Temporary relationship between quarterly earnings and stock return in Brazil
Autor(a) principal: | |
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Data de Publicação: | 2019 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | por eng |
Título da fonte: | Revista Catarinense da Ciência Contábil (Online) |
Texto Completo: | https://revista.crcsc.org.br/index.php/CRCSC/article/view/2806 |
Resumo: | The objective of this study is to analyze the time series properties of quarterly accounting earnings and their relationship with the stock price (return) in Brazilian companies with shares in the Ibovespa from 2010 to 2016, after adoption of IFRS. Thus, of the 58 companies with shares active on the date of collection, 48 companies were analyzed, since those companies with no information in those years were withdrawn, totaling 1624 observations. For that multivariate model of time series of autoregressive vectors (VAR) was used and tests were applied to time series analyzed in order to verify their properties. The research findings pointed out that there is no long-term relationship and nor causality between quarterly earnings and stock returns in the companies studied. In addition, it has been observed that return is more sensitive to changes in quarterly earnings than the reverse. By decomposing the variance of the forecast errors of average earnings and average stock return, the results showed a direction of causality toward quarterly earnings for stock returns. The impulse-response function also allowed us to observe that stock return is more influenced by earnings shocks than the opposite, showing a short-term adjustment. |
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Revista Catarinense da Ciência Contábil (Online) |
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Temporary relationship between quarterly earnings and stock return in BrazilRelacionamento temporal entre lucros trimestrais e retorno das ações no BrasilLucros Contábeis TrimestraisPreço das AçõesSéries Temporais.Quarterly Accounting EarningsStock PriceTime series.The objective of this study is to analyze the time series properties of quarterly accounting earnings and their relationship with the stock price (return) in Brazilian companies with shares in the Ibovespa from 2010 to 2016, after adoption of IFRS. Thus, of the 58 companies with shares active on the date of collection, 48 companies were analyzed, since those companies with no information in those years were withdrawn, totaling 1624 observations. For that multivariate model of time series of autoregressive vectors (VAR) was used and tests were applied to time series analyzed in order to verify their properties. The research findings pointed out that there is no long-term relationship and nor causality between quarterly earnings and stock returns in the companies studied. In addition, it has been observed that return is more sensitive to changes in quarterly earnings than the reverse. By decomposing the variance of the forecast errors of average earnings and average stock return, the results showed a direction of causality toward quarterly earnings for stock returns. The impulse-response function also allowed us to observe that stock return is more influenced by earnings shocks than the opposite, showing a short-term adjustment.Este estudo tem como objetivo analisar as propriedades de séries temporais dos lucros contábeis trimestrais e seu relacionamento com o preço (retorno) das ações nas empresas brasileiras com participações no Índice da Bolsa de Valores de São Paulo (Ibovespa) de 2010 a 2016, período após a adoção dos International Financial Reporting Standards (IFRS). Assim, das 58 empresas com ações ativas na data da coleta, foram analisadas 48 delas, uma vez que foram retiradas aquelas com ausência de informações nos referidos anos, totalizando, dessa forma, 1624 observações. Para isso, utilizou-se o modelo multivariado de séries temporais de vetores autorregressivos (VAR) e foram aplicados testes às séries temporais analisadas, a fim de verificar suas propriedades. Os achados da pesquisa apontaram que não há relação de longo prazo e nem causalidade entre os lucros trimestrais e o retorno das ações nas empresas estudadas. Além disso, foi observado que o retorno é mais sensível a mudanças nos lucros trimestrais do que o inverso. Por meio da decomposição da variância dos erros de previsão do lucro médio e do retorno médio, os resultados mostraram uma direção da causalidade no sentido de lucros trimestrais para retorno das ações. A função impulso-resposta permitiu observar, ainda, que o retorno é mais influenciado por choques do lucro do que o contrário, mostrando ajustamento a curto prazo.Conselho Regional de Contabilidade de Santa Catarina2019-04-23info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfapplication/pdfapplication/octet-streamhttps://revista.crcsc.org.br/index.php/CRCSC/article/view/280610.16930/2237-766220192806Revista Catarinense da Ciência Contábil; Vol. 18 (2019): RCCC; 1-16Revista Catarinense da Ciência Contábil; v. 18 (2019): RCCC; 1-162237-76621808-378110.16930/2237-76622019reponame:Revista Catarinense da Ciência Contábil (Online)instname:Conselho Regional de Contabilidade de Santa Catarina (CRCSC)instacron:CRCSCporenghttps://revista.crcsc.org.br/index.php/CRCSC/article/view/2806/2068https://revista.crcsc.org.br/index.php/CRCSC/article/view/2806/2069https://revista.crcsc.org.br/index.php/CRCSC/article/view/2806/2106Copyright (c) 2019 REVISTA CATARINENSE DA CIÊNCIA CONTÁBILhttps://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessAlvarenga, Franciane de OliveiraMello, Leila BatistaVeloso, Manoel Vitor de SouzaMacedo, Marcelo Alvaro da Silva2023-07-21T16:02:35Zoai:ojs.pkp.sfu.ca:article/2806Revistahttp://www.atena.org.br/revista/ojs-2.2.3-06/index.php/crcscPRIhttp://revista.crcsc.org.br/revista/ojs-2.2.3-06/index.php/CRCSC/oai||revista@crcsc.org.br2237-76621808-3781opendoar:2023-07-21T16:02:35Revista Catarinense da Ciência Contábil (Online) - Conselho Regional de Contabilidade de Santa Catarina (CRCSC)false |
