O custo do capital e o retorno do investimento corporativo no Brasil entre 1994 e 2008

Abstract

This paper applies Fama and French (1999) to estimate the overall cost of capital and the return on cost of investments of a project that aggregates the non-financial firms listed in Bovespa between 1994 and 2008. While compared to the average TJPL of 11.02% and SELIC of 21.89% per year-respectively the long-and short-term nominal risk-free benchmarks-the estimates of the cost of capital was 15.45% and the return on cost was 13.42%, characterizing a period of low returns to non-financial investments in Brazil. Excluding sectors with massive state ownership, private investments returned an average nominal rate of 14.59% and, given a cost of capital of 10.86%, added a 3.36% per year value over the overall cost of funds. As interesting as these internal rates of returns, are the details of how corporate earnings, investment and financing evolved along the period.