Analysis of the relationship between accounting information and a systematic risk / Análise da relação entre a informação contábil e o risco sistemático

AUTOR(ES)
DATA DE PUBLICAÇÃO

2010

RESUMO

The efficient market hypothesis and CAPM brought the concept of the new relevant information has an immediate effect on the stock price, changing expectations about their risk, market beta (HENDRIKSEN e VANBREDA, 1999, p. 184). According to the reality, this study was conducted to investigate whether the accounting betas have a relationship with its systemic risk, calculated using the market beta, and if market betas and accounting betas have the same components, so beta accounting can cooperate in estimating the risk of a company. To conduct the study were selected 98 companies, of BMF&BOVESPA, from 15 economic sectors, between the period, 1st quarter of 1995 to the 3rd quarter of 2009. We used 6 different types of calculation for market beta and 468 betas and variables accounting, totaling 2808 correlation coefficients. This study used statistical tools such as the Pearson Correlation, Data Analysis Panel, the Principal Components Analysis and Canonical Correlation. The results indicated that the ratio for most versions of accounting betas were few significant or even nonexistent, but 27 showed accounting betas have some relationship to the betas of the market. Added to this, it was established that some accounting betas can explain the market beta, and may do so in advance, and may also improve prediction of the market beta when linked to historical market betas. It was noted that some accounting betas are common factors and that these may be strongly correlated with the factors of market beta, indicating they are similar.

ASSUNTO(S)

demonstração financeira mercado de capitais financial statement contabilidade financeira capital market risk analysis financial accounting análise de risco

ACESSO AO ARTIGO

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