Evaluation of the informational capacity of accounting and fiscal statements in the secondary market for Brazilian government bonds
DOI:
https://doi.org/10.11606/issn.1982-6486.rco.2021.169063Keywords:
Government bonds, Information capacity, Public accounting, Public sectorAbstract
This study proposes to evaluate the informational capacity of accounting and fiscal statements based on the construction of models that make it possible to identify the relationship between a group of representative variables and the pricing of Brazilian government bonds. To accomplish this, we examined the historic series of interest rates in purchases of the main government bonds and 43 other accounting and fiscal variables from 2010 to 2018. After estimating the parameters using linear regression models, the results suggest that information in the Federal Balance Sheet (BGU), Treasury Transparency reports (TT), the Federal Fiscal Management Report (RGF), and information from the Brazilian Central Bank (BCB), has the capacity to predict, reflect, and/or confirm the expectations of investors in government bonds. The practical implications of these findings will contribute as references to improve the communication of government accounting and fiscal information to the main stakeholders, especially investors in government bonds. Moreover, this presents the potential of each of these reports, making it possible to use this complementary information to plan and accompany the federal government’s asset and fiscal situation.
Downloads
References
Andersen, C. M., & Bro, R. (2010). Variable selection in regression – a tutorial. Journal of chemometrics, 24(11‐12), 728-737. https://doi.org/10.1002/cem.1360
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
Banco Central do Brasil. (2019) Sistema gerador de series temporais. Recuperado em 2 agosto, 2019, de: <https://www.bcb.gov.br/?SERIESTEMP>.
Barth, M. E., Beaver, W. H., & Landsman, W. R. (2001) The relevance of the value relevance literature for financial accounting standard setting: another view. Journal of accounting and economics, 31(1-3), 77-104.
Beaver, W., Kettler, P., & Scholes, M. (1970) The association between market determined and accounting determined risk measures. The Accounting Review, 45(4), 654-682.
Beaver, W. H.; Clarke, R., & Wright, W. F. (1979) The association between unsystematic security returns and the magnitude of earnings forecast errors. Journal of accounting research, 17(2), 316-340.
Botelho, B. C. & Lima, D. V. (2015) Experiências internacionais e desafios dos governos dos países na transição da contabilidade pública para o regime de competência. Revista Evidenciação Contábil & Finanças, 3(3), 68-83.
Brugni, T. V., Fávero, L. P. L., Flores, E. S., & Beiruth, A. X. (2015) O vetor de causalidade entre lucro contábil e preço das ações: existem incentivos para a informação contábil seguir o preço no Brasil? Contabilidade Vista & Revista, 26(1), 79-103.
Burchell, S., Clube, C., Hopwood, A., Hughes, J., & Nahapiet, J. (1980) The roles of accounting in organizations and society. Accounting, organizations and society, 5(1), 5-27.
Chan, J. L. (2003). Government accounting: an assessment of theory, purposes and standards. Public Money & Management, 23(1), 13-20.
Copeland, T., Weston, F., & Shastri, K. (2005) Financial Theory and corporate policy. 4th. Ed. Pearson Addison Wesley.
Comitê de Pronunciamentos Contábeis. (2011) CPC 00. Estrutura conceitual para elaboração e divulgação de relatório contábil-financeiro, 2011. Brasília. Recuperado em 2 agosto, 2019, de: <http://www.cpc.org.br/Arquivos/Documentos/147_CPC00_R1.pdf>.
Costa, C. C. M., Ferreira, M. A. M., Braga, M. J., & Abrantes, L. A. (2015). Fatores associados à eficiência na alocação de recursos públicos à luz do modelo de regressão quantílica. Revista de Administração Pública, 49(5), 1319-1347. https://doi.org/10.1590/0034-7612130868
Cupertino, C. M. & Lustosa, P. R. B. (2004) O modelo Ohlson de avaliação de empresas: tutorial para utilização. BBR - Brazilian Business Review, 1(1), 1-16.
Fama, E. (1970) Efficient capital markets: a review of theory and empirical work. The Journal of Finance, 25(2), 383-417. http://doi.org/10.2307/2325486
Fama E. (1991) Efficient Capital II. The Journal of Finance, 5, 1575 - 1617. https://doi.org/10.1111/j.1540-6261.1991.tb04636.x
Guyon, I., & Elisseeff, A. (2003). An introduction to variable and feature selection. Journal of machine learning research, 3, 1157-1182.
