The Determinants of Credit Rating: Brazilian Evidence
| Autor | Flávia Cruz de Souza Murcia - Fernando Dal-Ri Murcia - Suliani Rover - José Alonso Borba |
| Cargo | Universidade Federal de Santa Catarina, CPGA/UFSC - Universidade de São Paulo - PPGCC/FEA/USP - Universidade Federal de Santa Catarina, PPGC/UFSC - Universidade Federal de Santa Catarina, PPGC/UFSC |
Available online at
http://www.anpad.org.br/bar
BAR, Rio de Janeiro, v. 11, n. 2, art. 4,
pp. 188-209, Apr./June 2014
The Determinants of Credit Rating: Brazilian Evidence
Flávia Cruz de Souza Murcia
E-mail address: flavia_c_souza@hotmail.com
Universidade Federal de Santa Catarina – CPGA/UFSC
UFSC, Campus Universitário Trindade, 88040-900, Florianópolis, SC, Brazil.
Fernando Dal-Ri Murcia
E-mail address: fernandomurcia@hotmail.com
Universidade de São Paulo - PPGCC/FEA/USP
USP, Av. Prof. Luciano Gualberto, 908, 05508-010, São Paulo, SP, Braz il.
Suliani Rover
E-mail address: suliani.rover@ufsc.br
Universidade Federal de Santa Catarina – PPGC/UFSC
UFSC, Campus Universitário Trindade, 88040-900, Florianópolis, SC, Brazil.
José Alonso Borba
E-mail address: j.alonso@ufsc.br
Universidade Federal de Santa Catarina – PPGC/UFSC
UFSC, Campus Universitário Trindade, 88040-900, Florianópolis, SC, Brazil.
Received 11 December 2012; received in revised form 11 October 2013 (this paper has been with
the authors for two revisions); accepted 15 October 2013; published online 1st April 2014.
Editor’s note. Ricardo Pereira Câmara Leal served as Associate Editor for this article.
The Determinants of Credit Rating 189
BAR, Rio de Janeiro, v. 11, n. 2, art. 4, pp. 188-209, Apr./June 2014 www.anpad.org.br/b ar
Abstract
This study attempts to identify the deter minant factors of credit rating in Brazil. The relevance of this proposal is
based on the importance of the subject as well as the uniqueness of the Brazilian market. As for originality, the
great majority of previous studies regarding credit rating have been developed in the US, UK and Australia;
therefore the effect on other markets is still unclear, especially in emerging markets, like Brazil. We’ve used a
Generalized Estimating Equations (GEE) model considering a panel structure with a categorical dependent
variable (credit rating) and ten independent variables: leverage, profitabilit y, size, financial coverage, growth,
liquidity, corporate governance, control, financial market performance and internationalization. The sample
consisted of 153 rating observations during the period of 1997-2011 for a total of 49 public firms operating in the
Brazilian Market. Results showed that leverage and internationalization are significant at the 1% level in
explaining credit rating. Performance in the financial market was significant at a 5% level; profitability and
growth were also statistically significant, but at a 10% significance level.
Key words: credit rating; determinants; Brazil.
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