Fernando Caio Galdi

Relação de longo prazo e causalidade entre o lucro contábil e o preço das ações: evidências do mercado latino-americano

Na linha de investigar a relevância da informacao contabil para mercados de capitais de paises emergentes, analisa-se, no presente artigo, se existe relacao de longo prazo e de causalidade entre o lucro contabil e o preco das acoes de empresas da America Latina. Para isso, sao utilizados testes de co-integracao. Em essencia, se sao co-integradas, as variaveis mantem um relacionamento de longo prazo. Esse tipo de relacionamento tem sido extensivamente estudado entre as variaveis macroeconomicas, mas e pouco analisado para variaveis contabeis e financeiras em mercados emergentes. Em complementacao ao teste de co-integracao, investiga-se a causalidade de Granger entre o lucro e o preco das acoes. As evidencias apontam que existe um relacionamento de longo prazo entre o lucro e os precos das acoes. Contudo, nao se pode estabelecer uma relacao clara de causacao entre essas duas variaveis. Adicionalmente, os resultados indicam que o lucro apurado pela contabilidade Argentina, que tem caracteristica menos ortodoxa do que a dos outros paises latino-americanos, apresenta comportamento mais tipicamente estacionario e maior relacao causal com o preco da acao quando comparado com os lucros dos outros paises da America Latina.

Análise empírica de modelos de valuation no ambiente brasileiro: fluxo de caixa descontado versus modelo de Ohlson (RIV)

This paper uses equity analysts forecasts for Brazilian firms to analyze whether there are significant differences between the results from the estimation of equity value when applying the discounted cash flow model (DCF) and the residual income model (OHLSON). The approach used in this research is pioneer, considering that previous papers comparing valuation models in Brazil used researchers assumptions, based on public information, to implement the valuation models. However, the correct implementation of these models relies on market expectations (i.e. equity analysts) to calculate equity values. Additionally, we evaluate what model (DCF or OHLSON) better explains the Price-to-Book relation for future periods. Conclusions are: i) there are statistically significant differences for estimates of equity value when using discounted cash flow models and residual income models, and ii) Price-to-Book ratios calculated through discounted cash flow models have higher explanatory power for future Price-to-Book ratios than the estimates of this ratio using residual income valuation models.

Interactions between corporate governance, bankruptcy law and firms' debt financing: the Brazilian case

This paper examines the relationship between corporate governance level and the bankruptcy law for such debt variables as firms cost of debt and amount (and variation) of debt. Our empirical results are consistent with the models prediction. First, we find that the better the corporate governance, the lower the cost of debt. Second, we find that better corporate governance arrangements relate to firms with higher amounts of debt. Finally we find that better governance and harsher bankruptcy laws have a positive effect on debt. Moreover, this effect is stronger for firms with worse corporate governance, which indicates that the law works as a substitute for governance practices to protect creditors interests.

O impacto da Lei Sarbanes-Oxley (SOX) na qualidade do lucro das empresas brasileiras que emitiram ADRs

Este trabalho objetiva analisar o impacto da Lei Sarbanes-Oxley (SOX) na qualidade do lucro das empresas brasileiras que emitiram ADR antes de 2002. Os escândalos contabeis de companhias como Enron e WorldCom reduziram a confianca dos investidores sobre a veracidade das demonstracoes financeiras. A SOX surgiu com o proposito de proteger os investidores pela melhora na precisao e na confiabilidade na divulgacao das demonstracoes das empresas. Para medir a qualidade dos lucros, foram utilizados o Modelo de Basu (1997) e os modelos apresentados em Ball e Shivakumar (2005), estimados com dados em painel. Esperava-se que o aumento da regulamentacao implicasse em maior grau de qualidade dos lucros nas empresas no periodo pos-SOX. Os resultados encontrados nao sao significativos nos modelos de Reversao a media das variacoes dos lucros e Cash Flow de Ball e Shivakumar (2005), mas os resultados do Modelo de Basu (1997) sugerem indicio de aumento do conservadorismo contabil apos a SOX, nas empresas brasileiras que emitiram ADR antes de 2002. Contudo, esse aumento do conservadorismo pelo Modelo de Basu (1997) tambem foi observado para todas as empresas brasileiras. Portanto, os resultados aqui apresentados sugerem indicios de aumento do conservadorismo brasileiro a partir de 2002, mas por outros motivos economicos que nao ocasionados pelo efeito SOX.

