The smoothing hypothesis, stock returns and risk in Brazil
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| Format: | Artículo científico |
| Language: | en |
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Associação Nacional de Pós-Graduação e Pesquisa em Administração
2011
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| _version_ | 1876423700832583680 |
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| author | Antonio Lopo Martinez |
| author_facet | Antonio Lopo Martinez |
| contents | The smoothing hypothesis, stock returns and risk in Brazil Antonio Lopo Martinez Miguel Angel Rivera Castro Administración y Contabilidad risk abnormal return Income smoothing portfolio selection Income smoothing is defined as the deliberate normalization of income in order to reach a desired trend. If the smoothing causes more information to be reflected in the stock price, it is likely to improve the allocation of resources and can be a critical factor in investment decisions. This study aims to build metrics to determine the degree of smoothing in Brazilian public companies, to classify them as smoothing and non-smoothing companies and additionally to present evidence on the long-term relationship between the smoothing hypothesis and stock return and risk. Using the Economatica and CVM databases, this study focuses on 145 companies in the period 1998-2007. We find that Brazilian smoothers have a smaller degree of systemic risk than non-smoothers. In average terms, the beta of smoothers is significantly lower than non-smoothers. Regarding return, we find that the abnormal annualized returns of smoothers are significantly higher. We confirm differences in the groups by nonparametric and parametric tests in cross section or as time series, indicating that there is a statistically significant difference in performance in the Brazilian market between firms that do and do not engage in smoothing. 2011 artículo científico 1807-7692 https://www.redalyc.org/articulo.oa?id=84117299002 en http://www.redalyc.org/revista.oa?id=841 BAR - Brazilian Administration Review application/pdf Associação Nacional de Pós-Graduação e Pesquisa em Administração BAR - Brazilian Administration Review (Brasil) Num.1 Vol.8 |
| format | Artículo científico |
| id | redalyc_84117299002 |
| institution | Redalyc |
| language | en |
| publishDate | 2011 |
| publisher | Associação Nacional de Pós-Graduação e Pesquisa em Administração |
| spellingShingle | The smoothing hypothesis, stock returns and risk in Brazil Antonio Lopo Martinez Administración y Contabilidad risk abnormal return Income smoothing portfolio selection The smoothing hypothesis, stock returns and risk in Brazil Antonio Lopo Martinez Miguel Angel Rivera Castro Administración y Contabilidad risk abnormal return Income smoothing portfolio selection Income smoothing is defined as the deliberate normalization of income in order to reach a desired trend. If the smoothing causes more information to be reflected in the stock price, it is likely to improve the allocation of resources and can be a critical factor in investment decisions. This study aims to build metrics to determine the degree of smoothing in Brazilian public companies, to classify them as smoothing and non-smoothing companies and additionally to present evidence on the long-term relationship between the smoothing hypothesis and stock return and risk. Using the Economatica and CVM databases, this study focuses on 145 companies in the period 1998-2007. We find that Brazilian smoothers have a smaller degree of systemic risk than non-smoothers. In average terms, the beta of smoothers is significantly lower than non-smoothers. Regarding return, we find that the abnormal annualized returns of smoothers are significantly higher. We confirm differences in the groups by nonparametric and parametric tests in cross section or as time series, indicating that there is a statistically significant difference in performance in the Brazilian market between firms that do and do not engage in smoothing. 2011 artículo científico 1807-7692 https://www.redalyc.org/articulo.oa?id=84117299002 en http://www.redalyc.org/revista.oa?id=841 BAR - Brazilian Administration Review application/pdf Associação Nacional de Pós-Graduação e Pesquisa em Administração BAR - Brazilian Administration Review (Brasil) Num.1 Vol.8 |
| title | The smoothing hypothesis, stock returns and risk in Brazil |
| topic | Administración y Contabilidad risk abnormal return Income smoothing portfolio selection |
| url | https://www.redalyc.org/articulo.oa?id=84117299002 |