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| Format: | Artículo científico |
| Language: | en |
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Associação Nacional de Pós-Graduação e Pesquisa em Administração
2012
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| Online Access: | https://www.redalyc.org/articulo.oa?id=84123767004 |
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| _version_ | 1866814460274933760 |
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| author | César Medeiros Cupertino |
| author_facet | César Medeiros Cupertino |
| contents | Accrual Anomaly in the Brazilian Capital Market César Medeiros Cupertino Antônio Lopo Martinez Newton Carneiro Affonso da Costa Jr. Administración y Contabilidad Accrual anomaly earnings quality persistence of accruals This paper analyzes the phenomenon known as accrual anomaly in Brazil. In particular, we examine two hypotheses: (a) that the earnings expectation included in the stock price fails to reflect the difference in persistence of the earnings components (accruals and cash flows); and (b) that the construction of a hedge portfolio by taking a long (short) position in assets with low (high) accruals generates consistently abnormal returns. The data set includes nonfinancial firms listed on the BM&FBOVESPA between 1990 and 2008. The empirical tests required conducting panel data regressions to identify the persistence of earnings and their components; the Mishkin test to identify whether the market rationally prices earnings; and the composition of a zero-investment (hedge) portfolio to analyze whether a trading strategy based on accruals consistently provides abnormal positive returns. The results indicate that the accrual component is not mispriced by the Brazilian market, and that a trading strategy based on accruals does not provide consistently positive returns. Although this evidence does not encourage arbitrage, the results are relevant from various perspectives. The methodology applied permitted identifying the quality of earnings and of their components, as well as association between the components of earnings and returns. 2012 artículo científico 1807-7692 https://www.redalyc.org/articulo.oa?id=84123767004 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.4 Vol.9 |
| format | Artículo científico |
| id | redalyc_84123767004 |
| language | en |
| publishDate | 2012 |
| publisher | Associação Nacional de Pós-Graduação e Pesquisa em Administração |
| spellingShingle | Accrual Anomaly in the Brazilian Capital Market César Medeiros Cupertino Administración y Contabilidad Accrual anomaly earnings quality persistence of accruals Accrual Anomaly in the Brazilian Capital Market César Medeiros Cupertino Antônio Lopo Martinez Newton Carneiro Affonso da Costa Jr. Administración y Contabilidad Accrual anomaly earnings quality persistence of accruals This paper analyzes the phenomenon known as accrual anomaly in Brazil. In particular, we examine two hypotheses: (a) that the earnings expectation included in the stock price fails to reflect the difference in persistence of the earnings components (accruals and cash flows); and (b) that the construction of a hedge portfolio by taking a long (short) position in assets with low (high) accruals generates consistently abnormal returns. The data set includes nonfinancial firms listed on the BM&FBOVESPA between 1990 and 2008. The empirical tests required conducting panel data regressions to identify the persistence of earnings and their components; the Mishkin test to identify whether the market rationally prices earnings; and the composition of a zero-investment (hedge) portfolio to analyze whether a trading strategy based on accruals consistently provides abnormal positive returns. The results indicate that the accrual component is not mispriced by the Brazilian market, and that a trading strategy based on accruals does not provide consistently positive returns. Although this evidence does not encourage arbitrage, the results are relevant from various perspectives. The methodology applied permitted identifying the quality of earnings and of their components, as well as association between the components of earnings and returns. 2012 artículo científico 1807-7692 https://www.redalyc.org/articulo.oa?id=84123767004 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.4 Vol.9 |
| title | Accrual Anomaly in the Brazilian Capital Market |
| topic | Administración y Contabilidad Accrual anomaly earnings quality persistence of accruals |
| url | https://www.redalyc.org/articulo.oa?id=84123767004 |