Analysis of Risk and Mispricing Hypotheses of Accruals: Evidence from Brazil
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng por |
Título da fonte: | Revista Brasileira de Gestão de Negócios (Online) |
Texto Completo: | https://rbgn.fecap.br/RBGN/article/view/3969 |
Resumo: | Purpose – Analyze how the accruals pricing is configured in the brazilian stock market, that is, if it represents a market mispricing or a risk factor. Design/methodology/approach – We used a sample of non-financial companies listed in B3. To reach the objective, the portfolio methodology, asset pricing models were used, and two-stage cross-sectional regression (2SCSR) was used to test risk and mispricing hypotheses. Findings – The results obtained showed evidence of the accruals anomaly for the companies classified as small and that the evidence is stronger when evaluating the discretionary component. The two-stage cross-sectional regression analysis did not show that accruals represent a risk factor, suggesting that the evidence of anomaly obtained for discretionary accruals is caused by mispricing. Originality/value – Non-rejection of the accruals' mispricing assumption leads to the conclusion that stock prices of small firms are influenced by the accounting results disclosed and that managers, by having capital market and profit incentives related, can use accounting choices opportunists with the motivation to maximize their expected utility, that is, to influence the price of shares through the distortions in profits. |
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Analysis of Risk and Mispricing Hypotheses of Accruals: Evidence from BrazilAnálise das Hipóteses de Risco e Mispricing dos Accruals: Evidências do BrasilAccruals. Mispricing. Risk FactorAccruals. Mispricing. Fator de risco.Purpose – Analyze how the accruals pricing is configured in the brazilian stock market, that is, if it represents a market mispricing or a risk factor. Design/methodology/approach – We used a sample of non-financial companies listed in B3. To reach the objective, the portfolio methodology, asset pricing models were used, and two-stage cross-sectional regression (2SCSR) was used to test risk and mispricing hypotheses. Findings – The results obtained showed evidence of the accruals anomaly for the companies classified as small and that the evidence is stronger when evaluating the discretionary component. The two-stage cross-sectional regression analysis did not show that accruals represent a risk factor, suggesting that the evidence of anomaly obtained for discretionary accruals is caused by mispricing. Originality/value – Non-rejection of the accruals' mispricing assumption leads to the conclusion that stock prices of small firms are influenced by the accounting results disclosed and that managers, by having capital market and profit incentives related, can use accounting choices opportunists with the motivation to maximize their expected utility, that is, to influence the price of shares through the distortions in profits.Objetivo – Analisar como a precificação dos accruals se configura no mercado brasileiro, isto é, se representa um mispricing de mercado ou fator de risco precificável. Metodologia – Utilizou-se de uma amostra de empresas não financeiras listadas na B3. Para o alcance do objetivo, fez-se uso da metodologia de carteiras, modelos de precificação de ativos e, para testar as hipóteses de fator de risco e mispricing, utilizou-se uma metodologia de regressão em duas etapas (two-stage cross-sectional regression – 2SCSR). Resultados – Os resultados obtidos demonstraram evidências da anomalia dos accruals para as empresas classificadas como pequenas e que as evidências são mais fortes quando se avalia o componente discricionário. A análise de regressões em duas etapas não permitiu constatar que os accruals representam um fator de risco precificável, sugerindo que as evidências de anomalia obtidas para os accruals discricionários são provocadas por erro de precificação do mercado (mispricing). Contribuições – A não rejeição da hipótese do mispricing dos accruals leva a concluir que os preços das ações de empresas pequenas são influenciados pelos resultados contábeis divulgados e que os gestores, ao possuírem incentivos atrelados ao mercado de capitais e incentivos ligados aos lucros podem se utilizar das escolhas contábeis oportunistas com a motivação de maximizar a sua utilidade esperada, ou seja, influenciar o preço das ações por meio das distorções nos lucrosFECAP2018-12-21info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionAvaliado por paresapplication/pdfapplication/pdfhttps://rbgn.fecap.br/RBGN/article/view/396910.7819/rbgn.v21i1.3969Review of Business Management; Vol. 21 No. 1 (2019); 169-186RBGN Revista Brasileira de Gestão de Negócios; Vol. 21 Núm. 1 (2019); 169-186RBGN - Revista Brasileira de Gestão de Negócios; v. 21 n. 1 (2019); 169-1861983-08071806-4892reponame:Revista Brasileira de Gestão de Negócios (Online)instname:Fundação Escola de Comércio Álvares Penteado (FECAP)instacron:FECAPengporhttps://rbgn.fecap.br/RBGN/article/view/3969/pdfhttps://rbgn.fecap.br/RBGN/article/view/3969/pdf_1Copyright (c) 2018 Review of Business Managementinfo:eu-repo/semantics/openAccessMartins, Vinícius Gomesdo Monte, Paulo AguiarMachado, Márcio André Veras2021-07-21T16:00:47Zoai:ojs.emnuvens.com.br:article/3969Revistahttp://rbgn.fecap.br/RBGN/indexhttps://rbgn.fecap.br/RBGN/oai||jmauricio@fecap.br1983-08071806-4892opendoar:2024-03-06T13:03:47.746142Revista Brasileira de Gestão de Negócios (Online) - Fundação Escola de Comércio Álvares Penteado (FECAP)true |
