Indicadores contábeis, ambiente informacional de mercados emergentes e retorno das ações

Abstract

The thesis aim was to assess how variables calculated from financial statements affect stock return (such as Price-to-Book, Accruals, Investments, Size, Gross Profit, and Sales Changes). The research also investigates whether firms' economic and institutional environments affect this relationship in emerging countries. We have investigated listed companies in 20 markets that are classified as emerging in Standard & Poor's index. Financial statement data were collected from the Capital IQ database. We also have collected macroeconomic information from the International Country Risk Guide. The sample comprised data from 2004 to 2013. Firms with missing data, outliers, and those with negative equity were excluded. The results showed that the variables Gross Profit and Price-to-Book were positively correlated with stock returns. On the other hand, Investment and Size were statistically significant and negatively correlated to returns. All variables reached the expected sign except Price-to-Book. Further research is needed to understand this result and determine if this signal is systematically achieved. We used principal component analysis to estimate macroeconomic risk and to address problems related to excess variables and multicollinearity. Four main factors were reached in principal component analysis to control the macroeconomic conditions that could affect stock prices during the period. In this way, even after the inclusion of factors, variables calculated from financial statements remained statistically significant and with expected signs. After analyzing variables related to the country's information environment it was sugested that the more opaque the accounting environment in the country, the lower the ability of earnings to portray variations in stock returns. The legal origin of the country also significantly influenced the results: Countries that follow laws originating from the French code has the weakest explanatory power. This finding supports the argument of La Porta et al. (1998, 1997) that such countries has the weakest legal protection and enforcement, compared with the German code or common law. The results also suggest that the relation between the adoption of international accounting standards and the ability of accounting information to portray variations in stock returns.

PESTAL: uma análise das variáveis macroambientais e suas relações com indicadores setoriais de retorno do investimento

“…As limitações inerentes à contabilidade devem ser consideradas para que as demonstrações produzam informações pertinentes às decisões dos seus diversos usuários (MARTINS;DINIZ;, caso contrário, tais limitações poderiam levar os usuários à tomada de decisões incorretas. Dentre as limitações cabíveis, Alves, Boechat (2011) e Takamatsu (2015) citam a influência do cenário externo, pois é relevante conhecer os impactos que o ambiente extrínseco, no qual a empresa está inserida, provoca na sua estrutura econômica e financeira. Nesse sentido, deve-se analisar o processo de relacionamento entre a empresa e o ambiente externo, bem como observar onde estão os fatores e variáveis não controláveis pelas organizações .…”