O objetivo deste artigo foi construir um índice para medir a qualidade da governança das empresas brasileiras e validá-lo, mediante confronto com indicadores da confiança dos investidores quanto à boa gestão dos seus fundos pelas empresas. Esse índice foi composto pelos critérios de eficiência de um conjunto de mecanismos de redução dos problemas de agência, integrantes das dimensões: composição do Conselho de Administração, estrutura de propriedade e de controle, modalidades de incentivo aos administradores, proteção dos acionistas minoritários e transparência das informações publicadas. Ele foi, em seguida, validado, em uma amostra de empresas com ações negociadas na Bolsa de Valores de São Paulo (Bovespa) entre 1997 e 2006, mediante o confronto com indicadores que refletem a confiança dos investidores quanto à boa governança dos seus recursos pelas empresas como a performance financeira das empresas. O índice de governança foi obtido mediante a técnica de componentes principais, o que consistiu em calcular a média ponderada de todos os componentes gerados, sendo as ponderações representadas pelas suas respectivas variâncias. A análise do comportamento desse índice revelou uma tendência efetiva de incremento na qualidade da governança das empresas brasileiras no período estudado. Em termos de validação externa, os resultados mostraram uma associação positiva e significativa entre o índice de governança e o Q de Tobin. Melhor ainda, eles revelaram um relacionamento inverso e significativo entre a taxa de retorno ajustada ao risco das ações e o índice de governança. Todas essas relações atestam que a confiança do mercado associa-se, fortemente, à qualidade da governança expressa pelo índice. De maneira geral, a análise empírica valida em grande parte o índice de governança proposto. A boa governança possui, portanto, um valor para o mercado.

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This study sought to analyze information asymmetry in the Brazilian stock market and its relation with the returns required from portfolios through the metrics volume-synchronized probability of informed trading. To do this, the study used actual data from the transactions of 142 stocks on the Brazilian Securities, Commodities and Futures Exchange (BM&FBOVESPA), within the period from May 1, 2014, to May 31, 2016. The results point out a high flow toxicity level in the orders of these stocks. In segment analyses of the stock market listing, data suggest there is no clue that stocks from the theoretically more overt segments have a lower toxicity level of order flows. The justification for this finding lies on the negative correlation observed between the market value of stocks and the toxicity level of orders. To test the effect of asymmetric information risk on stock returns, a factor related to the toxicity level of orders was added to the three-, four-, and five-factor models. Through the GRS test, we observed that the combination of factors that optimize the explanation of returns of the portfolios created was the one taking advantage of the factors market, size, profitability, investment, and information risk. To test the robustness of these results, the Average F-test was used in data simulated by the bootstrap method, and similar estimates were obtained. It was observed that the factor related to the book-to-market index becomes redundant in the national scenario for the models tested. Also, it was found that the factor related to information risk works as a complement to the factor size and that its inclusion leads to an improved performance of the models, indicating a possible explanatory power of information risk on portfolio returns. Therefore, data suggest that information risk is priced in the Brazilian stock market.

This article aims to identify determinants of liquidity of shares traded on the BM&FBOVESPA. It was considered the influence of aspects such as the level of governance, listing on US stock markets and specific business characteristics. The concept of liquidity adopted can be simplified as the ease with which an asset is traded by its market price. The greater the difference between the price offered and the demanded on a security (bid-ask spread), the greater its illiquidity. The methodology consisted of regressions using panel data for a sample of common shares and preferred shares of non-financial companies listed on the BM&FBOVESPA, between 1995 and 2010. The results revealed that liquidity increases with the adoption of ADRs; governance; financial slack and return on sales. Moreover, the less liquid stocks are the ones that pay more dividends.

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