In recent years, Enterprise Risk Management (ERM) has emerged a fundamental instrument for organizations, due to the increasing complexity of risks and the development of increasingly complete regulatory models. According to the generality of the available literature, which is still not very wide, ERM contributes to the improvement of the companies' performance. However, most of these studies focus on large organizations, belonging to the financial sector, and, according to the information available, there is no empirical evidence regarding the portuguese reality. This master's final assignment (MFA) has the main objective to study, for the time period from 2009 to 2018, the link between Enterprise Risk Management Framework and the value creation, as well as to find the determinants behind its adoption in 36 companies that are included in the PSI-All Share Index from Lisbon's Stock Exchange which are part of the financial and non-financial sector. For this purpose, a maximum likelihood treatment model was used. The results show an impact of, approximately, 50% on Tobin's Q, a common approach for value creation, due to the existence of ERM, when all other explanatory variables remain constant and there are no endogeneity problems. With regard to the determinants of the adoption of an ERM methodology, the companies' size and financial slack are factors that positively and significantly influence the choice of ERM. In reverse, the asset's opacity contributes negatively to this decision making.
|Date of Award
|10 Jul 2020
- Universidade Católica Portuguesa
|Ricardo Cunha (Supervisor) & João Novais (Co-Supervisor)
- Enterprise risk managementrial
- Value creation
- PSI all-share