Accounting information quality and systematic risk on the brazilian stock market
DOI:
https://doi.org/10.16930/2237-766220233357Keywords:
Accounting information quality, Systematic risk, Earnings predictability, Earnings managementAbstract
This study evaluated the association between accounting information quality and systematic risk on the Brazilian stock market based on a sample of 208 firms traded on B3 S/A Brasil, Bolsa, Balcão (1,675 observations) from 2010-2019. The systematic risk was measured with the beta coefficient, while accounting information quality was proxied by revenue predictability and earnings management by discretionary accruals. The data were analyzed with descriptive statistics and least ordinary squares multiple regressions on panel data and quantile regressions. The results showed earnings management by discretionary accruals and low revenue predictability were positively associated with systematic risk. In other words, there is evidence that the lower the accounting information quality in Brazilian firms, the greater the market risk. Our findings not only enrich the debate on the role of accounting information quality in emerging markets such as Brazil, but may subsidize investors in their decision-making by showing how accounting information quality impacts corporate risk and point to how managers can reduce systematic risk and equity costs.
References
Abad, D., Sanchez-Ballesta, J. P., & Yangue, J. (2015). Audit opinions and information asymmetry in the stock market. Accounting and Finance, 57, 565-595.
Almendra, R. S., Vasconcelos, A. C., Silva, R. B., & Luca, M. M. M. (2018). Internacionalização, risco sistemático e disclosure de riscos em empresas listadas na BM&FBovespa. Enfoque Reflexão Contábil, 37(3), 73-91.
Amorim, A. L. G. C., Lima, I. S., & Murcia, F. D. (2012). Análise da relação entre as informações contábeis e o risco sistemático no mercado brasileiro. Revista de Contabilidade & Finanças – USP, 23(60), 199-211.
Arcúrio, T., Júnior, & Gonçalves, R. S. (2020). Qualidade da auditoria e assimetria informacional: uma análise no período pré e pós-adoção às normas internacionais de contabilidade. Revista Contemporânea de Contabilidade, 17(42), 38-56.
Benkraiem, R., Saad, I. B., & Lakhal, F. (2021). New insights into IFRS and earnings quality: what conclusions to draw from the French experience? Journal of Applied Accounting Research, 22(2), 307-333.
Beyer, A., Cohen, D. A., Lyz, T. Z., & Walther, B. R. (2010). The financial reporting environment: review of the recent literature. Journal of Accounting and Economics, 50(2-3), 296-343.
Buchholz, F., Lopatta, K., & Maas, K. (2020). The deliberate engagement of narcissistic CEOs in earnings management. Journal of Business Ethics, 167, 663-686.
Cai, C. X., Faff, R. W., Hillier, D., & Mohamed, S. (2007). Exploring the link between information quality and systematic risk. The Journal of Financial Research, 30(3), 335-353.
Chaney, P. K., Faccio, M., & Parsley, D. (2011). The quality of accounting information inpolitically connected firms. Journal of Accounting and Economics, 51, 58-76.
Cheynel, E. (2013). A theory of voluntary disclosure and cost of capital. Review of Accounting Studies, 18, 987-1020.
Chiou, C. C., & Su, R. K. (2007). On the relation of systematic risk and accounting variables. Managerial Finance, 33(8), 517-533.
Core, J. E., Hail, L., & Verdi, R. S. (2014). Mandatory disclosure quality, inside ownership, and cost of capital. European Accounting Review, 24(1), 1-29.
Damodaran, A. (2007). Avaliação de empresas. São Paulo: Pearson Prentice Hall.
Dang, H. N., Nguyen, T. T. C., & Tran, D. M. (2020). The impact of earnings quality on firm value: The case of Vietnam. Journal of Asian Finance, Economics and Business, 7(3), 63-72.
Dechow, P. M., Ge, W., & Schrand, C. M. (2010). Understanding earnings quality: a review of the proxies, their determinants and their consequences. Journal of Accounting and Economics, 50(2-3), 344-401.
Dechow, P. M., Hutton, A. P., & Sloan, R. G. (1999). An empirical assessment of the residual income valuation model. Journal of Accounting and Economics, 26(1-3), 1-34.
Diamond, D. W., & Verrecchia, R. E. (1991). Disclosure, liquidity, and the cost of capital. The Journal of Finance, 46(4), 1325-1359.
Diri, M. E., Lambrinoudakis, C., & Alhadab, M. (2020). Corporate governance and earnings management in concentrated markets. Journal of Business Research, 108, 291-306.
Durnev, A., & Kim, E. (2005). To steal or not to steal: firm attributes, legal environment, and valuation. Journal of Finance, 60(3), 1461-1493.
Easley, D., & O’Hara, M. (2001). Information and the cost of capital. The Journal of Finance, 59(4), 1553-1583.
Eiser, J. R., Bostrom, A., Burton, I., Johnston, D. M., McClure, J., Paton, D., Pligt, J. V., & White, M. P. (2012). Risk interpretation and action: a conceptual framework for responses to natural hazards. International Journal of Disaster Risk Reduction, 1, 5-16.
