Persistência E Relevância Dos Accruals: Evidências Do Mercado De Capitais Brasileiro

Abstract

ResumoEste trabalho tem como objetivo principal analisar a persistência e a relevância dos accruals, bem como a existência da anomalia dos accruals no mercado de capitais brasileiro. Para isso, o presente estudo é conduzido por três hipóteses de pesquisa: (i) os accruals são menos persistentes que os fluxos de caixa na explicação dos lucros futuros; (ii) o mercado não reconhece corretamente as informações contidas nos accruals; e (iii) é possível obter retornos extraordinários, tomando como estratégia de investimento a magnitude dos níveis de accruals. A amostra foi composta por todas as empresas não financeiras, com ações negociadas na Bolsa de Valores de São Paulo (BMF&BOVESPA), no período de 1º de janeiro de 1995 a 31 de dezembro de 2011. Os resultados indicaram que o coeficiente estimado da persistência dos accruals apresentou-se menor do que o coeficiente do fluxo de caixa, sustentando, assim, a primeira hipótese de pesquisa. Na segunda parte da pesquisa, constatou-se que o mercado apreça corretamente o componente accruals do lucro, uma vez que há uma relação positiva e estatisticamente significativa entre os accruals e os retornos futuros das ações, o que não era esperado. Por fim, os resultados encontrados na terceira hipótese sustentam a não existência da anomalia dos accruals no mercado brasileiro, pois as carteiras de hedge foram positivas em apenas cinco dos 15 anos investigados. Os resultados obtidos neste trabalho podem fomentar o estabelecimento de políticas para diminuição da assimetria informacional, impossibilitando a transferência indevida de riqueza para empresas com baixa qualidade dos lucros.

Analysis of the relationship between temporal and behavioral aspects of the analyst's forecasting accuracy

“…We emphasize that the anchoring was obtained considering past earnings per share and future earnings per share, as used in the literature (Amir & Ganzach, 1998;Marsden et al, 2008;Campbell & Sharpe, 2009;Kratz, 2016;Silva Filho, et al, 2018;Ashour & Hao, 2019), whose result was positive with the analysts' accuracy, contrary to what was theoretically expected. However, we understand that past earnings tend to be a natural predictor of future earnings, based on reasons exposed by research on earnings management and smoothing, so that a positive relationship between analysts' accuracy and anchoring can be justified.…”

“…Given this context, and considering the seminal work of Simon (1955), which discusses concepts of bounded rationality and simplifying approaches to rationality, some research has sought to observe the relationship between behavioral biases and analysts' accuracy, such as: a) optimism (Gervais & Odean, 2001;Kafayat, 2014;Galanti & Vaubourg, 2017); b) overconfidence (Gervais, Heaton & Odean, 2002;Hilary & Menzly, 2006;Du & Budescu, 2018); c) anchoring (Brown, 2001;Campbell & Sharpe, 2009;Silva Filho, Miranda, Lucena & Machado, 2018); d) representativeness (Marsden, Veeraraghavan & Ye, 2008); e) time (Amiran, Landsman, Ownes & Stubben, 2017;Muslu, Mutlu, Radhakrishnan & Tsang, 2019), etc. Despite this research, Brauer and Wiersema (2018) state that research with analysts is still far from maturity and, in fact, holds strong promise for future growth, as we do not have a coherent understanding of the extent and nature of the various influences of analysts in executive and investor decision making and the context in which analysts operate.…”

Accruals mispricing versus risk: Analyzing the influence of external monitoring in Brazil

“…Empirical evidence on the accruals anomaly in the Brazilian market is still inconclusive. While some studies point to weak evidence or even no evidence at all (Cupertino et al., 2012; Silva Filho & Machado, 2013; Takamatsu & Fávero, 2013), more recent studies have presented results that suggest the existence of an accruals anomaly for firms listed on the Brazilian Stock Market (Moreira et al., 2019; Martins et al., 2019). However, considering the characteristics of an emerging economy like Brazil, we believe the evidence can become clearer by controlling for factors related to corporate governance.…”

“…(2012) analyzed the existence of the accruals anomaly in Brazil and found no evidence of the occurrence of such a phenomenon. In similar studies, Takamatsu and Fávero (2013) and Silva Filho and Machado (2013) concluded that no significant abnormal returns were achieved in an accrual‐based investment strategy, indicating that investors in Brazil were able to correctly interpret and price accounting data. In a more recent study using post‐IFRS data, Martins et al.…”