Mispricing dos accruals ou fator de risco? análise da influência do monitoramento externo no mercado brasileiro

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Autor(es): dc.contributorMonte, Paulo Aguiar do-
Autor(es): dc.contributorMachado, Márcio André Veras-
Autor(es): dc.creatorMartins, Vinícius Gomes-
Data de aceite: dc.date.accessioned2021-10-14T17:55:13Z-
Data de disponibilização: dc.date.available2021-10-14T17:55:13Z-
Data de envio: dc.date.issued2016-09-20-
Data de envio: dc.date.issued2016-09-20-
Data de envio: dc.date.issued2016-09-20-
Data de envio: dc.date.issued2016-07-25-
Fonte completa do material: dc.identifierhttp://repositorio.unb.br/handle/10482/21453-
Fonte completa do material: dc.identifierhttp://dx.doi.org/10.26512/2016.07.T.21453-
Fonte: dc.identifier.urihttp://educapes.capes.gov.br/handle/capes/619298-
Descrição: dc.descriptionTese (doutorado) — Universidade de Brasília, Universidade Federal da Paraíba, Universidade Federal do Rio Grande do Norte, Programa Multi-Institucional e Inter-Regional de Pós-Graduação em Ciências Contábeis, 2016.-
Descrição: dc.descriptionA literatura sugere duas abordagens gerais para a explicação da anomalia dos accruals: i) mispricing e ii) fator de risco. As escolhas contábeis oportunistas dos gestores podem agravar tanto o mispricing quanto o fator de risco. Considerando-se que os gestores possuem incentivos atrelados ao mercado de capitais, ao perceberem que os accruals representam um mispricing, podem tentar influenciar os preços das ações por meio de suas escolhas contábeis, com o objetivo de maximizar os seus benefícios. Já sob a hipótese de fator de risco, os gestores que buscarem influenciar os preços dos títulos por meio dos accruals discricionários podem ser penalizados pelo aumento do custo de capital próprio. A literatura (RADHAKRISHNAN; WU, 2014; ECKER; SCHIPPER, 2014) aponta que os investidores institucionais e os analistas de mercado são considerados exemplos de monitores externos, capazes de mitigar as práticas oportunistas dos gestores. Nesse contexto, esta tese teve como objetivo investigar de que forma o monitoramento externo, exercido por investidores institucionais, cobertura e previsão de analistas, influencia a precificação dos accruals sob a forma de mispricing ou fator de risco precificável. Para alcançar esse objetivo, utilizou-se uma amostra de empresas não financeiras listadas na BM&FBovespa no período de 2010 a 2014. Para análise da anomalia dos accruals, fez-se o uso da metodologia de carteiras com a aplicação de modelos de precificação de ativos propostos por Machado e Medeiros (2011) e Fama e French (1993). Adicionalmente, realizou-se a análise por meio dos ativos individuais utilizando a técnica de dados em painel. Para analisar se os accruals representam um fator de risco ou um mispricing, fez-se uso da metodologia de regressão em duas etapas, conforme Core, Guay e Verdi (2008), e, para análise de robustez, utilizou-se o teste de Mishkin. Os resultados demonstraram evidências da anomalia dos accruals, chegando a obter spread de até 8,2% para as empresas pequenas e com baixo monitoramento externo, e que as evidências são mais fortes quando se avalia o componente discricionário, sugerindo que tal fenômeno é intensificado pelas escolhas discricionárias dos gestores. Vale destacar que a variável cobertura de analistas foi a que apresentou melhor consistência em mitigar o efeito da anomalia em todos os testes. A análise por meio da metodologia de regressões em duas etapas não permitiu concluir que os accruals totais e os discricionários representam um fator de risco precificável, indicando que as evidências de anomalia são provocadas por erro de precificação do mercado (mispricing). A análise de robustez, realizada por meio do teste de Mishkin, indicou evidências de mal apreçamento dos accruals discricionários de empresas com baixo monitoramento, implicando mais uma vez que a anomalia dos accruals pode ser explicada pelo mispricing dessa informação. Esses resultados empíricos sugerem que anomalia dos accruals está diretamente relacionada com o componente discricionário dos lucros e que o monitoramento externo, exercido por investidores institucionais e analistas de mercado, age como um mecanismo disciplinador capaz de reduzir os incentivos para escolhas contábeis oportunistas que, consequentemente, contribuem para a qualidade dos accruals reportados bem como para sua correta precificação.-
Descrição: dc.descriptionThe literature suggests two general approaches to explain the anomaly accruals: i) mispricing and ii) risk factor. The opportunistic accounting choices of managers can aggravate both the mispricing and the risk factor. Considering managers have incentives linked to the capital market, when they realized that the accruals represent a mispricing, they may try to influence stock prices through their accounting choices, in order to maximize its benefits. Already under the risk factor hypothesis, managers who seek to influence the prices of securities through discretionary accruals may be penalized by the increase in the cost of equity. The literature (RADHAKRISHNAN; WU, 2014; ECKER; SCHIPPER, 2014) points out that institutional investors and market analysts are considered examples of external monitors, able to mitigate opportunistic practices of managers. In this context, this thesis aimed to investigate how the external monitoring, exercised by institutional investors, coverage and forecast analysts, influences the pricing of accruals in