Empresas gestoras de private equity e venture capital com ações negociadas em bolsas e fatores macroeconômicos no Brasil

Abstract

Private equity and venture capital (PEVC) vehicles are increasingly relevant to investors and considered an asset class different from public equity in Brazilian regulation. Franzoni, Nowak and Phalippou (2012) cast doubts on the ability of foreign PEVC vehicles to generate alpha after considering risks, including liquidity. There are few studies about the profitability of PEVC in Brazil. Data on the return on investments made by PECV companies are scarce and this article used the stock returns of three PEVC market traded companies. The goal was to verify if the thesis that PEVC constitutes a separate asset class is supported by the way in which macroeconomic risk factors influence the stock returns of these PEVC companies as well as an index of low market capitalization companies (SMLL) and the Ibovespa. The macroeconomic factors were calculated as in other articles about the Arbitrage Pricing Theory (APT). The econometric methods employed were the univariate analysis of Granger and vector autoregression (VAR). The evidence suggests that the portfolio of three PEVC companies does not present attractive historical returns and behaves similarly to the indexes in relation to macroeconomic factors. The method employed does not confirm that PEVC is a different asset class and has implications on asset allocation decisions. Keywords: private equity, venture