Fan, Y., Jiang, Y., John, K., & Liu, F. H. (2021). From watchdog to watchman: do independent directors monitor a CEO of their own age? Journal of Empirical Finance, 61, 206-229.
Felix, C. P., & Bezerra, F. A. (2022). Influência dos comitês no gerenciamento de resultado. Revista Catarinense da Ciência Contábil, 21(1), 1-15.
Francis, J., LaFond, R., Olsson, P. M., & Schipper, K. (2004). Costs of equity and earnings attributes. The Accounting Review, 79(4), 967-1010.
Francis, J., LaFond, R., Olsson, P. M., & Schipper, K. (2005). The market pricing of accruals quality. Journal of Accounting and Economics, 39(2), 295-327.
Ghosh, A., & Moon, D. (2010). Corporate debt financing and earnings quality. Journal of Business Finance & Accounting, 37(5), 538-559.
Gitman, L. J. (2010). Princípios de administração financeira. São Paulo: Pearson.
Graham, J. R., Harvey, C. R., & Rajgopal, S. (2005). The economic implications of corporate financial reporting. Journal of Accounting and Economics, 40(1-3), 3-73.
Healy, P. M., & Palepu, K. (2001). Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature. Journal of Accounting and Economics, 31(1-3), 405-440.
Healy, P. M., & Wahlen, J. M. (1999). A review of the earnings management literature and its implications for standard setting. Accounting Horizons, 13(4), 365-383.
Iatridis, G. E. (2012). Audit quality in common-law and code-law emerging markets: evidence on earnings conservatism, agency costs and cost of equity. Emerging Markets Review, 13(2), 101-117.
Jacquier, E., Titman, S., & Yalçin, A. (2010). Predicting systematic risk: implications from growth options. Journal of Empirical Finance, 17(5), 991-1005.
Jeon, S., Kim, J., & Lee, S. (2006). The persistence of abnormal earnings and systematic risk. Tourism Management, 27(5), 867-873.
Kassi, D. F., Rathnayake, D. N., Louembe, P. A., & Ding, N. (2019). Market risk and financial performance of non-financial companies listed on the Moroccan stock exchange. Risks, 7(1). https://doi.org/10.3390/risks7010020
Kim, Y., Park, M. S., & Wier, B. (2012). Is earnings quality associated with corporate social responsibility? The Accounting Review, 87(3), 761-796.
Kothari, S. P., Leone, A. J., & Wasley, C. E. (2005). Performance matched discretionary accrual measures. Journal of Accounting and Economics, 39(1), 163-197.
Li, D., & Xia, Y. (2021). Gauging the effects of stock liquidity on earnings management: evidence from the SEC tick size pilot test. Journal of Corporate Finance, 67, https://doi.org/10.1016/j.jcorpfin.2021.101904
Lima, A. S., Carvalho, E. V. A., Paulo, E., & Girão, L. F. A. P. (2015). Estágios do ciclo de vida e qualidade das informações contábeis no Brasil. Revista de Administração Contemporânea, 19(3), 398-418.
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 47(1), 13-37.
Locatelli, L. G., Ramos, F. M., & Sprenger, K. B. (2021). Gerenciamento de resultados: do poder do CEO na presença de conexões sociais. Revista Catarinense da Ciência Contábil, 20(1), 1-19.
Low, A. (2009). Managerial risk-taking behavior and equity-based compensation. Journal of Financial Economics, 92, 470-490.
Martinez, A. L., & Castro, M. A. R. (2011). The smoothing hypothesis, stock returns and risk in Brazil. Brazilian Administration Review, 8(1), 1-20.
Martins, O. S., & Barros, L. A. B. C. (2021). Firm informativeness, information environment, and accounting quality in emerging countries. The International Journal of Accounting, 56(1). https://doi.org/10.1142/S1094406021500049
Martins, O. S., & Ventura, R., Júnior (2020). Influência da governança corporativa na mitigação de relatórios financeiros fraudulentos. Revista Brasileira de Gestão de Negócios, 22(1), 65-84.
Mazzioni, S., Diel, F. J., & Oliveira, J. M. S. (2016). Atributos da qualidade da informação contábil em empresas participantes do mercado acionário brasileiro. Contabilidade, Gestão e Governança, 19(2), 230-253.
Mazzioni, S., & Klann, R. C. (2018). Aspectos da qualidade da informação contábil no contexto internacional. Revista Brasileira de Gestão de Negócios, 20(1), 92-111.
Moura, A. A. F., Altuwaijri, A., & Gupta, J. (2020). Did mandatory IFRS adoption affect the cost of capital in Latin American countries? Journal of International Accounting, Auditing and Taxation, 38, 1-18.
Moura, G. D., Macedo, F. F. R. R., Mazzioni, S., & Kruger, S. D. (2015). Análise da relação entre gerenciamento de resultados e custo de capital em empresas brasileiras listadas na BM&FBovespa. Revista Catarinense da Ciência Contábil, 15(44), 9-23.
