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Enterprise risk management e o custo da dívida
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Este trabalho final de mestrado tem como objetivo principal perceber qual a relação entre o nível de implementação de um sistema de entreprise risk management e o custo da dívida, com base nas amostras das 14 empresas do índice PSI durante o período 2017-2023, gerando um total de 98 observações. Desta forma, foi utilizado um modelo em que a variável dependente é o custo da dívida, sendo o ERM Score a principal variável explicativa. A pontuação referente ao ERM foi construída tendo por base os 20 princípios do COSO 2017. Para tal cada empresa recebia 1 ponto por cada princípio COSO que estive evidenciado nos seus relatórios de gestão, no período anteriormente referido, podendo atingir uma classificação máxima de 20 pontos. Para além disto foram ainda utilizadas no modelo variáveis de controlo independentes sendo estas: Dimensão da empresa, ativos colaterizáveis, book-to-market ratio, ativos intangíveis, alavancagem financeira, rentabilidade e política de dividendos. Os resultados demonstraram que não foi identificada uma relação significativa entre o custo da dívida e o ERM na amostra considerada. Este resultado poderá ser justificado com a homogeneidade na implementação de políticas ERM nas empresas analisadas. No entanto, outras variáveis como a alavancagem e o pagamento de dividendos mostraram-se estatisticamente significativas. Embora se tenha verificado uma ausência de relação entre o custo da dívida e o ERM, conclui-se que este estudo aprofunda a compreensão das políticas de gestão de risco e a sua relevância no contexto empresarial atual.
This master’s thesis aims to understand the relationship between the level of implementation of an Enterprise Risk Management (ERM) system and the cost of debt, based on a sample of 14 companies listed on the PSI index over the period 2017–2023, resulting in a total of 98 observations. Accordingly, a model was applied in which the dependent variable is the cost of debt, with the ERM Score as the main explanatory variable. The ERM Score was constructed based on the 20 principles of the COSO 2017 framework. For each principle evidenced in a company’s management reports during the reference period, the company received one point, with a maximum possible score of 20 points. In addition, several independent control variables were included in the model: firm size, collateralizable assets, book-to-market ratio, intangible assets, financial leverage, profitability, and dividend policy. The results showed that no significant relationship was found between the cost of debt and the ERM Score in the sample considered. This result may be explained by the homogeneity in the implementation of ERM policies among the companies analysed. However, other variables such as leverage, and dividend payments were found to be statistically significant. Although no significant relationship was found between the cost of debt and ERM, it is concluded that this study contributes to a deeper understanding of risk management practices and their relevance in the current business context.
This master’s thesis aims to understand the relationship between the level of implementation of an Enterprise Risk Management (ERM) system and the cost of debt, based on a sample of 14 companies listed on the PSI index over the period 2017–2023, resulting in a total of 98 observations. Accordingly, a model was applied in which the dependent variable is the cost of debt, with the ERM Score as the main explanatory variable. The ERM Score was constructed based on the 20 principles of the COSO 2017 framework. For each principle evidenced in a company’s management reports during the reference period, the company received one point, with a maximum possible score of 20 points. In addition, several independent control variables were included in the model: firm size, collateralizable assets, book-to-market ratio, intangible assets, financial leverage, profitability, and dividend policy. The results showed that no significant relationship was found between the cost of debt and the ERM Score in the sample considered. This result may be explained by the homogeneity in the implementation of ERM policies among the companies analysed. However, other variables such as leverage, and dividend payments were found to be statistically significant. Although no significant relationship was found between the cost of debt and ERM, it is concluded that this study contributes to a deeper understanding of risk management practices and their relevance in the current business context.
Descrição
Palavras-chave
Entreprise risk management (ERM) Custo da dívida Índice PSI Debt cost PSI index
Contexto Educativo
Citação
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Licença CC
Sem licença CC