only when analyzed together with the variation in GDP. The external mechanisms, on the other hand, did not show significant influence in relation to the stock market volatility.
Theoretical / Methodological Contributions: the discussion about the interaction of corporate governance practices with the volatility in the stock market prices of Brazilian companies is broadened, as well as the different approaches to decision-making when analyzing the internal and external mechanisms of corporate governance in the Brazilian economic contex.Downloads
References
Aguilera, R. V., Desender, K., Bednar, M. K., & Lee, J. H. (2015). Connecting the Dots: Bringing External Corporate Governance into the Corporate Governance Puzzle. Academy of Management Annals, 9(1), 483-573. https://doi.org/10.5465/19416520.2015.1024503
Albanez, T., & Valle, M. R. do. (2009). Impactos da assimetria de informação na estrutura de capital de empresas brasileiras abertas. Revista Contabilidade & Finanças, 20(51), 6-27. https://doi.org/10.1590/S1519-70772009000300002
Assaf Neto, A., Lima, F. G., & Araújo, A. M. P. (2008). Uma proposta metodológica para o cálculo do custo de capital no Brasil. Revista de Administração (FEA-USP), 43(1), 72-83. Recuperado em 28 outubro, 2018, de http://200.232.30.99/download.asp?file=v4301072.pdf.
Bandyopadhyay, A., & Barua, N. M. (2016). Factors determining capital structure and corporate performance in India: Studying the business cycle effects. The Quarterly Review Of Economics And Finance, 61, 160-172. https://doi.org/10.1016/j.qref.2016.01.004
Banker, R. D., Fang S., & Mehta, M. N. (2020). Anomalous Operating Performance During Economic Slowdowns. Journal of Management Accounting Research, 32(2), 57-83. https://doi.org/10.2308/jmar-52547
Brasil, Bolsa, Balcão - B3 S.A. (2018). Empresas Listadas. Recuperado em 24 setembro, 2018, de http://www.b3.com.br/pt_br/produtos-e-servicos/negociacao/renda-variavel/empresas-listadas.htm.
Chen, J. Z., Lim, C., & Lobo, G. J. (2016). Does the Relation between Information Quality and Capital Structure Vary with Cross-Country Institutional Differences?. Journal of International Accounting Research, 15, 131-156. https://doi.org/10.2308/jiar-51606
Chow, Y., Muhammad, J., Bany-Ariffin, A., & Cheng, F. (2018). Macroeconomic uncertainty, corporate governance and corporate capital structure. International Journal of Managerial Finance, 14(3), 301-321. https://doi.org/10.1108/IJMF-08-2017-0156
Cremers, K. J. M., & Nair, V. (2005). Governance mechanisms and equity prices. The Journal of Finance, 60(6), 2859-2894. https://doi.org/10.1111/j.1540-6261.2005.00819.x
Daily, C. M., Dalton, D. R., & Cannella, A. A. (2003). Corporate governance: Decades of dialogue and data. Academy of Management Review, 28(3), 371-382. https://doi.org/10.5465/amr.2003.10196703
Donker, H., Santen, B., & Zahir, S. (2009). Ownership structure and the likelihood of financial distress in the Netherlands. Applied Financial Economics, 19(21), 1687-1696. https://doi.org/10.1080/09603100802599647
Ferreira, M. A., & Laux, P. A. (2007). Corporate governance, idiosyncratic risk, and information flow. The Journal of Finance, 62(2), 951-989. https://doi.org/10.1111/j.1540-6261.2007.01228.x
Gagnon, L., & Jeanneret, A. (2018). Corporate governance, capital structure, and stock return volatility. [Working Paper]. Recuperado em 29 outubro, 2018, de https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3222818
Grullon, G., Lyandres, E., & Zhdanov, A. (2012). Real options, volatility , and stock returns. The Journal of Finance, 67(4), 1499-1537. https://doi.org/10.1111/j.1540-6261.2012.01754.x
Halov, N., & Heider, F. (2011). Capital structure, risk and asymmetric information. Quarterly Journal of Finance, 1(4), 767-809. https://doi.org/10.1142/S2010139211000171
Jensen, M., & Meckling, W. (1976). Theory of the firm: managerial behavior, agency costs and ownership structure. Journal of Financial Economics, 3(4), 305-360. https://doi.org/10.1016/0304-405X(76)90026-X
Kothari, S. P. (2019). Accounting Information in Corporate Governance: Implications for Standard Setting. The Accounting Review, 94(2), 357-361. https://doi.org/10.2308/accr-10651
Li, H., Jahera, J. S. Jo., & Yost, K. (2013). Corporate risk and corporate governance: another view. Managerial Finance, 39(3), 204-227. https://doi.org/10.1108/03074351311302773
Litov, L. P., John, K., & Yeung, B. Y. (2006). Corporate governance and corporate risk taking: theory and evidence. [Working Paper]. Recuperado em 18 outubro, 2018, de https://papers.ssrn.com/sol3/papers.cfm?abstract_id=890915
Macret, D. Z. (2018). Relação entre volume e volatilidade no mercado acionário brasileiro (Dissertação de Mestrado). Fundação Getúlio Vargas, São Paulo, SP, Brasil.
