Analysis of Risk and Mispricing Hypotheses of Accruals: Evidence from Brazil

Detalhes bibliográficos
Autor(a) principal: Martins, Vinícius Gomes
Data de Publicação: 2018
Outros Autores: do Monte, Paulo Aguiar, Machado, Márcio André Veras
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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spelling 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:2021-07-21T16:00:47Revista Brasileira de Gestão de Negócios (Online) - Fundação Escola de Comércio Álvares Penteado (FECAP)false
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
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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
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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
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