José Odálio dos Santos

Emissão de Dívida e Gerenciamento de Resultados

The aim of this paper is to analyze earnings management (EM) surrounding debenture issues of companies listed on the BM&FBOVESPA. EM is an intentional intervention in external financial reports in order to obtain some private gain. This practice is especially important at the time of issuing debentures because if earnings are inflated, investors may pay an artificially high price. To measure earnings management, current discretionary accruals were used as a proxy, based on the Modified Jones and Modified Jones with ROA econometric models. All of the regressions considered the fixed effects of the companies and the time series effects of the analyses. Evidence was found that companies inflate their financial results in the issuing period in order to positively influence their investors. The results suggest that there is EM in the quarter preceding the issue (t = 1), indicating the influence that investors may have been under when making the decision to invest in debentures from these companies. In addition, it was verified that companies with higher debt, profitability, and sales growth ratios have higher levels of earnings management. The reputation of the auditor was not statistically significant regarding reductions in the level of management. The results also show that companies listed on Level II and New Market had higher levels of management when considering the Modified Jones with ROA model. Therefore, it can be concluded that there is a greater level of earnings management in companies that issue debentures in the period preceding the event. Finally, the variable that is directly related to the level of earnings management is sales growth.

Mercado de capitais: racionalidade versus emoção

A flutuacao dos precos de mercado dos ativos tem sido objeto de um embate entre duas correntes diferentes de pensamento: de um lado estao os que defendem que os precos se formam aleatoriamente com base em informacoes novas e que os investidores tomam decisoes racionais, dentro dos pressupostos da Teoria de Eficiencia de Mercado. De outro lado, ha os que consideram que a realidade e muito mais complexa e que ninguem e capaz de levar em conta todas as variaveis na hora de investir e que parte dessa decisao tem tambem um componente humano ou emocional. Estes ultimos sao os defensores das teorias ligadas as financas comportamentais. Este trabalho destaca as principais caracteristicas de mercados eficientes e apresenta anomalias amplamente discutidas entre os pesquisadores para refutar a eficiencia de mercado.

Contrariando os fundamentos de finanças corporativas: análise da destruição de valor na Petrobras a partir de 2010

This qualitative research is developed to explore and understand the destruction of value occurred in Petrobras S.A. – this is one of the most intriguing cases involving a publicly traded company in the country. The exploratory nature of research objectives seek to identify the main factors that contributed to the significant loss of market value occurred in the company from 2010. Using the case study method, it is possible to explain the preponderant causal variables of the value destruction promoted in the company. The results of the research indicate that Petrobras S.A. has been subjected in recent years to bad strategic decisions that have run counter to the fundamentals of corporate finance. In addition, exposure to systemic and non-systemic risks and Corporate Governance issues were other determining factors for the Company’s share price decline and its destruction of value. With the company at the center of one of the largest corruption and fraud scandals involving politicians and businessmen in this country, financial market discredit and the scenario of unrealistic future expectations projected by potential investors were additional aspects that intensified the value destruction scenario and which led to significant financial losses for its shareholders. Although some strategic measures to recover the company’s market value have been adopted by the company’s management since 2015, the interest in the topic of value destruction in one of the largest Brazilian publicly traded companies deserves to be analyzed with due methodological rigor by academic research.

VIÉS E INCERTEZAS QUE CERCAM OS LAUDOS DE AVALIAÇÃO: ANÁLISE DA OFERTA PÚBLICA DE AÇÕES MAGNESITA REFRATÁRIOS S.A.

The issuance of an appraisal report becomes mandatory when the Public Offer for Acquisition of Shares OPA. Endowed with subjectivity, these valuation reports are guides for assigning value to an entity. This research had the objective of analyzing an appraisal report issued in 2007. To achieve this goal, Magnesita S.A., an industry engaged in the production of refractories for the steel and cement industries, was randomly selected. The expected result of the valuation of a company is to attribute, by means of specific methods, value to an entity. This value should be free of bias and pre-judgments on the part of the analysts so that this value adequately reflects the company in its qualitative and quantitative aspects. However, it is possible to say that the market is not as rational and well-informed as the studies on the theory of market efficiency show. In fact, it is formed by individuals who search for results in a very peculiar way, based on realities built according to their life experience, the possibility of access to information and personal interests. Key-words: Valuation reports; company valuation; market efficiency.