dc.title.none.fl_str_mv |
Temporary relationship between quarterly earnings and stock return in Brazil Relacionamento temporal entre lucros trimestrais e retorno das ações no Brasil |
title |
Temporary relationship between quarterly earnings and stock return in Brazil |
spellingShingle |
Temporary relationship between quarterly earnings and stock return in Brazil Alvarenga, Franciane de Oliveira Lucros Contábeis Trimestrais Preço das Ações Séries Temporais. Quarterly Accounting Earnings Stock Price Time series. |
title_short |
Temporary relationship between quarterly earnings and stock return in Brazil |
title_full |
Temporary relationship between quarterly earnings and stock return in Brazil |
title_fullStr |
Temporary relationship between quarterly earnings and stock return in Brazil |
title_full_unstemmed |
Temporary relationship between quarterly earnings and stock return in Brazil |
title_sort |
Temporary relationship between quarterly earnings and stock return in Brazil |
author |
Alvarenga, Franciane de Oliveira |
author_facet |
Alvarenga, Franciane de Oliveira Mello, Leila Batista Veloso, Manoel Vitor de Souza Macedo, Marcelo Alvaro da Silva |
author_role |
author |
author2 |
Mello, Leila Batista Veloso, Manoel Vitor de Souza Macedo, Marcelo Alvaro da Silva |
author2_role |
author author author |
dc.contributor.author.fl_str_mv |
Alvarenga, Franciane de Oliveira Mello, Leila Batista Veloso, Manoel Vitor de Souza Macedo, Marcelo Alvaro da Silva |
dc.subject.por.fl_str_mv |
Lucros Contábeis Trimestrais Preço das Ações Séries Temporais. Quarterly Accounting Earnings Stock Price Time series. |
topic |
Lucros Contábeis Trimestrais Preço das Ações Séries Temporais. Quarterly Accounting Earnings Stock Price Time series. |
description |
The objective of this study is to analyze the time series properties of quarterly accounting earnings and their relationship with the stock price (return) in Brazilian companies with shares in the Ibovespa from 2010 to 2016, after adoption of IFRS. Thus, of the 58 companies with shares active on the date of collection, 48 companies were analyzed, since those companies with no information in those years were withdrawn, totaling 1624 observations. For that multivariate model of time series of autoregressive vectors (VAR) was used and tests were applied to time series analyzed in order to verify their properties. The research findings pointed out that there is no long-term relationship and nor causality between quarterly earnings and stock returns in the companies studied. In addition, it has been observed that return is more sensitive to changes in quarterly earnings than the reverse. By decomposing the variance of the forecast errors of average earnings and average stock return, the results showed a direction of causality toward quarterly earnings for stock returns. The impulse-response function also allowed us to observe that stock return is more influenced by earnings shocks than the opposite, showing a short-term adjustment. |
publishDate |
2019 |
dc.date.none.fl_str_mv |
2019-04-23 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://revista.crcsc.org.br/index.php/CRCSC/article/view/2806 10.16930/2237-766220192806 |
url |
https://revista.crcsc.org.br/index.php/CRCSC/article/view/2806 |
identifier_str_mv |
10.16930/2237-766220192806 |
dc.language.iso.fl_str_mv |
por eng |
language |
por eng |
dc.relation.none.fl_str_mv |
https://revista.crcsc.org.br/index.php/CRCSC/article/view/2806/2068 https://revista.crcsc.org.br/index.php/CRCSC/article/view/2806/2069 https://revista.crcsc.org.br/index.php/CRCSC/article/view/2806/2106 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2019 REVISTA CATARINENSE DA CIÊNCIA CONTÁBIL https://creativecommons.org/licenses/by/4.0 info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2019 REVISTA CATARINENSE DA CIÊNCIA CONTÁBIL https://creativecommons.org/licenses/by/4.0 |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/pdf application/octet-stream |
dc.publisher.none.fl_str_mv |
Conselho Regional de Contabilidade de Santa Catarina |
publisher.none.fl_str_mv |
Conselho Regional de Contabilidade de Santa Catarina |
dc.source.none.fl_str_mv |
Revista Catarinense da Ciência Contábil; Vol. 18 (2019): RCCC; 1-16 Revista Catarinense da Ciência Contábil; v. 18 (2019): RCCC; 1-16 2237-7662 1808-3781 10.16930/2237-76622019 reponame:Revista Catarinense da Ciência Contábil (Online) instname:Conselho Regional de Contabilidade de Santa Catarina (CRCSC) instacron:CRCSC |
instname_str |
Conselho Regional de Contabilidade de Santa Catarina (CRCSC) |
instacron_str |
CRCSC |
institution |
CRCSC |
reponame_str |
Revista Catarinense da Ciência Contábil (Online) |
collection |
Revista Catarinense da Ciência Contábil (Online) |
repository.name.fl_str_mv |
Revista Catarinense da Ciência Contábil (Online) - Conselho Regional de Contabilidade de Santa Catarina (CRCSC) |
repository.mail.fl_str_mv |
||revista@crcsc.org.br |
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