Relação dos modelos DuPont com o retorno das ações no mercado brasileiro

This paper investigates the relation between the ratios resulting from the two different possibilities of ROE decomposition (known in literature as DuPont and modified DuPont analysis) and Brazilian firms stock returns. Differently from traditional DuPont analysis, the modified DuPont analysis explicitly splits operating and financial performance. To put in practice our analysis, we consider Brazilian firms listed from 1995 to 2008. Our results suggest that ROA (derived from traditional DuPont analysis) has higher explanatory power than operational ROA (derived from modified DuPont analysis) regarding stock returns. Further results show that operating components better explain stock returns than financial components.

Gerenciamento de resultados em bancos com uso de TVM: validação de modelo de dois estágios

Studies investigating earnings management in banks have been particularly concerned with the use of Loan Loss Provisions (LLP) and mainly use two-stage models to identify discretionary management actions. Another type of record that has received attention from researchers in identifying discretionary management actions is the classification and measurement of the fair value of securities. In this case, however, one-stage models have prevailed. The present study aims to develop and validate a two-stage model for the identification of discretionary management actions using gains obtained from securities. Our model incorporates macroeconomic indicators and specific attributes of the securities portfolios to the traditional parameters used in models previously utilized in the literature. To validate the proposed model, the results are compared with the results from the estimation of a one-stage model - a methodology widely used in the literature. Tests conducted with the two models reveal evidence of income smoothing using securities and the classification of available-for-sale securities among the actions taken by management. The consistency of the results across the two models validates the proposed model, thereby contributing to the development of research on the topic that is not only concerned with determining whether earnings management is practiced but also whether it can be associated with other variables. We also find that securities-based earnings management is more significant in smaller-sized banks and in banks controlled by private capital.

Remuneração em opções de ações: o SFAS 123 revisado

Different kinds of awards have been developed to stimulate employers to focus on the maximization of the fi rm value. To reach this target, entities use share-based payment in exchange for the employee services they receive. However, the utilization of these instruments results in controversial questions for Accounting. Should equity awards be recognized as expenses? Is a share option award (issued to pay for employee services) a liability or an equity instrument? What method should be used to measure the value of this instrument? What period of time should be considered to account for this kind of transaction? In order to establish accounting standards for transactions in which an entity exchanges its equity instruments for services, the FASB recently released SFAS 123 revised. This paper discusses share-based payment issues, concentrating on employee share options, and aims to review and analyze the conceptual framework of SFAS 123 revised. It presents the historical evolution of controversial regulations about this theme, discusses the main concepts issued by SFAS 123 revised and addresses FASBs argumentation about the theoretical background of this standard.

Motivações determinantes para a recompra de ações: um estudo empírico no mercado de ações brasileiro no período de 1995 a 2008

The objective of this work was to verify the determining reasons for Brazilian companies to repurchase shares in the period from 1995 to 2008. The explanatory variables used in the statistical tests were based on previous studies (DURAND, 1952; JENSEN; MECKLING, 1976; SPENCE, 1973). The data were obtained from the Economatica database and the empirical tests consisted of multiple regression with pooled data, with the help of least squares and Tobit methods. Pooled and Tobit regressions were applied to verify the statistical robustness of the results. The study was based on the capital structure adjustment, agency, dividend substitution and signaling theories. The reasons for share repurchases tested were adjustment of the capital structure, reduction of available cash flow, substitution of dividend payments and firm undervaluation. The only statistically significant reason for share buybacks was reduction of available cash flow. In light of agency theory, this indicates that firms with available cash can repurchase their shares with the intention of minimizing the principal-agent conflict.O objetivo deste trabalho foi verificar as motivacoes determinantes para a recompra de acoes no mercado de acoes brasileiro, no periodo de 1995 a 2008. As variaveis explicativas, utilizadas nos testes estatisticos, foram fundamentadas em estudos anteriores (DURAND, 1952; JENSEN; MECKLING, 1976; SPENCE, 1973). Esta e uma pesquisa positivista, realizada por meio da coleta de dados da Economatica. Os testes empiricos foram efetuados por meio de regressao multipla de dados em Pooled, com ajuda dos metodos LS (Least Squares) e Tobit. O Pooled e o Tobit foram aplicados para verificar a robustez estatistica dos resultados. O estudo foi desenvolvido com base nas teorias de ajuste da estrutura do capital, de agencia, de substituicao de dividendos e de sinalizacao. Foram testadas as seguintes motivacoes: ajuste da estrutura do capital, reducao do fluxo de caixa disponivel, substituicao do pagamento de dividendos e subavaliacao do valor da empresa. Os resultados encontrados em relacao a recompra de acoes indicam que a motivacao que se mostrou estatisticamente significante foi a reducao do fluxo de caixa disponivel. Isso conduz a afirmacao de que, com base na teoria de agencia, empresas com disponibilidade de caixa podem recomprar acoes na intencao de minimizar o conflito existente entre o principal e o agente.

