STOCK RETURNS AND PROFIT: ASSESS THE RELEVANCE OF ACCOUNTING INFORMATION
DOI:
https://doi.org/10.11606/rco.v6i16.52665Keywords:
Stock returns, Accounting information, Granger Causality.Abstract
This article aims to verify, by testing for Granger causality, the relationship between sets of quarterly accounting earnings and market returns (RET) of Brazilian on the market that have different levels of disclosure requirements. The sample was composed of 75 companies listed on BOVESPA during the period 1995 to 2010, who had 15 consecutive observations and synchronous returns accounting (ROE) and market return (RET), reducing thus the survival bias in these series . In analyzing the results, it was found at the 5% level of statistical significance which most companies had at least some sense of causality, or ROE for the RET, or RET for the ROE. It was also ascertained by analysis at the aggregate level of P-values of the Granger test, which is bi-causality between ROE and RET, concluding that the Brazilian stock market has market efficiency in the sample. It stands out among the main results of this research, which was not found that the causality between ROE and RET is higher for companies that have a higher level of required disclosures of accounting information, allowing to infer that the net profits of companies that disclose more information statements do not have more causality to the market return than other firms. Therefore, we may conclude generally, that despite the importance of accounting information for the stock market, the highest quality and quantity of the information did not generate greater predictive ability of market returnsDownloads
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