Magalhães, M. A. de. (2000). Explicando o ciclo de negócios. Revista Economia Aplicada, 4(1), 157-189. Recuperado em 28 outubro, 2018, de http://cepe.ecn.br/matheus.pdf.
Malacrida, M. J. C., & Yamamoto, M. M. (2006). Governança Corporativa: nível de evidenciação das informações e sua relação com a volatilidade das ações do IBOVESPA. Revista Contabilidade & Finanças, 3, 65-79. https://doi.org/10.1590/S1519-70772006000400006
Martins, O. S., Paulo, E., & Albuquerque, P. H. M. (2013). Negociação com informação privilegiada e retorno das ações na BM&FBovespa. Revista de Administração de Empresas, 53(4), 350-362. http://dx.doi.org/10.1590/S0034-75902013000400003
Matucheski, S., Clemente, A., & Sandrini, J. C. (2009). Governança corporativa e volatilidade das ações negociadas na Bovespa na crise financeira de 2008. Revista Brasileira de Estratégia, 2(2), 171-183. http://dx.doi.org/10.7213/rebrae.v2i2.13454.g12872
Nardy, A., Famá, R., Guevara, J. A. de H., & Mussa A. (2015). Verificação da ocorrência do efeito índice no Ibovespa – 2004-2013. Revista de Administração, 50(2), 153-168. http://dx.doi.org/10.5700/rausp1191.
Oliveira, L. S. S. de, & Santos, D. F. L. (2011). Desempenho e Volatilidade dos Índices de Governança Corporativa da BM&FBOVESPA. Revista de Administração, Contabilidade e Sustentabilidade, 1(2), 52-64. https://doi.org/10.18696/reunir.v1i2.28
Peña, A. M. (2017). Corporate Movements in Democratic Brazil: Informal Business Networks, Civil Activism, and Political Influence. Bulletin of Latin American Research, 37(3), 339-353. https://doi.org/10.1111/blar.12740
Raupp, F. M., & Beuren, I. M. (2008). Metodologia da Pesquisa Aplicável as Ciências Sociais. In: I. M. Beuren, I. M. (Org.). Como Elaborar Trabalhos Monográficos em Contabilidade: teoria e prática (pp. 76-97). São Paulo: Atlas. (3a ed.). 76-97.
Silva, C. C. dos S., & Martins, O. S. (2018). Reflexo da qualidade de governança corporativa no processo de avaliação de empresas. Gestão & Regionalidade, 34(102), 75-93. https://doi.org/10.13037/gr.vol34n102.4224
Silva, E. S., Santos, E. S., Torres, F. J. V., & Ferreira, L. F. V. M. (2009). Os efeitos da Governança Corporativa sobre os ratings de crédito das Debêntures emitidas por empresas listadas nos níveis diferenciados de governança da Bovespa. Anais do Encontro da Associação Nacional de Pós-Graduação e Pesquisa em Administração, São Paulo, SP, Brasil, 33.
Silveira, A. Di M., Lanzana, A. P., Barros, L. A. B. C., & Famá, R. (2004). Efeito dos acionistas controladores no valor das companhias abertas brasileiras. RAUSP - Revista de Administração, 39(4), 362-372. Recuperado em 28 outubro, 2018, de http://rausp.usp.br/wp-content/uploads/files/V3904362a372.pdf.
Sirqueira, A. B. (2007). Governança Corporativa e otimização de portfólios: a relação entre risco e retorno e boas práticas de governança. 113f. (Dissertação de mestrado em Engenharia de Produção) - Escola de Engenharia de São Carlos da Universidade de São Paulo, São Carlos, SP, Brasil.
Souza, G. H. S. de, Lima, N. C., Barbosa, F. B., Coutinho, A. C., & Albuquerque, A. A.de. (2015). Corporate governance and performance of the stocks of companies from the Brazilian electricity sector listed in Bovespa. Revista de Negócios, 20(1), 13-28. http://dx.doi.org/10.7867/1980-4431.2015v20n1p13-28
Walsh, J. P., & Seward, J. K. (1990). On the efficiency of internal and external corporate control mechanisms. Academy of Management Review, 15(3), 421-458. http://dx.doi.org/10.2307/258017
Downloads
Published
How to Cite
Issue
Section
License
The authors hold the copyright to their article and grant the Journal of Accounting, Management and Governance the exclusive rights of first publication (including communication to the public and reproduction), with the work simultaneously licensed under the Creative Commons Attribution Non-Commercial 4.0 International License (CC BY-NC).
This license allows third parties to remodel, adapt, and create from the published work, as long as it is for non-commercial purposes, giving due credit for authorship and initial publication in this journal.
Authors are permitted to enter into additional separate agreements for non-exclusive distribution of the version of the work published in this journal (e.g., publish in an institutional repository, on a personal website, publish a translation, or publish a book chapter), with acknowledgment of authorship and initial publication in this journal, provided there is no commercial use/distribution.