Hair, J. F., Black, W. C., Babin, B. J., & Anderson, R. E. (2005) Multivariate Data Analysis. Upper Saddle River: Prentice Hall.
Harrell, F. E. (2001). Regression modeling strategies: with applications to linear models, logistic regression, and survival analysis. New York: Springer.
Hendriksen, E. S.; Van Breda, M. F. (1999) Teoria da Contabilidade. Tradução de Antonio Z. Sanvicente. São Paulo: Atlas.
Holthausen, R. W. & Watts, R. L. (2001) The relevance of the value-relevance literature for financial accounting standard setting. Journal of accounting and economics, 31(1-3), 3-75.
Hosmer, D.W. & Lemeshow, S. (1989) Applied Logistic Regression. Nova Iorque: John Wiley & Sons.
Instituição Fiscal Independente. (2018) Análise da situação da União com base no seu balanço patrimonial. Estudo Especial nº. 06, 2018. Brasília. Recuperado em 2 agosto, 2019, de: <https://www12.senado.leg.br/ifi/publicacoes-1/estudos-especiais/2018/agosto/estudo-especial-no-06-analise-da-situacao-da-uniao-com-base-no-seu-balanco-patrimonial-ago-2018>.
Instituto Brasileiro de Geografia e Estatística. (2019) Índice Nacional de Preços ao Consumidor Amplo – IPCA. Recuperado em 19 julho, 2019, de: <https://ww2.ibge.gov.br/home/estatistica/indicadores/precos/inpc_ipca/defaultinpc.shtm>.
International Monetary Fund & The World Bank. (2007) Strengthening Debt Management Practices - Lessons from Country Experiences and Issues Going Forward: Background Paper.
Kim, D. (2001) The determinants of municipal bonds returns: multifactor return model based on Market, state, and governamental accounting information. Doctoral dissertation, Temple University, Philadelphia, United States of America.
Meurer, R. (2014) Emissão de títulos da dívida pública brasileira em reais no exterior: contexto e características. Revista de economia contemporânea, 18(2), 185-209. https://doi.org/10.1590/141598481822
Miller, D. P. & Puthenpurackal, J. (2002) The Costs, Wealth Effects and Determinants of International Capital Raising: Evidence from Public Yankee Bonds, Journal of Financial Intermediation, 11(4), 455-485. https://doi.org/10.1006/jfin.2002.0342
Mishkin, F. S. (2000) Moedas, bancos e mercados financeiros. 5 ed. Rio de Janeiro: LTC.
Ohlson, J. A. (1995) Earnings, book values, and dividends in equity valuation. Contemporary accounting research, 11(2), 661-687. https://doi.org/10.1111/j.1911-3846.1995.tb00461.x
Oliveira, G. C., Vazquez, D. A., & Wolf, P. J. W. (2018) Evolução da dívida e da necessidade de financiamento do setor público no Brasil (1995-2016): um balanço do período pós-real. Revista de Economia Contemporânea, 21(3). https://doi.org/10.1590/198055272133
O’Hanlon, J. (1991) The relationship in time between annual accounting returns and annual stock market returns in the U.K. Journal of business finance and accounting, 18(3). https://doi.org/10.1111/j.1468-5957.1991.tb00596.x
Platt Neto, O. A., Cruz, F., Ensslin, S. R., & Ensslin, L. (2009) Publicidade e transparência das contas públicas: obrigatoriedade e abrangência desses princípios na administração pública brasileira. Contabilidade Vista & Revista, 18(1), 75-94.
Ross, S., Westerfield, R., & Jaffe, J. (2002) Corporate Finance. 6 ed. New York: McGraw-Hill.
Schucknecht, L.; Hagen, J., & Wolswijk, G. (2009) Government risk premiums in the bond market: EMU and Canada. European Journal of Political Economy, 25(3), 371-384.
Secretaria do Tesouro Nacional. (2019a) Contabilidade pública. Recuperado em 30 agosto, 2020, de: <https://www.gov.br/tesouronacional/pt-br/contabilidade-e-custos>.
Secretaria do Tesouro Nacional. (2019b) Dívida Pública Federal: Relatório Anual 2018. Brasília: Secretaria do Tesouro Nacional.
