Análise do impacto idiossincrático do caso Americanas em fundos de investimento em renda fixa de crédito privado no Brasil

Abstract

This study evaluates the idiosyncratic impact of the Americanas case, materialized in the material fact disclosed on January 11, 2023, on Brazilian fixed-income private credit investment funds over the period from 2022 to 2024. The event study methodology is employed, constructing abnormal returns (AR) by adjusting fund returns to the CDI, used as the benchmark, and their aggregations into average abnormal returns (AAR) and cumulative average abnormal returns (CAAR) over the [-20, +60] window for two groups, top 10 and bottom 10, ranked by net asset value as of the last day of the sample. To test for a regime shift, mean ARs in the pre- [-60,-1] and post-event [+1, +60] windows are compared using Welch’s t-test. The results reveal an immediate negative shock in AR, with a statistically significant average drop for the top 10 group (p <0.01) and borderline statistical evidence for the bottom 10 group (p ≈ 0.056). The top 10 funds exhibit lower volatility, a shallower drawdown, better risk metrics, and more resilient f lows, suggesting that scale and diversification mitigate losses and speed up post-shock recovery. Limitations and possible extensions are discussed, such as the incorporation of additional events, strengthening the robustness of the sample, and using alternative reference indices. Finally, the results provide insights for investors, asset managers, and regulators, reinforcing the importance of sound mark-to-market practices, liquidity management, and governance.