Efeito spillover da qualidade do lucro de pares no risco sistemático das empresas brasileiras
DOI:
https://doi.org/10.1590/Palavras-chave:
qualidade dos lucros, efeito spillover, empresas pares, risco sistemático, custo de capitalResumo
Este estudo objetiva analisar o efeito spillover da qualidade do lucro das empresas economicamente relacionadas sobre o risco sistemático das empresas do mercado acionário brasileiro. Embora o estudo do efeito spillover de aspectos do relatório financeiro sobre empresas relacionadas tenha sido foco de pesquisas internacionais recentes, o mesmo não se observa no Brasil. Ademais, segundo Xing e Yan (2019), a relação entre qualidade da informação contábil e o risco sistemático tem sido o tipo de pesquisa menos executada quando se observa os efeitos da informação contábil no custo de capital. Este estudo é relevante para reguladores contábeis, tendo em vista possível efeito de alastramento de suas normas; para investidores, considerando sua restrita capacidade de análise múltiplas empresas simultaneamente, para considerarem análise por amostra; para preparadores, para avaliarem suas práticas, tendo em vista a qualidade das empresas pares. Contribui-se com a literatura sobre regulação contábil, qualidade da informação contábil e custo de capital ao fornecer evidências do alcance dos efeitos da informação contábil e suas consequências econômicas. A qualidade dos lucros foi medida conforme Dechow e Dichev (2002) e Pae (2005). O risco sistemático foi mensurado pelo beta de mercado do modelo CAPM. Foram realizadas regressões em painel com dados de 2011 a 2022, com 2 amostras setoriais. O risco sistemático de uma empresa depende não só da qualidade do seu próprio lucro, mas também da qualidade do lucro dos seus pares, ou seja, há um efeito spillover no Brasil e sua magnitude é superior ao da qualidade do lucro da empresa. O risco sistemático da empresa está negativamente associado à qualidade do lucro de seus pares e à qualidade do seu lucro medida conforme Dechow e Dichev (2002); mas não quando medida conforme Pae (2005).
Downloads
Referências
Aboody, D., Hughes, J., & Liu, J. (2005). Earnings quality, insider trading, and cost of capital. Journal of Accounting Research, 43(5), 651-673. https://www.jstor.org/stable/3542452
Admati, A., & Pfleiderer, P. (2000). Forcing firms to talk: Financial disclosure regulation and externalities. Review of Financial Studies, 13(3), 479-519. https://www.jstor.org/stable/2645994
Ali, U., & Hirshleifer, D. (2020). Shared analyst coverage: Unifying momentum spillover effects. Journal of Financial Economics, 136(3), 649-675. https://doi.org/10.1016/j.jfineco.2019.10.007
Amorim, A. L. G. C., Lima, I. S., & Murcia, F. D. R. (2012). Análise da relação entre as informações contábeis e o risco sistemático no mercado brasileiro. Revista Contabilidade & Finanças, 23, 199-211. https://doi.org/10.1590/S1519-70772012000300005
Ashbaugh-Skaife, H., Collins, D. W., Kinney, W. R., Jr., & LaFond, R. (2009). The effect of SOX internal control deficiencies on firm risk and cost of equity. Journal of Accounting Research, 47(1), 1-43. https://doi.org/10.1111/j.1475-679X.2008.00315.x
Baginski, S. P., & Hinson, L. A. (2016). Cost of capital free-riders. The Accounting Review, 91(5), 1291-1313. https://doi.org/10.2308/accr-51379
Baker, M., Wurgler, J. (2006). Investor sentiment and the cross-section of market returns. Journal of Finance, 61(4), 1645-1680. https://doi.org/10.1111/j.1540-6261.2006.00885.x
Ball, R., & Brown, P. (1968). An empirical evaluation of accounting income numbers. Journal of Accounting Research, 6(2), 159-178. https://doi.org/10.2307/2490232
Bauckloh, T., Hardeck, I., Inger, K. K., Wittenstein, P., & Zwergel, B. (2021). Spillover effects of tax avoidance on peers’ firm value. The Accounting Review, 96(4), 51-79. https://doi.org/10.2308/TAR-2018-0441
Beatty, A., Liao, S., & Yu, J. J. (2013). The spillover effect of fraudulent financial reporting on peer firms’ investments. Journal of Accounting and Economics, 55(2-3), 183-205. https://doi.org/10.1016/j.jacceco.2013.01.003
Beaver, W. H. (1968). The information content of annual earnings announcements. Journal of Accounting Research, 6(1), 67-92. https://doi.org/10.2307/2490070
Beaver, W., Kettler, P., & Scholes, M. (1970). The association between market determined and accounting determined risk measures. The Accounting Review, 45(4), 654-682. https://doi.org/10.2307/2979035
Bradshaw, M. T, Miller, G., & Serafeim, G. (2009). Accounting method heterogeneity and analysts’ forecasts (Unpublished Paper). Harvard Business School; University of Chicago; University of Michigan.
