RISK INDICATORS AND CASH LEVELS: AN ANALYSIS
OF BRAZILIAN COMPANIES UNDER MACROECONOMIC RISK VARIATIONS
Name: UILIAN DE BRITO
Publication date: 30/04/2024
Examining board:
Name |
Role |
|---|---|
| ALFREDO SARLO NETO | Examinador Interno |
| DONIZETE REINA | Examinador Interno |
| ELIZEU MARIA JUNIOR | Presidente |
| RAFAEL CONFETTI GATSIOS | Examinador Externo |
| ROBERTO TOMMASETTI | Examinador Externo |
Summary: This work aims to analyze how listed Brazilian companies adjust cash levels in order to respond
to fluctuations in risk indicators related to the Brazilian macroeconomy, based on the financial
statements released by listed companies. The research tested a sample of 257 companies listed
on [B]3 between 2014 and 2023, making a total of 7,171 observations. The data was collected
in the Refinitiv database and organized into panel data that made it possible to analyze
companies in different periods and identify possible variations in information over the years.
The sample was lagged by one period and OLS, fixed and random effects models were used for
data analysis. The results demonstrated that macroeconomic variables, such as systemic risk
indicators EMBI+ and CDS, are relevant for companies to adjust cash levels, as well as it was
found that economic agents anticipate decisions regarding adjustments in cash levels by
indicators. Control variables such as Selic basic interest rate, GDP, company size, leverage and
CGL were negatively related to company cash and were statistically significant in most models
(except GDP). The other control variables, investment opportunities and liquidity, had a
positive and significant relationship in most tests, as well as the segment dummies and selffinancing capacity. The results of all models, including the robustness test and additional tests,
confirmed the research hypothesis that demonstrates the empirical existence of the relationship
between macroeconomic risk indicators and firms' cash levels. The general conclusion reached
is that Brazilian companies showed a tendency to reduce cash levels over time, except in cases
where crises occurred such as the 2015-2016 technical crisis and the Covid-19 pandemic crisis,
between 2020-2021. Furthermore, it was found that companies tend to choose to adjust cash
levels less sharply in periods of economic stability, given that during periods of stability
macroeconomic risk indicators tend to present a good outlook for the economy. Therefore,
macroeconomic risk indicators constitute efficient proxies to understand movements in firms'
cash levels, given that fluctuations in these indicators affect cash. The research contributed by
offering empirical evidence about the association between macroeconomic variables and their
possible effects in the context of Brazilian companies.