dc.title.none.fl_str_mv |
Analysis of Risk and Mispricing Hypotheses of Accruals: Evidence from Brazil Análise das Hipóteses de Risco e Mispricing dos Accruals: Evidências do Brasil |
title |
Analysis of Risk and Mispricing Hypotheses of Accruals: Evidence from Brazil |
spellingShingle |
Analysis of Risk and Mispricing Hypotheses of Accruals: Evidence from Brazil Martins, Vinícius Gomes Accruals. Mispricing. Risk Factor Accruals. Mispricing. Fator de risco. |
title_short |
Analysis of Risk and Mispricing Hypotheses of Accruals: Evidence from Brazil |
title_full |
Analysis of Risk and Mispricing Hypotheses of Accruals: Evidence from Brazil |
title_fullStr |
Analysis of Risk and Mispricing Hypotheses of Accruals: Evidence from Brazil |
title_full_unstemmed |
Analysis of Risk and Mispricing Hypotheses of Accruals: Evidence from Brazil |
title_sort |
Analysis of Risk and Mispricing Hypotheses of Accruals: Evidence from Brazil |
author |
Martins, Vinícius Gomes |
author_facet |
Martins, Vinícius Gomes do Monte, Paulo Aguiar Machado, Márcio André Veras |
author_role |
author |
author2 |
do Monte, Paulo Aguiar Machado, Márcio André Veras |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Martins, Vinícius Gomes do Monte, Paulo Aguiar Machado, Márcio André Veras |
dc.subject.por.fl_str_mv |
Accruals. Mispricing. Risk Factor Accruals. Mispricing. Fator de risco. |
topic |
Accruals. Mispricing. Risk Factor Accruals. Mispricing. Fator de risco. |
description |
Purpose – Analyze how the accruals pricing is configured in the brazilian stock market, that is, if it represents a market mispricing or a risk factor. Design/methodology/approach – We used a sample of non-financial companies listed in B3. To reach the objective, the portfolio methodology, asset pricing models were used, and two-stage cross-sectional regression (2SCSR) was used to test risk and mispricing hypotheses. Findings – The results obtained showed evidence of the accruals anomaly for the companies classified as small and that the evidence is stronger when evaluating the discretionary component. The two-stage cross-sectional regression analysis did not show that accruals represent a risk factor, suggesting that the evidence of anomaly obtained for discretionary accruals is caused by mispricing. Originality/value – Non-rejection of the accruals' mispricing assumption leads to the conclusion that stock prices of small firms are influenced by the accounting results disclosed and that managers, by having capital market and profit incentives related, can use accounting choices opportunists with the motivation to maximize their expected utility, that is, to influence the price of shares through the distortions in profits. |
publishDate |
2018 |
dc.date.none.fl_str_mv |
2018-12-21 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Avaliado por pares |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://rbgn.fecap.br/RBGN/article/view/3969 10.7819/rbgn.v21i1.3969 |
url |
https://rbgn.fecap.br/RBGN/article/view/3969 |
identifier_str_mv |
10.7819/rbgn.v21i1.3969 |
dc.language.iso.fl_str_mv |
eng por |
language |
eng por |
dc.relation.none.fl_str_mv |
https://rbgn.fecap.br/RBGN/article/view/3969/pdf https://rbgn.fecap.br/RBGN/article/view/3969/pdf_1 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2018 Review of Business Management info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2018 Review of Business Management |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/pdf |
dc.publisher.none.fl_str_mv |
FECAP |
publisher.none.fl_str_mv |
FECAP |
dc.source.none.fl_str_mv |
Review of Business Management; Vol. 21 No. 1 (2019); 169-186 RBGN Revista Brasileira de Gestão de Negócios; Vol. 21 Núm. 1 (2019); 169-186 RBGN - Revista Brasileira de Gestão de Negócios; v. 21 n. 1 (2019); 169-186 1983-0807 1806-4892 reponame:Revista Brasileira de Gestão de Negócios (Online) instname:Fundação Escola de Comércio Álvares Penteado (FECAP) instacron:FECAP |
instname_str |
Fundação Escola de Comércio Álvares Penteado (FECAP) |
instacron_str |
FECAP |
institution |
FECAP |
reponame_str |
Revista Brasileira de Gestão de Negócios (Online) |
collection |
Revista Brasileira de Gestão de Negócios (Online) |
repository.name.fl_str_mv |
Revista Brasileira de Gestão de Negócios (Online) - Fundação Escola de Comércio Álvares Penteado (FECAP) |
repository.mail.fl_str_mv |
||jmauricio@fecap.br |
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1816702455310712832 |