Securitie´s investment strategies based on financial statement analysis: is it possible to foresee the future? / Estratégias de investimento em ações baseadas na análise de demonstrações contábeis: é possível prever o sucesso?

AUTOR(ES)
DATA DE PUBLICAÇÃO

2008

RESUMO

This thesis investigates the usefulness and limitations of investment strategies based on financial statement analysis. Initially I assess the usefulness of the strategy for the full sample of Brazilian public-held firms. An additional analysis considers the partition of high book-to-market (HBM) or/and poor corporate governance (CG) firms. Capital markets research in accounting and finance show evidences that permit one to posit that firms within these groups (HBM and/or poor CG) present specific features that should enhance the usefulness of financial statement analysis as an investment tool. I find evidences that the analyzed strategies significantly differentiate between winners and losers for both groups (HBM and poor CG) but not for the full sample of firms. These results confirm and expand Piotroskis (2000) evidences. Further I consider the possible omitted risk-factors that could explain the results obtained. I show that the practical implementation of the strategy is more realistic (regarding stocks trading volume) if applied for firms with poor corporate governance arrangements when compared to the HBM ones. However, the strategy returns are lower when applied to the subset of poor corporate governance firms. This evidence is consistent with the negative expected relation between liquidity and returns (Bekaert et al, 2006) and contributes to previous research (Piotroski, 2000; Mohanran, 2005) on abnormal returns obtained with financial statements analysis.

ASSUNTO(S)

investment strategies governança corporativa análise de demonstrações contábeis fundamental analysis capital markets efficiency eficiência do mercado de capitais financial statement analysis estratégias de investimento corporate governance análise fundamentalista

ACESSO AO ARTIGO

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