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- Title
ANÁLISE DA INFLUÊNCIA DO PRIVATE EQUITY E DO VENTURE CAPITAL NO RISCO DAS AÇÕES DAS EMPRESAS QUE REALIZARAM IPO COMO FORMA DE DESINVESTIMENTO.
- Authors
de Araújo, Júlio Pereira; de Oliveira, Marcos Roberto Gois
- Abstract
In this article we aimed to compare the risk of companies that have been invested by managers of private equity and venture capital (PE/VC) in relation to the ones that did not receive this kind of investment. The database used was the prices and daily stock returns of companies that performed IPO from February/2006 to November/2010. In the analysis, it was found aspects of volatility of stock prices (normal, presence of unit roots, serial autocorrelation of errors and support to heterocedastic effects) and the methodology used was the Value at Risk (VaR) with Monte Carlo Simulation. We analyzed the individual of VaR's companies per year of IPO (2006-2010) and total period. Each individual VaR was calculated based on the best of three models of volatility: standard deviation, volatility with more parsimonious GARCH model and the best GARCH model found by Akaike methodology. The results of the analysis of volatility showed mainly that most enterprises have support to heterocedastic effects. Regarding the results of VaR, both in total period and in the analysis per year of the IPO, the group of companies that received PE/VC investments showed higher VaR values compared to those without PE/VC. Thus, we can conclude that the group of companies with PE/VC investment has a higher level of risk in relation to the companies without.
- Publication
RACE- Revista de Administraçâo, Contabilidade e Economia, 2015, Vol 14, Issue 3, p1205
- ISSN
2179-4936
- Publication type
Article