Secretaria do Tesouro Nacional. (2019c) Histórico de preços e taxas. Recuperado em 30 agosto, 2020, de: <https://sisweb.tesouro.gov.br/apex/f?p=2031:2:0::::>.
Secretaria do Tesouro Nacional. (2019d) Mercado Secundário. Brasília. Recuperado em 30 agosto, 2020, de: < https://www.gov.br/tesouronacional/pt-br/divida-publica-federal/mercado-interno/mercado-secundario>.
Secretaria do Tesouro Nacional. (2019e) Tesouro Transparente. Recuperado em 30 agosto, 2020, de: <http://www.tesourotransparente.gov.br>.
Summers, G. F. (2003) Public sector accounting disclosure quality and municipal bond interest costs: the case of school districts bonds. Doctoral dissertation, Faculty of the C. T. Bauer College of Business, University of Houston, Houston, United States of America.
Suzart, J. A. S. (2013) Informações contábeis governamentais e o mercado secundário de títulos públicos: um estudo sob a ótica da value relevance no Brasil. Tese de doutorado, Universidade de São Paulo, São Paulo, Brasil.
Suzart, J. A. S. (2014) As informações contábeis e as agências de classificação de risco de crédito. Revista de Contabilidade e Controladoria, 6(3), p. 108-126. https://doi.org/10.5380/rcc.v6i3.35856
Valente, N. T. Z. & Fujino, A. (2016) Atributos e dimensões de qualidade da informação nas Ciências Contábeis e na Ciência da Informação: um estudo comparativo. Perspectivas em Ciência da Informação, 21(2), 141-167. https://doi.org/10.1590/1981-5344/2530
World Government Bonds. (2019) Brazil Credit Rating. Recuperado em 19 julho, 2019, de: <http://www.worldgovernmentbonds.com/credit-rating/brazil>
Downloads
Published
Issue
Section
License
Copyright (c) 2021 Revista de Contabilidade e Organizações
![Creative Commons License](http://i.creativecommons.org/l/by-nc-nd/4.0/88x31.png)
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
The RCO adopts the Free Open Access policy, under the standard Creative Commons agreement (CC BY-NC-ND 4.0). The agreement provides that:
- Submission of text authorizes its publication and implies commitment that the same material is not being submitted to another journal. The original is considered definitive.
- Authors retain the copyright and grant the journal the right of first publication, with the work simultaneously licensed under the Creative Commons Attribution License which allows the sharing of the work with acknowledgment of authorship and initial publication in this journal.
- Authors are authorized to take additional contracts separately, for non-exclusive distribution of the version of the work published in this journal (e.g. publish in an institutional repository or as a book chapter), with necessary recognition of authorship and initial publication in this journal.
- Authors are allowed and encouraged to publish and distribute their work online (e.g. in institutional repositories or on their personal page) before or during the editorial process, as this can generate productive changes as well as increase the impact and citation of published work (See The Effect of Free Access).
- The journal does not pay copyright to the authors of the published texts.
- The journal's copyright holder, except those already agreed in the Free Open Access Agreement (CC BY-NC-ND 4.0), is the Accounting Department of the Faculty of Economics, Administration and Accounting of Ribeirão Preto of the University of São Paulo.
No submission or publication fees are charged.
Up to 4 authors per article are accepted. Exceptionally duly justified cases may be reviewed by the Executive Committee of the RCO. Exceptional cases are considered as: multi-institutional projects; manuscripts resulting from the collaboration of research groups; or involving large teams for evidence collection, construction of primary data, and comparative experiments.
It is recommended that the authorship be ordered by contribution of each of the individuals listed as authors, especially in the design and planning of the research project, in obtaining or analyzing and interpreting data, and writing. Authors must declare the actual contributions of each author, filling the letter to the editor, at the beginning of the submission, taking responsibility for the information given.
Authors are allowed to change throughout the evaluation process and prior to the publication of the manuscript. The Authors should indicate the composition and final order of authorship in the document signed by all those involved when accepted for publication. If the composition and authoring order is different than previously reported in the system, all previously listed authors should be in agreement.
In the case of identification of authorship without merit or contribution (ghost, guest or gift authorship), the RCO follows the procedure recommended by COPE.