Breuer, M., Hombach, K., & Müller, M. A. (2022). When you talk, I remain silent: Spillover effects of peers’ mandatory disclosures on firms’ voluntary disclosures. The Accounting Review, 97(4), 155-186. https://doi.org/10.2308/TAR-2019-0433
Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82. https://doi.org/10.2307/2329556
Cho, E., Kim, J., & Kim, S. (2020). Spillover effect of regulatory accounting inspections on accounting quality of peer companies. Managerial Auditing Journal, 35(5), 685-704. https://doi.org/10.1108/MAJ-07-2018-1924
Clinch, G. J., & Sinclair, N. A. (1987). Intra-industry information releases: A recursive systems approach. Journal of Accounting and Economics, 9(1), 89-106. https://doi.org/10.1016/0165-4101(87)90018-8
Cohen, L., & A. Frazzini. (2008). Economic links and predictable returns. Journal of Finance, 63(4), 1977-2011. https://doi.org/10.1111/j.1540-6261.2008.01379.x
Damodaran, A. (1994). Damodaran on valuation. John Wiley and Sons.
Dechow, P. M., & Dichev, I. D. (2002). The quality of accruals and earnings: The role of accrual estimation errors. The Accounting Review, 77, 35-59. https://dx.doi.org/10.2139/ssrn.277231
Dechow, P. M., Ge, W., & Schrand, C. (2010). Understanding earnings quality: A review of the proxies, their determinants and their consequences. Journal of Accounting and Economics, 50(2-3), 344-401. https://dx.doi.org/10.2139/ssrn.1485858
Dechow, P. M., Sloan, R. G., & Sweeney, A. P. (1995). Detecting earnings management. The Accounting Review, 70(2), 193-225. https://www.jstor.org/stable/248303
Donelson, D. C., Flam, R. W., & Yust, C. G. (2022). Spillover effects in disclosure-related securities litigation. The Accounting Review, 97(5), 275-299. https://doi.org/10.2308/TAR-2020-0386
Dunn, K., & Nathan, S. (2005). Analyst industry diversification and earnings forecast accuracy. The Journal of Investing, 14(2), 7-14. https://doi.org/10.3905/joi.2005.517169
Durnev, A., & Mangen, C. (2020). The spillover effects of MD&A disclosures for real investment: The role of industry competition. Journal of Accounting and Economics, 70(1), 101299. https://doi.org/10.1016/j.jacceco.2020.101299
Dye, R. (1990). Mandatory versus voluntary disclosures: The cases of financial and real externalities. The Accounting Review, 65(1), 1-24. https://www.jstor.org/stable/247874
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics. 33(1), 3-56. https://doi.org/10.1016/0304-405X(93)90023-5
Fama, E. F., & French, K. R. (1997). Industry costs of equity. Journal of Financial Economics, 43(2), 153-193. https://doi.org/10.1016/S0304-405X(96)00896-3
Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116, 1-22. https://doi.org/10.1016/j.jfineco.2014.10.010
Foster, G. (1980). Externalities and financial reporting. Journal of Finance, 35(2), 521-533. https://doi.org/10.2307/2327412
Foster, G. (1981). Intra-industry information transfers associated with earnings releases. Journal of Accounting and Economics, 3(3), 201-232. https://doi.org/10.1016/0165-4101(81)90003-3
Francis, J., Nanda, D., & Olsson, P. (2008). Voluntary disclosure, earnings quality, and cost of capital. Journal of Accounting Research, 46(1), 53-99. http://dx.doi.org/10.1111/j.1475-679X.2008.00267.x
Hamada, R. (1971). The effect of the firm’s capital structure on the systematic risk of common stocks. Journal of Finance, 27(2), 435-452. https://doi.org/10.2307/2978486
Hribar, P., & Jenkins, N. T. (2004). The effect of accounting restatements on earnings revisions and the estimated cost of capital. Review of Accounting Studies, 9(2-3), 337-356. http://dx.doi.org/10.1023/B:RAST.0000028194.11371.42
International Accounting Standards Board. (2018). Conceptual framework for financial reporting. IFRSF Publications Department.
