Índice de mercado para o agronegócio brasileiro: proposta de uma carteira
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Data
2019-08-28
Autores
Zanetti, Jorge Felipe Gonçalves
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Universidade Estadual Paulista (Unesp)
Resumo
Propor um índice de mercado para o agronegócio brasileiro, a partir da proposta de uma carteira de mercado que reflita o setor do agronegócio brasileiro e sirva como parâmetro para análise de investimento nos principais ramos de atividades agropecuárias. A hipótese que norteou esse estudo é que o Ibovespa, enquanto proxy para uma carteira de mercado, não reflete adequadamente o risco sistemático para análise de investimentos no agronegócio. Desta forma, o índice proposto deriva da criação de uma carteira de mercado para o setor do agronegócio, sendo está calculada com base nas principais culturas agropecuárias que compõem o Valor Bruto de Produção (VBP) do Ministério de Agricultura, Pecuária e Abastecimento (MAPA). As culturas selecionadas foram: soja, bovinos, cana-de-açúcar, frango, milho, leite, café, algodão herbáceo, suínos, laranja, banana, arroz, tomate, batata, uva, trigo e maçã. A composição da carteira foi embasada na participação individual no VBP e teve sua série histórica computada a partir de dados mensais de 2012 a 2018. Os preços das culturas foram extraídos do Centro de Estudos Avançados em Economia Aplicada (CEPEA) e da União Nacional da Bioenergia (UDOP). Adicionalmente, foi criada uma carteira, a partir das ações negociadas na Bolsa de Valores de São Paulo [B³] que estão inseridas nas cadeias do agronegócio, como forma de avaliar se essa carteira com ativos financeiros negociados no mercado poderia ser eficiente para representar o risco sistemático do mercado agropecuário. Obteve-se os dados dessas empresas no Sistema Economática®. O método empregado para analisar a eficiência das carteiras construídas foi a análise de regressão com heteroscedasticidade corrigida pelo software Gretl®, sendo respeitadas as premissas de estacionariedade e ausência de autocorrelação. Os resultados alcançados possibilitaram concluir que o Ibovespa explica de maneira satisfatória os retornos obtidos pelas empresas do agronegócio listadas na B³, mas não é significante quando tange os retornos dos preços das culturas agropecuárias. Desta maneira, outras carteiras de mercado podem ser utilizadas, buscando uma maior relação com os retornos das culturas agropecuárias. Sugeriu-se uma carteira composta pelos ativos: algodão, arroz, batata, café, cana-de-açúcar, laranja, milho, soja, tomate, trigo, uva, maçã, boi gordo, suínos e leite, como uma carteira de mercado que explique melhor os retornos das culturas agropecuárias. O trabalho tem como principal contribuição apresentar uma carteira de mercado que pode ser utilizada para expressar o risco sistemático para culturas agropecuárias. Foi possível determinar o beta de cada cultura e estimar para o período proposto o retorno requerido para investimentos para cada cultura. Desta forma, produtores e administradores rurais, bem como empresas com investimentos em tecnologias para as atividades agropecuárias podem utilizar esses parâmetros para estimar o retorno requeridos aos seus investimentos, salvaguardado as limitações apontadas nesse estudo. Essa pesquisa conseguiu propor um índice para o mercado agropecuário brasileiro mais amplo que os índices existentes e que se mostrou eficiente para mais de 80% das culturas analisadas. Não obstante, verificou-se que o uso do Ibovespa como proxy para o risco sistemático aplicado aos investimentos agropecuários pode trazer resultados que não aderentes ao setor. Por outro lado, a ausência de disponibilidade de dados relativo ao preço de todo o portfólio agropecuário do Brasil, bem como a frequência limitada a dados mensais impõe restrições no uso do índice proposto. Além disso, a temporalidade das informações usadas nesse estudo limita o alcance dos resultados estáticos aqui apresentados para períodos futuros sem a devida atualização. Apesar de existirem índices para o mercado agropecuário, não há um índice com maior abrangência a todo o portfólio agropecuário no Brasil, como o proposto nesse estudo. Não obstante, o beta, enquanto, medida de risco sistemático é tradicionalmente utilizado para ativos financeiros, sendo aplicado nesse estudo para determinar o risco sistemático de cada produto agropecuário.
