Ensaios sobre liquidez, informação e preços no mercado brasileiro de debêntures

Resumo

This dissertation investigates the role of liquidity and information asymmetry in the Brazilian debenture market, combining two empirical essays on primary-market pricing and the prediction of future secondary-market liquidity. The first essay examines whether informational frictions associated with secondary-market liquidity and the distribution process affect the issuance spreads of primary debenture offerings. The analysis uses a dataset of public primary debenture offerings issued between 2017 and 2025 and combines ordinary least squares estimates, robustness checks, institutional evidence associated with CVM Resolution 160, two-stage instrumental-variable models, and a control-function approach based on Two-Stage Residual Inclusion. The results indicate that, for debentures indexed to DI and IPCA, higher ex ante liquidity of the issuer’s economic group in the secondary market is associated with lower primary-market spreads, with stronger evidence for extensive measures of trading presence. The effect is economically more pronounced in the IPCA segment, consistent with a greater relevance of informational frictions in longer-maturity issues. The fraction of the offering placed under firm commitment is also negatively associated with issuance spreads, in line with the certification hypothesis in the distribution process, although its interpretation remains conditional on deal selection and offering design. The regulatory evidence suggests that the removal of the initial lock-up under CVM Resolution 160 anticipated the tradability of debentures and, under the assumptions of the instrumental-variable models, reduced issuance costs. The second essay shifts the focus to the prediction of future liquidity. The empirical strategy combines contractual characteristics of the issue, past liquidity measures, financial fundamentals of the issuer or credit group, proxies for information quality, underwriter reputation, and macro-financial controls. Three families of classifiers (Logit, linear discriminant analysis, and XGBoost) are compared using binary targets of future liquidity defined over 6- and 12-month horizons. The predicted probabilities are then combined into a three-class operational score, A/M/B, which distinguishes issues with high, intermediate, and low propensity for future liquidity. The results show that information available at issuance has relevant predictive content, especially in the IPCA segment, and that the three-class score preserves operational usefulness by concentrating interpretation on the extreme classes. Taken together, the essays show that secondary-market liquidity is relevant both for the formation of primary-market spreads and for the prospective classification of debentures according to their propensity for future trading. The dissertation contributes to the literature on non-default components of corporate bond spreads, certification mechanisms, and liquidity prediction in over-the-counter debt markets.

Ficha do documento

Tipo

Tese

Ano

2026

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/41340

Temas

Economia

Palavras-chave

DebênturesAssimetria de informaçãoLiquidezSpreads de emissãoMercado primárioMercado secundárioCertificaçãoPrevisão financeiraClassificação supervisionadaCorporate bondsInformation asymmetryLiquidityIssuance spreadsPrimary marketSecondary marketFinancial predictionEconomiaDebêntureInformação assimétricaLiquidez (Economia)Previsão econômica