Jones, J. J. (1991). Earnings management during import relief investigations. Journal of Accounting Research, 29(2), 193-228. https://doi.org/10.2307/2491047
Kim, J., Kim, S., & Cho, E. (2019). Spillover effect of FSS accounting inspection on audit hours of peer companies. Asia-Pacific Journal of Accounting and Economics, 27(3), 364-387. https://doi.org/10.1080/16081625.2019.1673193
Koussis, N., & Makrominas, M. (2015). Growth options, option exercise and firms’ systematic risk. Review of Quantitative Finance and Accounting, 44, 243-267. https://doi.org/10.1007/s11156-013-0405-5
Lambert, R., Leuz, C., & Verrecchia, R. (2007). Accounting information, disclosure, and the cost of equity. Journal of Accounting Research, 45(2), 385-420. https://www.jstor.org/stable/4622036
Lev, B. (1983). Some economic determinants of time-series properties of earnings. Journal of Accounting and Economics, 5, 31-48. https://doi.org/10.1016/0165-4101(83)90004-6
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 47, 13-37. https://doi.org/10.2307/1924119
Liu, Q., Wang, J., & Chi, W. (2022). The spillover effects of innovation content disclosure in MD&A. Pacific-Basin Finance Journal, 76, 101879. https://doi.org/10.1016/j.pacfin.2022.101879
Lu, J. (2022). Limited attention: Implications for financial reporting. Journal of Accounting Research, 60(5), 1991-2027. https://doi.org/10.1111/1475-679X.12432
Ma, M. (2017). Economic links and the spillover effect of earnings quality on market risk. The Accounting Review, 92(6), 213-245. https://www.jstor.org/stable/26551285
Modigliani, F., & Miller, M. (1958). The cost of capital, corporation finance and the theory of investment. American Economic Review,48(4), 261-297. http://www.jstor.org/stable/1809766?origin=JSTOR-pdf
Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica: Journal of the Econometric Society, 34(4), 768-783. https://doi.org/10.2307/1910098
Ng, J. (2011). The effect of information quality on liquidity risk. Journal of Accounting and Economics, 52(2-3), 126-143. https://doi.org/10.1016/j.jacceco.2011.03.004
Noriega, A. E., & Ventosa-Santaulària, D. (2007). Spurious regression and trending variables. Oxford Bulletin of Economics and Statistics, 69(3), 439-444. https://doi.org/10.1111/j.1468-0084.2007.00481.x
Pae, J. (2005). Expected accrual models: The impact of operating cash flows and reversals of accruals. Review of Quantitative Finance and Accounting, 24(1), 5-22. https://doi.org/10.1007/s11156-005-5324-7
Pandit, S., Wasley, C., & Zach, T. (2011). Information externalities along the supply chain: The economic determinants of suppliers’ stock price reaction to their customers’ earnings announcements. Contemporary Accounting Research, 28(4), 1304-1343. https://doi.org/10.1111/j.1911-3846.2011.01092.x
Pástor, L., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111(3), 642-685. https://doi.org/10.1086/374184
Ross, S. A., Westerfield, R. W., & Jaffe, J. F. (2002). Corporate finance (8a ed.). McGraw Hill.
Sarmiento-Sabogal, J., & Sadeghi, M. (2015). Estimating the cost of equity for private firms using accounting fundamentals. Applied Economics, 47(3), 288-301. https://doi.org/10.1080/00036846.2014.969826
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442. https://doi.org/10.2307/2977928
Terán Guerrero, F. N., García Paredes, N. E, Vizcaino Villavicencio, V. L., & Carranza Guerrero, M. N. (2022). Aplicación del Capital Asset Pricing Model para conocer el beta dentro del mercado ecuatoriano. Revista Enfoques, 6(21), 106-116. https://doi.org/10.33996/revistaenfoques.v6i21.128
Truong, P. (2023). Peer effects and disclosure timing: Evidence from earnings announcements. The Accounting Review, 98(3), 427-458. https://doi.org/10.2308/TAR-2020-0311
Wang, Q., & Zhou, K. (2022). Common ownership and the spillover effect of market reaction: Evidence from stock exchange comment letters. Pacific-Basin Finance Journal, 73, 101729. https://doi.org/10.1016/j.pacfin.2022.101729
Wiyono, E. R., & Mardijuwono, A. W. (2020). Leverage, profitability, firm size, exchange rate, and systematic risk: Evidence from the manufacturing industry in Indonesia. Cuadernos de Economía, 43(122), 105-242. https://doi.org/10.32826/cude.v4i123.407
Downloads
Publicado
Edição
Seção
Licença
Copyright (c) 2025 Vanessa Rodrigues dos Santos Cardoso, Rodrigo de Souza Gonçalves, Paulo Vitor Souza de Souza, Paulo Augusto Pettenuzzo de Britto
Este trabalho está licenciado sob uma licença Creative Commons Attribution 4.0 International License.
O conteúdo do(s) artigo(s) publicados na RC&F são de inteira responsabilidade do(s) autores, inclusive quanto a veracidade, atualização e precisão dos dados e informações. Os autores cedem, antecipadamente, os direitos autorais à Revista, que adota o sistema CC-BY de licença Creative Commons. Leia mais em: https://creativecommons.org/licenses/.
A RC&F não cobra taxa para a submissão de artigos. A submissão de artigo(s) à RC&F implica na autorização do(s) autor(es) para sua publicação, sem pagamento de direitos autorais.
A submissão de artigos autoriza a RC&F a adequar o texto do(s) artigo(s) a seus formatos de publicação e, se necessário, efetuar alterações ortográficas, gramaticais e normativas.
