IDENTIFYING THE PREVALENCE OF NEGATIVE BETA COEFFICIENTS IN THE BRAZILIAN STOCK MARKET

Abstract

The present study aimed to identify the prevalence of negative beta coefficients in the Brazilian stock market, with a specific focus on verifying their stability over ten years (2013-2022), based on a quali-quantitative descriptive research. Considering the importance of the beta coefficient for investors looking to form a portfolio of stocks with reduced risks, the research first analyzed the years 2013 to 2017 to determine the presence of negative betas, and then, in the subsequent period (2018-2022), identify their stability. The methodology of the article was initiated from the collection and analysis of the historical quotations of companies listed on the Brazilian stock exchange (B3) during the ten years (2013-2022). In total, 85 lawsuits prevailed in the period described. Using the formula derived from the CAPM model and with the aid of simple linear regression, the beta coefficients of each stock were calculated in the first five years, considering the Bovespa index as a reference for the market, and then the same calculation was applied in the subsequent five years. Subsequently, the coefficients were classified into three categories, following the postulate of Gitman (2010): betas between 0.5 and 1; above 1 and less than 2; greater than 2. The results support the hypothesis that there was no prevalence of beta-negative in the time analyzed. However, most of the beta coefficients found were between 1 and 2, indicating a superiority of stocks with sensitivities close to market fluctuations. In addition, the research revealed that the beta coefficients analyzed, specifically 53.3% of them, tended to show some stability over the time studied. However, stocks that showed significant variations over time were identified, which may indicate changes in the performance of these companies. It is concluded that, although negative betas were not found in the Brazilian stock market between 2013 and 2022, the stability of the stock coefficients over time proves to be an important characteristic when analyzing risk. This knowledge is crucial for investors looking for diversification strategies and risk management of their stock portfolios.