José Alves Dantas

Reação do mercado à alavancagem operacional: um estudo empírico no Brasil

Studies evaluating the impact of financial reporting information on capital market variables have gained great importance in the accounting literature and became a tool for assessing the usefulness of accounting information. The present study follows the l path of earnings-return research, measuring operating leverage as a substitute for net income shown in the financial statements. It is based on data between the second quarter of 2001 and the third quarter of 2004 referring to firms listed on Bovespa (Sao Paulo Stock Exchange) and relating to the following sectors: petroleum and gas, basic materials, industrial goods, construction and transportation, non-cyclical consumption, and cyclical consumption. The hypothesis of the study is that since operating leverage, besides being related to earnings (operating earnings), is one of the factors determining the systematic risk of stocks, and since there is a relationship between risk and stock returns, it is possible to infer a positive relationship between the degree of operating leverage and stock returns. Empirical tests carried out using panel data methods suggest that the operating leverage is statistically relevant in explaining the behavior of stock returns and that this relationship is positive, as predicted by theory. The results also demonstrate that statistical relevance increases when stricter parameters are employed for analyzing the data and that the conclusions are not determined by outlier behavior. Unit root tests on the data series as well as autocorrelation and heteroskedasticity tests on the residuals ensure the robustness of the results obtained.

The Impact of the Degree of Operating Leverage on Stock Returns: An Empirical Study in the Brazilian Market

Empirical studies evaluating the impact of accounting information on the stock market have acquired great importance in the accounting literature and have become an instrument to assess the relevance and usefulness of accountancy itself. Following this path, we investigate the impact of the degree of operating leverage on stock returns in the Brazilian market. Since there is a widely documented relationship between the degree of operating leverage and systematic risk, and between the latter and stock returns, it should be logical to infer an association between the degree of operating leverage and stock returns. We perform empirical tests using panel-data regressions with no effects, fixed effects and random effects to test the hypothesis that the degree of operating leverage is one of the factors determining the systematic risk of stocks. Our sample includes data extending from 2001 to 2004 of firms listed on the Brazilian Stock Market (Bovespa). We find evidence of a positive and significant relationship between those two variables, as expected.

O Papel de variáveis econômicas e atributos da carteira na estimação das provisões discricionárias para perdas em operações de crédito nos bancos brasileiros

The study assesses whether incorporating macroeconomic variables and attributes of the loan portfolio improves the specification of models designed to identify management discretion in making loan loss provisions by banks, considering the standards issued by regulatory agencies. The empirical tests confirm the consistency of the proposed model based on the expected signs of the explanatory variable’s parameters and their statistical significance. These results were confronted with those of other models found in the literature by comparing the models’ adjusted R 2 s, by applying Vuong’s (1989) model selection test, by using an F test for nested models, and by analyzing the persistence of the non-discretionary components of loan loss provisions, which shows that the incorporation of macroeconomic variables and attributes of the loan portfolio improves the empirical investigation of discretion practiced by banks.

Determinantes do spread bancário ex post no mercado brasileiro

Bank profitability is usually considered a relevant factor to provide the reliability of the financial system, reducing the risks associated to events of bankruptcy in this sector. In Brazil, however, there has been a great deal of discussion concerning the amount of earnings of financial institutions operating in the country, centered on the argument that such earnings are too large, becoming an excessive burden to the wealth-producing sector. For this reason, several studies have evaluated the structure, the evolution, and the determinants of banking spread, which is taken as the main variable responsible for the supposedly abnormal earnings. From the methodological viewpoint, these studies have concentrated in investigating the ex-ante banking spread related to operations with free resources and they have utilized macroeconomic factors as independent variables. The present study aims at identifying variables determining the ex-post banking spread, privileging explanatory variables intrinsic to the institutions, in other words, microeconomic. The extant literature on determinants of banking ex-post spread in Brazil presents a single previous paper, which presents poor results due to a problem of micronumerosity. To avoid such problem, our study utilizes data of balance sheets of banking institutions with operating credit portfolios from January 2000 to October 2009. Using a dynamic panel-data regression model, we test nine hypotheses and we find that the level of ex-post banking spread has relationships which are significant and: (i) positive with the credit portfolio risk; (ii) negative with the relative participation of the institutions in the credit market. On the other hand, we could not find statistically significant relationships between the level of ex-post banking spread and: the level of coverage of administrative expenses by revenues from services rendered; the origin of the institutions’ controlling capital, i.e. national versus foreign and state-owned versus private; the economy’s basic interest rate; the volatility of the Sao Paulo Stock Exchange stock index.

