César Medeiros Cupertino

EARNINGS MANAGEMENT: ESTUDO DE CASO DO BANCO NACIONAL*

Este artigo promove um estudo de caso de uma das maiores instituicoes financeiras brasileiras da decada de 90: o Banco Nacional S.A. (BNSA). O BNSA teve sua intervencao decretada pelo Banco Central do Brasil em 1995, apos ser identificada a existencia de ativos insolventes, originados por gerenciamento fraudulento dos lucros da entidade. O estudo visa investigar a gestao fraudulenta de lucros do Banco Nacional S.A., tanto nos seus aspectos motivadores, quanto em relacao aos seus efeitos na composicao patrimonial da entidade. A abordagem metodologica contempla: (i) pesquisa explicativa, quanto aos objetivos do estudo; (ii) estudo de caso, quanto aos procedimentos aplicados e (iii) pesquisa qualitativa, quanto a abordagem do problema. Constatou-se que pode haver interesses inconciliaveis entre o agente e o principal, conforme disciplinado pela teoria da agencia. O artigo, ainda, ressalta a importância do conhecimento dos dados financeiros na identificacao dos fatos de interesse, dos ajustes pertinentes e da correta evidenciacao da situacao patrimonial da entidade.

The market reaction to changes in the Brazilian official interest rate

This study is aimed at investigating the effects of monetary policymaking on the short-term and long-term interest rates for the Brazilian economy for the period August 1999 to March 2011. It is shown that the reversal of the current account deficit and the alleviation of political uncertainties in 2003 affect the impact of monetary policy on market interest rates. In particular, it is observed that surprises in policymaking are substantially reduced after the macroeconomic and political stability.

Consequências para a Rentabilidade Futura com o Gerenciamento de Resultados por Meio de Atividades Operacionais Reais

This article analyzes earnings management through real operating activities by firms in the Brazilian capital market. This way of manipulating outcomes takes place when managers make suboptimal decisions in terms of timing and volume of operating activities. This study tests the hypothesis that firms engaged in earnings management through real operating activities might have a negative impact on future returns. Our analysis is restricted to nonfinancial firms listed on the Brazilian Securities, Commodities, and Futures Exchange (BM&FBOVESPA) with annual data made available by the Economatica® for the years from 1989 to 2012. Empirical tests involving regression on panel data and estimation of future firm returns and outcomes indicate a negative impact on return on assets (ROA) related to manipulation through real operating activities. This finding is useful for several stakeholders. It demonstrates that manipulation through real operating activities takes place in the Brazilian capital market, suggesting that earnings management extends beyond discretionary accounting choices in this country. The main contribution is demonstrating a negative relation between earnings management by using real operating activities and future returns. This finding is relevant for investors, particularly for the purposes of comparison and valuation of securities.

Accrual Anomaly in the Brazilian Capital Market

This paper analyzes the phenomenon known as accrual anomaly in Brazil. In particular, we examine two hypotheses: (a) that the earnings expectation included in the stock price fails to reflect the difference in persistence of the earnings components (accruals and cash flows); and (b) that the construction of a hedge portfolio by taking a long (short) position in assets with low (high) accruals generates consistently abnormal returns. The data set includes nonfinancial firms listed on the BMF the Mishkin test to identify whether the market rationally prices earnings; and the composition of a zero-investment (hedge) portfolio to analyze whether a trading strategy based on accruals consistently provides abnormal positive returns. The results indicate that the accrual component is not mispriced by the Brazilian market, and that a trading strategy based on accruals does not provide consistently positive returns. Although this evidence does not encourage arbitrage, the results are relevant from various perspectives. The methodology applied permitted identifying the quality of earnings and of their components, as well as association between the components of earnings and returns.