A research about the profile of the brazilian stocks which react to the publication of accounting results

• Autor(a) principal: Sarlo Neto, Alfredo
• Data de Publicação: 2009
• Outros Autores: Galdi, Fernando Caio, Dalmácio, Flávia Zóboli
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: Revista de contabilidade e organizações
• Texto Completo: https://www.revistas.usp.br/rco/article/view/34739
• topic: relevância da contabilidade; retorno anormal; MANOVA; relevance of Accounting; abnormal returns; MANOVA

This work studies the influence of some characteristics on the reaction of stocks prices to the disclosure of accounting information. The research seeks to verify whether the average of the abnormal returns of the stocks is sensitive to the following characteristics: kind of stock, rules, stock control and liquidity. It was used as methodology MANOVA statistics technique. The analyzed sample was composed by stocks negotiated in BOVESPA (São Paulo Stock Market), in the period from 1995 to 2002. The results indicate that the average of abnormal returns is sensitive to stock control and liquidity. However, the found evidence must be analyzed under restrictions as the studied sample did not reach some assumptions demanded by the used statistical technique (MANOVA). Based on the found results, some proposals for new research can appear, in order to find fresh evidence about the influence of market characteristics over the reaction of prices to the accounting information disclosure. Among the suggestions, there are: the expansion of the event window, in order to analyze the influence of the characteristics on periods larger than three months; the study of other characteristics, beyond the ones studied by this research and the application of other statistic techniques, such as the cluster and the logistic regression.