To propose a market index for Brazilian agribusiness based on the proposal of a market portfolio that reflects the Brazilian agribusiness sector and serves as a parameter for investment analysis in the main fields of agricultural activities. The hypothesis that guided this study is that Ibovespa, as a proxy for a market portfolio, does not adequately reflect the systematic risk for analyzing agribusiness investments. Thus, the proposed index derives from the creation of a market portfolio for the agribusiness sector, which is calculated based on the main agricultural crops that make up the Gross Production Value (GPV) of the Ministry of Agriculture, Livestock and Supply (MAPA). The selected crops were: soybean, cattle, sugar cane, chicken, corn, milk, coffee, herbaceous cotton, swine, orange, banana, rice, tomato, potato, grape, wheat and apple. The portfolio composition was based on individual participation in VBP and its historical series was computed from monthly data from 2012 to 2018. Crop prices were extracted from the Center for Advanced Studies on Applied Economics (CEPEA) and the National Union of Bioenergy (UDOP). Additionally, a portfolio was created from the shares traded on the São Paulo Stock Exchange [B³] that are part of the agribusiness chains as a way to assess whether this portfolio with financial assets traded in the market could be efficient to represent the risk. agricultural market. The data from these companies were obtained from the Economática® System. The method used to analyze the efficiency of the constructed portfolios was the regression analysis with heteroscedasticity corrected by the Gretl® software, respecting the assumptions of stationarity and absence of autocorrelation. The results reached allow us to conclude that Ibovespa satisfactorily explains the returns obtained by agribusiness companies listed in B³, but it is not significant when it comes to the price returns of agricultural crops. Thus, other market portfolios can be used, seeking a greater relationship with the returns of agricultural crops. A portfolio of assets was suggested: cotton, rice, potato, coffee, sugar cane, orange, corn, soybeans, tomatoes, wheat, grapes, apples, fat cattle, pigs and milk, as a market portfolio that explain better the returns of agricultural crops. The main contribution of this paper is to present a market portfolio that can be used to express the systematic risk to agricultural crops. It was possible to determine the beta of each crop and to estimate for the proposed period the required return on investments for each crop. Thus, farmers and managers, as well as companies with investments in technologies for agricultural activities can use these parameters to estimate the required return on their investments, safeguarding the limitations pointed out in this study. This research was able to propose an index for the Brazilian agricultural market that is broader than the existing indexes and that proved to be efficient for over 80% of the analyzed crops. However, it was found that the use of Ibovespa as a proxy for the systematic risk applied to agricultural investments may bring results that are not in line with the sector. On the other hand, the lack of availability of price data for the entire Brazilian agricultural portfolio, as well as the frequency limited to monthly data, imposes restrictions on the use of the proposed index. In addition, the timeliness of the information used in this study limits the scope of the static results presented here for future periods without due updating. Although there are indexes for the agricultural market, there is no index with greater coverage to the entire agricultural portfolio in Brazil, as proposed in this study. Nevertheless, beta, as a systematic risk measure is traditionally used for financial assets, being applied in this study to determine the systematic risk of each agricultural product.
To propose a market index for Brazilian agribusiness based on the proposal of a market portfolio that reflects the Brazilian agribusiness sector and serves as a parameter for investment analysis in the main fields of agricultural activities. The hypothesis that guided this study is that Ibovespa, as a proxy for a market portfolio, does not adequately reflect the systematic risk for analyzing agribusiness investments. Thus, the proposed index derives from the creation of a market portfolio for the agribusiness sector, which is calculated based on the main agricultural crops that make up the Gross Production Value (GPV) of the Ministry of Agriculture, Livestock and Supply (MAPA). The selected crops were: soybean, cattle, sugar cane, chicken, corn, milk, coffee, herbaceous cotton, swine, orange, banana, rice, tomato, potato, grape, wheat and apple. The portfolio composition was based on individual participation in VBP and its historical series was computed from monthly data from 2012 to 2018. Crop prices were extracted from the Center for Advanced Studies on Applied Economics (CEPEA) and the National Union of Bioenergy (UDOP). Additionally, a portfolio was created from the shares traded on the São Paulo Stock Exchange [B³] that are part of the agribusiness chains as a way to assess whether this portfolio with financial assets traded in the market could be efficient to represent the risk. agricultural market. The data from these companies were obtained from the Economática® System. The method used to analyze the efficiency of the constructed portfolios was the regression analysis with heteroscedasticity corrected by the Gretl® software, respecting the assumptions of stationarity and absence of autocorrelation. The results reached allow us to conclude that Ibovespa satisfactorily explains the returns obtained by agribusiness companies listed in B³, but it is not significant when it comes to the price returns of agricultural crops. Thus, other market portfolios can be used, seeking a greater relationship with the returns of agricultural crops. A portfolio of assets was suggested: cotton, rice, potato, coffee, sugar cane, orange, corn, soybeans, tomatoes, wheat, grapes, apples, fat cattle, pigs and milk, as a market portfolio that explain better the returns of agricultural crops. The main contribution of this paper is to present a market portfolio that can be used to express the systematic risk to agricultural crops. It was possible to determine the beta of each crop and to estimate for the proposed period the required return on investments for each crop. Thus, farmers and managers, as well as companies with investments in technologies for agricultural activities can use these parameters to estimate the required return on their investments, safeguarding the limitations pointed out in this study. This research was able to propose an index for the Brazilian agricultural market that is broader than the existing indexes and that proved to be efficient for over 80% of the analyzed crops. However, it was found that the use of Ibovespa as a proxy for the systematic risk applied to agricultural investments may bring results that are not in line with the sector. On the other hand, the lack of availability of price data for the entire Brazilian agricultural portfolio, as well as the frequency limited to monthly data, imposes restrictions on the use of the proposed index. In addition, the timeliness of the information used in this study limits the scope of the static results presented here for future periods without due updating. Although there are indexes for the agricultural market, there is no index with greater coverage to the entire agricultural portfolio in Brazil, as proposed in this study. Nevertheless, beta, as a systematic risk measure is traditionally used for financial assets, being applied in this study to determine the systematic risk of each agricultural product.
Descrição
Palavras-chave
Investimentos, Agribusiness, Finanças, Economia agrícola, Competitiveness, Agricultural finance, Agribusiness Index