Risk of Insolvency and Return of Shares: Empirical Analysis of Altman's Z-Score in the Peruvian Mining Sector Between 2008-2018

Edmundo R Lizarzaburu Bolaños; Kurt Burneo; Luis Berggrun

doi:10.12804/revistas.urosario.edu.co/empresa/a.8558

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Risco de inadimplência e devolução de ações: análise empírica da pontuação Z de Altman no setor mineiro peruano entre 2008-2018

DOI: https://doi.org/10.12804/revistas.urosario.edu.co/empresa/a.8558

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Publicado: feb. 3, 2021

Atualizado: 2021-02-03

Versões:

2021-02-03 (3)

2021-01-28 (2)

2021-01-25 (1)

Edição: v. 23 n. 40 (2021)

Seção Artículo de investigación científica y tecnológica

Palavras-chave: Financial distress , solvency risk , Z-Score , historical stock performance , emerging markets , mining sector problemas financieros , riesgo de insolvencia , puntuación z , rendimiento histórico de las acciones , mercados emergentes , sector minero problemas financeiros , risco de inadimplência , pontuação Z , rendimento histórico das ações , mercados emergentes , setor mineiro

Autores

Edmundo R Lizarzaburu Bolaños Universidad Esan

Kurt Burneo CENTRUM Católica Graduate Business School (CCGBS), Lima, Perú / Pontificia Universidad Católica del Perú (PUCP)

Luis Berggrun CESA Business School, Cll 35 N° 5ª, Bogota, Colombia

Resumo

Esta pesquisa pretende avaliar a importância do risco de inadimplência, calculado pela pontuação Z de Altman, na explicação de rendimento histórico das 7 empresas mineiras mais proeminentes na bolsa de valores de Lima, com base em um Modelo de Retorno de Mercado sobre um enfoque transversal. Neste sentido, coletaram-se dados diários do indicador s&p/bvl Peru Select e do Bônus Soberano Peruano no período de 10 anos entre 2008-
2018, calculados trimestralmente pela média geométrica para homogeneizá-los com a frequência Z. Dessa forma, obteve-se como resultados centrais: (1) o score Z, como estimativa de risco de inadimplência, que não é válido para explicar o comportamento de rentabilidade histórica das ações, e (2) a taxa de mercado, que é estatisticamente
significativa dentro da análise de rentabilidade. Adicionalmente, contrário ao descrito na literatura, os resultados sugerem a validade do capm convencional de Sharpe.

Biografia do Autor

Edmundo R Lizarzaburu Bolaños, Universidad Esan

Edmundo R Lizarzaburu, Profesor de Finanzas y Riesgos en la Universidad ESAN, Consultor Internacional, Director de Empresas.

Como Citar

Lizarzaburu Bolaños, E. R., Burneo, K., & Berggrun, L. (2021). Risco de inadimplência e devolução de ações: análise empírica da pontuação Z de Altman no setor mineiro peruano entre 2008-2018. Revista Universidad Y Empresa, 23(40). https://doi.org/10.12804/revistas.urosario.edu.co/empresa/a.8558 (Original work published 25º de janeiro de 2021)

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