the form of mispricing or priceable risk factor. To achieve this goal, a sample of non-financial companies listed on the BM & FBovespa in the period 2010-2014 was used. For analysis of anomaly of accruals, portfolio methodology with the application of pricing models of assets proposed by Machado and Medeiros (2011) and Fama and French (1993) was used. Additionally, the analysis was performed using the individual assets using the technique of panel data. To assess whether the accruals represent a risk factor or a mispricing, regression methodology in two stages was used, according to Core, Guay and Verdi (2008), and for robustness analysis, the Mishkin test was used. The results showed evidence of abnormality of accruals, coming to get spread up to 8.2% for small businesses and with low external monitoring, and that the evidence is strongest when evaluating the discretionary component, suggesting that this phenomenon is intensified by discretionary decisions of managers. It is noteworthy that the analysts coverage variable showed the best consistency on mitigating the effect of the anomaly in all tests. The analysis by regression methodology in two stages did not allow to conclude that the total and discretionary accruals represent a priceable risk factor, indicating that the evidences anomaly are caused by market pricing error (mispricing). The robustness analysis, conducted by the Mishkin test, indicated evidence of bad pricing of discretionary accruals of firms with low monitoring, implying again that the anomaly of accruals can be explained by the mispricing of that information. These empirical results suggest that anomaly of accruals is directly related to the discretionary component of the profits and the external monitoring, exercised by institutional investors and market analysts, acts as a disciplining mechanism able to reduce the incentives for opportunistic accounting choices that consequently contribute to the quality of reported accruals as well as their correct pricing.-
Descrição: dc.descriptionThe literature suggests two general approaches to explain the anomaly accruals: i) mispricing and ii) risk factor. The opportunistic accounting choices of managers can aggravate both the mispricing and the risk factor. Considering managers have incentives linked to the capital market, when they realized that the accruals represent a mispricing, they may try to influence stock prices through their accounting choices, in order to maximize its benefits. Already under the risk factor hypothesis, managers who seek to influence the prices of securities through discretionary accruals may be penalized by the increase in the cost of equity. The literature (RADHAKRISHNAN; WU, 2014; ECKER; SCHIPPER, 2014) points out that institutional investors and market analysts are considered examples of external monitors, able to mitigate opportunistic practices of managers. In this context, this thesis aimed to investigate how the external monitoring, exercised by institutional investors, coverage and forecast analysts, influences the pricing of accruals in the form of mispricing or priceable risk factor. To achieve this goal, a sample of non-financial companies listed on the BM & FBovespa in the period 2010-2014 was used. For analysis of anomaly of accruals, portfolio methodology with the application of pricing models of assets proposed by Machado and Medeiros (2011) and Fama and French (1993) was used. Additionally, the analysis was performed using the individual assets using the technique of panel data. To assess whether the accruals represent a risk factor or a mispricing, regression methodology in two stages was used, according to Core, Guay and Verdi (2008), and for robustness analysis, the Mishkin test was used. The results showed evidence of abnormality of accruals, coming to get spread up to 8.2% for small businesses and with low external monitoring, and that the evidence is strongest when evaluating the discretionary component, suggesting that this phenomenon is intensified by discretionary decisions of managers. It is noteworthy that the analysts coverage variable showed the best consistency on mitigating the effect of the anomaly in all tests. The analysis by regression methodology in two stages did not allow to conclude that the total and discretionary accruals represent a priceable risk factor, indicating that the evidences anomaly are caused by market pricing error (mispricing). The robustness analysis, conducted by the Mishkin test, indicated evidence of bad pricing of discretionary accruals of firms with low monitoring, implying again that the anomaly of accruals can be explained by the mispricing of that information. These empirical results suggest that anomaly of accruals is directly related to the discretionary component of the profits and the external monitoring, exercised by institutional investors and market analysts, acts as a disciplining mechanism able to reduce the incentives for opportunistic accounting choices that consequently contribute to the quality of reported accruals as well as their correct pricing.-
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Palavras-chave: dc.subjectAnomalia dos accruals-
Palavras-chave: dc.subjectFatores de risco-
Palavras-chave: dc.subjectMercado de capitais - Brasil-
Título: dc.titleMispricing dos accruals ou fator de risco? análise da influência do monitoramento externo no mercado brasileiro-
Tipo de arquivo: dc.typelivro digital-
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