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.

EVOLUÇÃO DA REGULAÇÃO DA AUDITORIA INDEPENDENTE NO BRASIL: ANÁLISE CRÍTICA, A PARTIR DA TEORIA DA REGULAÇÃO

O trabalho apresenta um ensaio historico-critico, com o proposito de discutir a evolucao dos movimentos regulatorios da atividade de auditoria independente no Brasil, tendo por referencia a teoria da regulacao. Nessa perspectiva, discute-se o papel da regulacao da atividade de auditoria como instrumento para o provimento de informacoes financeiras mais confiaveis, a partir dos instrumentos legais e os requerimentos normativos instituidos pelos orgaos reguladores do mercado e da profissao contabil. Criticamente, ve-se a regulacao como uma resposta aos problemas pontuais que ocorrem em funcao da atuacao das empresas e da dinâmica dos mercados, que traz efeitos positivos e tambem perversos para os diversos agentes. A analise realizada demonstrou que a teoria do interesse publico, a teoria da captura e a teoria economica da regulacao podem ser aplicadas de forma complementar para explicar os movimentos regulatorios verificados, nao obstante a prevalencia dessa ultima. A narracao dos fatos demonstra que permanece um distanciamento em relacao ao full disclousure pretendido com o estabelecimento da regulacao, que nao e resultado, por esse entendimento, de um movimento articulado, com uma unica base subjacente ao processo, mas fruto de multiplas teorias que se sobressaem de acordo com o contexto de instituicao. Por fim, dado ao contexto critico analitico assumido, sugere-se o desenvolvimento de pesquisas que investiguem empiricamente os eventuais efeitos perversos do processo e a prevalencia da teoria economica da regulacao, demonstrada analitica e qualitativamente no presente estudo.

Regulação da auditoria em sistemas bancários: análise do cenário internacional e fatores determinantes

This empirical-analytical study aims to provide a comparison between the levels of audit activity regulation in banking institutions and evaluate the relationship between the degree of regulation and the characteristics of national banking systems. To this end, a database containing data from a survey conducted with the national banking supervisory and regulatory authorities of 172 countries that is maintained by the World Bank was used. Descriptive statistics revealed that the highest levels of regulation are recorded in the most developed nations as well as Middle Eastern, North African, European and Central Asian countries. The study also confirmed that Brazil has a higher level of regulation than the international average. Tests were carried out using regressions to evaluate the relationship between the level of auditing regulations and the characteristics of banking sectors; it was evident that countries with higher levels of domestic credit provision by the banking sector and more profitable banks impose more requirements regarding the performance of auditors. In contrast, there is less regulation in countries where state banks participate more in the financial system and where there are more restrictions on the activities of banking institutions. A positive association between a banking sectors degree of concentration and the level of auditing regulation was not found. Finally, it was noted that, in 2000, the first year in which the employed survey was conducted, the level of regulation was lower than in the other years, whereas in 2007, the final year of the survey, the level of regulation was higher than in previous years. These results confirm the findings in the literature that auditing standards are likely to become more stringent over time as the demand for more rigorous requirements accumulates, especially during credibility crises.

