出版社：Associação Nacional de Pós-Graduação e Pesquisa em Administração
摘要：The equity market value is analogous to a call option on the firm’s assets, contingent on the debt liquidation. This approach is based on the Firm Theory proposed by Merton (1974) and allows us to estimate the default probability that is implicit in the stock price using the Black & Scholes (1973) model. This article intends toanalyze the results of this methodology in the Brazilian stock market. We selected a sample of companies that have shares traded actively in the BOVESPA and credit ratings from Moody’s and or Standard & Poor’s. We estimated default probabilities for the sample companies using the Black&Scholes – Merton Model, compared them with the Moody’s mortality rates and associated them with ratings. Stock market analysts use fundamentalist information to estimate stock intrinsic value and rating agencies use the same kind of informationto build credit quality opinion. In general the credit quality derived by both methodologists should converge in most cases. Our results show that in most cases agencies credit ratings and ratings estimated by the stock prices are coincident.
