Disclosure of market risks and cost of capital of companies

Abstract

Under the principles of Disclosure Theory, the study aims at analyzing the association between the disclosure level of market risk factors and the cost of capital of companies listed on “Novo Mercado” and segments 1 and 2 of corporate governance of BM&FBovespa. The research differs from most studies because it analyzes both the cost of equity capital as cost of capital debt. It also stands out the relevance of disclosure of risk factors for capital market efficiency. We evaluated the data of 151 companies for the financial year 2014, using the correspondence analysis and the multiple linear regression. The disclosure level of market risk factors of the sample companies was identified from their respective reference forms, and the data of the cost of capital were extracted from Economática® base. It was verified that the disclosure level of market risks of the companies indicates a positive relation with the cost of capital debt, represented by Kd. No relation was found between the level of disclosure and the cost of equity capital, measured by Beta of the companies. The results indicate the low maturity of the Brazilian capital market to deal with the principles of the Theory of Disclosure, for which disclosure, despite the adverse effect, provides more credibility.

Keywords: disclosure, market risk, cost of capital.