Audit Assertions e a Modificação de Opinião dos Auditores no Mercado Brasileiro

Received in 10/17/17. Ask to Revise on 12/27/17. Resubmitted on 2/8/18. Accepted on 2/26/18 by Dr. Gerlando Augusto Sampaio Franco de Lima (Assistant Editor) and by Dr. Orleans Silva Martins (Editor). Published on 3/29/2018. Organization responsible for the journal: Abracicon Abstract Objective: Investigate the use of audit assertions to justify opinion changes in Brazilian audit reports. Method: A descriptive study was undertaken through content analysis, in which 2,243 reports from 338 non-financial publicly traded companies listed on BM&FBOVESPA between 2009 and 2015 were investigated, identifying 192 audit reports with a changed opinion. We investigated whether some assertion prevails in the opinion changes and whether each of them can be associated with certain accounting equity and income groups. Results: The audit assertions Evaluation and Integrity are the most used to justify opinion changes. As for the association between the audit assertions and the accounting groups, it was verified that the categories of Existence/Occurrence tend to be associated with asset and income accounts, while the Integrity categories are related to liabilities and expenses. The relevant number of justifications based on business continuity aspects stood out. Contributions: This study contributes to the development of the Brazilian literature on auditing and to reflections on the quality of audit work, mainly by presenting evidence on how and in what dimension the Brazilian auditors use audit assertions to justify opinion changes on the financial statements.

Determinants of the ex post bank spread in the brazilian market

Bank profitability is usually considered a relevant factor to provide the reliability of the financial system, reducing the risks associated to events of bankruptcy in this sector. In Brazil, however, there has been a great deal of discussion concerning the amount of earnings of financial institutions operating in the country, centered on the argument that such earnings are too large, becoming an excessive burden to the wealth-producing sector. For this reason, several studies have evaluated the structure, the evolution, and the determinants of banking spread, which is taken as the main variable responsible for the supposedly abnormal earnings. From the methodological viewpoint, these studies have concentrated in investigating the ex-ante banking spread related to operations with free resources and they have utilized macroeconomic factors as independent variables. The present study aims at identifying variables determining the ex-post banking spread, privileging explanatory variables intrinsic to the institutions, in other words, microeconomic. The extant literature on determinants of banking ex-post spread in Brazil presents a single previous paper, which presents poor results due to a problem of micronumerosity. To avoid such problem, our study utilizes data of balance sheets of banking institutions with operating credit portfolios from January 2000 to October 2009. Using a dynamic panel-data regression model, we test nine hypotheses and we find that the level of ex-post banking spread has relationships which are significant and: (i) positive with the credit portfolio risk; (ii) negative with the relative participation of the institutions in the credit market. On the other hand, we could not find statistically significant relationships between the level of ex-post banking spread and: the level of coverage of administrative expenses by revenues from services rendered; the origin of the institutions’ controlling capital, i.e. national versus foreign and state-owned versus private; the economy’s basic interest rate; the volatility of the Sao Paulo Stock Exchange stock index.

Determinantes del spread bancario ex post en el mercado brasileño

Bank profitability is usually considered a relevant factor to provide the reliability of the financial system, reducing the risks associated to events of bankruptcy in this sector. In Brazil, however, there has been a great deal of discussion concerning the amount of earnings of financial institutions operating in the country, centered on the argument that such earnings are too large, becoming an excessive burden to the wealth-producing sector. For this reason, several studies have evaluated the structure, the evolution, and the determinants of banking spread, which is taken as the main variable responsible for the supposedly abnormal earnings. From the methodological viewpoint, these studies have concentrated in investigating the ex-ante banking spread related to operations with free resources and they have utilized macroeconomic factors as independent variables. The present study aims at identifying variables determining the ex-post banking spread, privileging explanatory variables intrinsic to the institutions, in other words, microeconomic. The extant literature on determinants of banking ex-post spread in Brazil presents a single previous paper, which presents poor results due to a problem of micronumerosity. To avoid such problem, our study utilizes data of balance sheets of banking institutions with operating credit portfolios from January 2000 to October 2009. Using a dynamic panel-data regression model, we test nine hypotheses and we find that the level of ex-post banking spread has relationships which are significant and: (i) positive with the credit portfolio risk; (ii) negative with the relative participation of the institutions in the credit market. On the other hand, we could not find statistically significant relationships between the level of ex-post banking spread and: the level of coverage of administrative expenses by revenues from services rendered; the origin of the institutions’ controlling capital, i.e. national versus foreign and state-owned versus private; the economy’s basic interest rate; the volatility of the Sao Paulo Stock Exchange stock index.