Returns to Value Investing: Fundamentals or Limits to Arbitrage?

In this paper we contribute to the literature on accounting-based fundamental analysis (Piotroski, 2000; Monharam, 2005) by specifically addressing the restrictions to arbitrage hypothesis. Using a unique dataset from Brazil where financial statements are uninformative, stock markets synchronous - conditions related to the irrelevance of financial statement analysis - and arbitrage severely limited, we show that firms with strong fundamentals generate abnormal returns as long as there are limitations to arbitrage on their stocks. Our results shed some light on the actual causes of the apparent puzzle related to HBM stocks with strong fundamentals.

Avaliação de empresas por múltiplos aplicados em empresas agrupadas com análise de cluster

Este estudio verifico si hay evidencias de que el metodo de evaluacion de empresas por multiplos tiene su rendimiento aumentado, cuando se aplica en conjunto con el analisis de cluster para la seleccion de las empresas comparables, dado que ese abordaje busca producir agrupaciones con homogeneidad maximizada, y la evaluacion por multiplos requiere empresas comparables semejantes a la empresa blanco. Para analizarse el rendimiento, se evaluo el rango intercuartil de los errores de tasacion generados cuando las comparables pertenecian al mismo sector economico versus cuando pertenecian al mismo cluster. Adicionalmente se llevaron a cabo pruebas para comparar las medias de las diferencias de los errores de tasacion considerandose la empresa comparable como siendo del mismo sector economico de la empresa blanco y considerandose que la empresa blanco pertenece al mismo cluster de la empresa comparada. Los resultados sugieren reduccion de la dispersion de los errores de tasacion, teniendo el rango intercuartil como referencia, indicando mejora de rendimiento del metodo de evaluacion por multiplos cuando utilizado en conjunto con el analisis de cluster. Sin embargo, las pruebas para comparacion de las medias de las diferencias de los errores de tasacion por sector economico versus cuando pertenecian al mismo cluster, no refuerzan la conclusion del analisis del rango intercuartil, indicando que no hay mejora de rendimiento de la metodologia de evaluacion por multiplos asociada a la herramienta de cluster. Los resultados obtenidos refuerzan la practica de los analistas de mercado de comparar la empresa blanco con las empresas actuantes en el mismo sector economico.This study checked if there is any proof that the method of companies assessment by Multiples has its performance increased if applied together with the cluster analysis for selecting comparable companies, since such approach aims to produce groupings with maximized homogeneity, and the Assessment by Multiples requires comparable companies similar to target companies. In order to analyze the performance, the interquartile range of the pricing errors generated when the comparable companies belonged to the same economic sector versus the time when they belonged to the same cluster. Furthermore, tests were performed to compare the average difference between pricing errors, considering the comparable company as in the same economic sector of target company and that the target company belongs to the same cluster of the compared company. The results suggest reduction of dispersion of pricing errors, having the interquartile range as reference, indicating improvement to the performance of assessment method by Multiples when applied together with cluster analysis. However, the tests for comparing the average difference of pricing mistakes per economic sector versus the time when they belonged to the same cluster, do not consolidate the conclusion for the analysis of the interquartile range, indicating no improvement of performance for the assessment methodology by Multiples related to the cluster tool. The results achieved consolidate the practice of market analysts of comparing the target company to the companies acting in the same economic sector.