Nardi, P. C. C., Silva, R. L. M., Nakao, S. H., & Valle, M. R. (2009). A relação entre gerenciamento de resultados contábeis e o custo de capital das companhias abertas brasileiras. Revista Universo Contábil, 5(4), 6-26.
Olibe, K. O., Michello, F. A., & Thorne, J. (2008). Systematic risk and international diversification: an empirical perspective. International Review of Financial Analysis, 17(4), 681-698.
Paulo, I. I. S. L. M., Cavalcante, P. R. N., & Paulo, E. (2013). Relação entre qualidade da auditoria e conservadorismo contábil nas empresas brasileiras. Revista de Educação e Pesquisa em Contabilidade, 7(3), 305-327.
Pimentel, R. C. (2015). Lucros inesperados, retorno das ações e risco no mercado de capitais brasileiro. Revista de Contabilidade & Finanças – USP, 26(69), 290-303.
Pimentel, R. C., & Aguiar, A. B. (2012). Persistência de lucros trimestrais: uma investigação empírica no Brasil. BBR – Brazilian Business Review, 10(edição especial BBR Conference), 39-57.
Porta, R., La, Lopez-de-Silanes, F., Shleifer, A., & Vishny, R. W. (1997). Legal determinants of external finance. The Journal of Finance, 52, 1131-1150.
Rodrigues, S. S., & Galdi, F. C. (2017). Relações com investidores e assimetria informacional. Revista Contabilidade & Finanças - USP, 28(74), 297-312.
Santana, C. V. S., Santos, L. P. G. D., Carvalho Junior, C. V. O., & Martinez, A. L. (2020). Sentimento do Investidor e Gerenciamento de Resultados no Brasil. Revista Contabilidade & Finanças - USP, 31(83), 283-301.
Schadewitz, H. J., & Blevins, D. R. (1998). Major determinants of interim disclosures in a emerging market. American Business Review, 16, 41-55.
Schipper, K. (1989). Commentary: Earnings management. Accounting Horizons, 3(4), 91-102.
Scott, W. R. (2015). Financial accounting theory. Toronto: Pearson.
Sharpe, W. F. (1964). Capital asset prices: a theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442.
Silva, C. L., Fávero, L. P. L., & Almeida, J. E. F. (2016). Lucro abrangente e medidas de risco total e sistemático de companhias brasileiras de capital aberto. Revista de Finanças Aplicadas, 7(3), 1-37.
Siqueira, L. S., Amaral, H. F., & Correia, L. F. (2017). O efeito do risco de informação assimétrica sobre o retorno de ações negociadas na BM&FBovespa. Revista Contabilidade & Finanças - USP, 28(75), 425-444.
Song, S., Zeng, Y., & Zhou, B. (2021). Information asymmetry, cross-listing, and post-M&A performance. Journal of Business Research, 122, 447-457.
Tessema, A. (2020). Audit quality, political connections and information asymmetry: evidence from banks in gulf co-operation council countries. International Journal of Managerial Finance, 16(5), 673-698.
Vargas, L. A., Magro, C. B. D., & Mazzioni, S. (2021). Influência do gerenciamento de resultados e da governança corporativa no custo de capital de terceiros. Revista Contemporânea de Contabilidade, 18(46), 32-46.
Xing, X., & Yan, S. (2019). Accounting information quality and systematic risk. Review of Quantitative Finance and Accounting, 52, 85-103.
Yoon, S. (2007). Accounting quality and international accounting convergence. Doctoral dissertation, Oklahoma State University, Oklahoma, United States of America.
Yu, T. H., Wang, D. H., & Wu, K. (2015). Reexamining the red herring effect on healthcare expenditures. Journal of Business Research, 68(4), 783-787.
Zhai, J., & Wang, Y. (2016). Accounting information quality, governance efficiency and capital investment choice. China Journal of Accounting Research, 9(4), 251-266.
Published
How to Cite
Issue
Section
License
Copyright (c) 2023 Revista Catarinense da Ciência Contábil
This work is licensed under a Creative Commons Attribution 4.0 International License.
The copyright for articles published in this journal belongs to the author (s), with first publication rights assigned to Revista Catarinense da Ciência Contábil. Due to appearing in this publicly accessible journal, articles are free to use, with mandatory recognition of the original authorship and initial publication in this magazine and for educational and non-commercial applications. The magazine chose to use published works for non-commercial purposes, including the right to submit or work for publicly accessible databases. The content of published articles is the sole and exclusive responsibility of the authors. - The author (s) authorize (s) a publication of the article in the journal; - The author (s) guarantee (s) that a contribution is original and unpublished and that it is not being evaluated in another magazine (s); - A magazine is not responsible for the opinions, ideas and concepts emitted in the texts, for the full responsibility of the author (s); - It is reserved to the editors or the right to make textual adjustments and to adjust the article to the publication rules.
This work is licensed under a Creative Commons Atribuição-NãoComercial-CompartilhaIgual 4.0 Internacional.
