Fatores que determinam o spread das emissões públicas de debêntures indexadas a índices de preços no Brasil

Abstract

The objective of this study is to analyze the factors that determine the spread of the public issues of debentures indexed to the Broad Consumer Price Index (IPCA) in Brazil. Emissions indexed to the IPCA were choose because they are instruments usually used to capture resources of longer maturity by the issuing companies. The database had 245 series of issues occurred between January 2010 and December 2015. Regressions were estimated by ordinary least squares and weighted least squares methods, and the results presented by the last method were more robust. The rating-spread ratio was confirmed in all regressions and the results indicate that this variable explains, by itself, 58% of the spread variation. Other the rating, the results indicate that the main factors that determine the spread of the issues are: collateral, issuer experience, maturity, amount, prestige of the coordinating bank, tax benefits and economic scenario. Due to the results achieved, other issues related to market efficiency were approached, such as agency conflicts, information asymmetry and adverse selection. The results show that the collaterized issues remunerated the investors with a higher spread than the unsecured ones, and this premium ranged from 35 to 38 basis points. The results were interpreted in the context of agency theory and resemble those found by John, Lynch and Puri (2003) for the US corporate bonds market. Finally, the favorable economic scenario, as measured by the Emerging Market Bond Index - Brazil (EMBI + BR), showed negativelycorrelated with the spread, and these results were interpreted as effects of the information asymmetry and adverse selection present in the local market for debt issuance.