Analysis of Risk and Mispricing Hypotheses of Accruals: Evidence from Brazil
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 nonfinancial companies listed in B3. To reach the objective, the portfolio methodology, asset...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Fundação Escola de Comércio Álvares Penteado
2019-11-01
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| Series: | Revista Brasileira de Gestão De Negócios |
| Subjects: | |
| Online Access: | https://rbgn.fecap.br/RBGN/article/view/3969/pdf |
| _version_ | 1818999352318754816 |
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| author | Vinícius Gomes Martins Paulo Aguiar do Monte Márcio André Veras Machado |
| author_facet | Vinícius Gomes Martins Paulo Aguiar do Monte Márcio André Veras Machado |
| author_sort | Vinícius Gomes Martins |
| collection | DOAJ |
| 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 nonfinancial
companies listed in B3. To reach the objective, the portfolio
methodology, asset pricing models were used, and two-stage crosssectional
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. |
| first_indexed | 2024-12-20T22:16:03Z |
| format | Article |
| id | doaj.art-c8f56b6c51a44fe8b17643257abba8d1 |
| institution | Directory Open Access Journal |
| issn | 1806-4892 1983-0807 |
| language | English |
| last_indexed | 2024-12-20T22:16:03Z |
| publishDate | 2019-11-01 |
| publisher | Fundação Escola de Comércio Álvares Penteado |
| record_format | Article |
| series | Revista Brasileira de Gestão De Negócios |
| spelling | doaj.art-c8f56b6c51a44fe8b17643257abba8d12022-12-21T19:25:03ZengFundação Escola de Comércio Álvares PenteadoRevista Brasileira de Gestão De Negócios1806-48921983-08072019-11-01211169186doi.org/10.7819/rbgn.v21i1.3969Analysis of Risk and Mispricing Hypotheses of Accruals: Evidence from BrazilVinícius Gomes Martins0Paulo Aguiar do Monte1Márcio André Veras Machado2Federal University of Pernambuco, Postgraduate Program in Accounting, Recife, BrazilUniversidade Federal de Pernambuco, Postgraduate Program in Accounting, Recife, BrazilUniversidade Federal de Pernambuco, Postgraduate Program in Accounting, Recife, BrazilPurpose – 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 nonfinancial companies listed in B3. To reach the objective, the portfolio methodology, asset pricing models were used, and two-stage crosssectional 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.https://rbgn.fecap.br/RBGN/article/view/3969/pdfAccruals. Mispricing. Risk Factor |
| spellingShingle | Vinícius Gomes Martins Paulo Aguiar do Monte Márcio André Veras Machado Analysis of Risk and Mispricing Hypotheses of Accruals: Evidence from Brazil Revista Brasileira de Gestão De Negócios Accruals. Mispricing. Risk Factor |
| title | 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_short | Analysis of Risk and Mispricing Hypotheses of Accruals: Evidence from Brazil |
| title_sort | analysis of risk and mispricing hypotheses of accruals evidence from brazil |
| topic | Accruals. Mispricing. Risk Factor |
| url | https://rbgn.fecap.br/RBGN/article/view/3969/pdf |
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