International Journal of Management, Accounting and Economics
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Volume 4, No. 5, May 2017 Pages: 443 - 485
Accounting Information and Stock Returns: Evidences from Brazil
Luciana Linhares de Andrade , Nelson Seixas dos Santos
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In this work it was proposed to explore the relation between accounting information of Brazilian corporations and the return of their stocks. The approaches explored was the informational content and the semi-strong form of market efficiency as presented by (Fama, 1970). The sample contemplated data of 211 companies listed on BM&FBOVESPA. The accounting variables used was current liquidity, earnings per share and book value per share, and the period selected was between the second quarter of 2005 and the fourth quarter of 2015. The empirical strategy chosen was to perform econometric tests in a panel data structure, and collate results with a vector autoregressive analysis and temporal precedence tests. Besides the empirical approach, it was presented the characteristics of Capital Markets-Based Accounting Research and the state of arts of this branch in Brazil. Results had pointed to the validity of the semi-strong form of market efficiency. However, the totally disconnection between variables may characterize a capital market that agents had no confidence in the financial information provided by companies, once was evidenced that variables had no informational content. It may reflect the way Brazilian capital market is organized, with the existence of country-factors as bank-oriented funding system, continental model and the tendency of accounting of being taxes-oriented as brought by (Ali & Hwang, 2000).
Accounting information, Capital market, Market efficiency, Informational Content.
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