DOES GOVERNANCE REDUCE VOLATILITY? / GOVERNANÇA REDUZ VOLATILIDADE?
AUTOR(ES)
DIOGO RIBEIRO ALMEIDA
DATA DE PUBLICAÇÃO
2007
RESUMO
This dissertation examines impacts of good practices of corporate governance on the volatility of returns in and out crisis periods. Daily data are used to estimate Generalized Autoregressive Conditional Heteroskedastic (GARCH) models for forty nine stocks traded on the São Paulo Stock Exchange (BOVESPA. It is found evidence of a negative impact on the majority of the analyzed series. For some stocks, the reduction of the volatility is even greater in crisis periods. It was also found that the risk mitigated is the idiosyncratic one and, thus, governance incentives the maintenance of ownership concentration.
ASSUNTO(S)
heteroskedasticity governanca corporativa volatilidade corporate governance garch models heterocedasticidade volatility models modelos garch