Análise de Variáveis que Afetam o Retorno das Ações de Empresas do Setor Energético Brasileiro

This paper analyses the excess return over the risk free rate for the energy sector stocks in Brazil, listed at BMF EMBI+; energy consumption), (iv) company’s indicators (beta and stock’s Volume Ratio, P/E ratio, Sharpe, Jensen and Treynor), and (v) dummy which representatives news about “operacao Lava Jato”, which is an anti-corruption act of the Brazilian Federal Policy. Based on long time series, from September/1999 to March/2015, it aims to analyses the influence of these indicators on the ordinary and preferred stock returns of Petrobras e da CEMIG – the most representative on the electric sector, responsible for 7,6% on the BMF&Bovespa market capitalization. We found important differences on the explanatory variables for the pre and post financial market’s crisis, between the second semester/2007 and March/2009, in special for the Crude Oil Brent, relevant to explain the pre-crisis Petrobras returns. The market risk premium and the Crude Oil Brent variation are relevant variables to explain the stock prices returns in the energy sector in Brazil, as well as in SADORSKY (2001) and EL SHARIF et al (2005).

Impacto da estrutura de capital no EVA® dos bancos listados na BM&F BOVESPA

The determinants of generating results and capital structure in financial institutions have been widely discussed topics in Corporate Finance. The objective of this research is to identify the impact of capital structure on adding wealth to capital suppliers, considering two groups of banks with shares traded on the BM&FBOVESPA: (i) large and (ii) medium-sized. Based on a sample of nine banks, with three large and six medium-sized, and considering the semi-annual data on financial statements from 2009 to 2014, the period after the 2008 banking crisis, three hypotheses are tested with the use of statistical techniques of linear and quadratic regression, Pearson correlation and p-value. The research is characterized as descriptive and empirical-analytical methodology, using the Leverage Ratio measures (IA) and Economic Value Added (EVA®). The results indicate to the characteristics of the study groups. The large banks group had high explanation of the generation of EVA® from its capital structure. In contrast, medium-sized banks groups capital structure did not provide explanatory power for the generation of EVA®, however, the research identified two factors with explanatory power in this group: (i) the expenses for allowance for loan for Doubtful Accounts (ADA) and (ii) the operating efficiency indicator. The justification of this work is based on the relevance and topicality for the academic community and the representative of banking in the countrys economic development.

Análise da alavancagem financeira, índice preço/lucro (P/L) e Q de Tobin das principais empresas do setor de transportes aéreo no Brasil

Inicialmente, o que se espera e que quanto menor e o valor da divida onerosa, menor e o risco financeiro das empresas e, consequentemente, melhores sao as condicoes para a captacao de recursos no mercado para expansao das atividades. Em outras palavras, uma reducao da alavancagem financeira pode contribuir para a criacao de valor e, consequentemente, para que os investidores projetem resultados favoraveis com base nos fluxos futuros de caixa a serem gerados pelas empresas. Assim, as decisoes de financiamentos nas companhias aereas, ou seja, a determinacao da estrutura de capital pode ser considerada fundamental para viabilizar a melhor estrutura financeira para estas empresas, contribuindo ainda para a criacao de valor para seus acionistas. Esta pesquisa de natureza quantitativa tem por objetivo analisar se a estrutura de capital, representada pelo Coeficiente da Divida (CD), e o crescimento, pelo Indice Preco/Lucro (P/L), contribuiram para a criacao de valor para os acionistas, este mensurado com base no Q de Tobin. Neste sentido, para verificar se esses resultados estao presentes no setor de transporte aereo nacional, foram selecionadas as duas principais empresas aereas em atividade no Brasil, GOL e LATAM. A analise de dados compreendeu o periodo de dezembro de 2006 a dezembro de 2012 – um periodo pre e pos crise financeira internacional, com apuracoes trimestrais de informacoes para as variaveis analisadas. As tecnicas estatisticas utilizadas foram o Coeficiente de Correlacao, o p-value e o Indice de Determinacao Ajustado (R2). Complementarmente, foi realizado o teste de regressao linear multipla para verificar se a criacao de valor medida pelo Q de Tobin, a variavel dependente, foi influenciada pelo Coeficiente de Divida (CD) e Indice Preco/Lucro (P/L), as variaveis independentes da pesquisa. Os resultados obtidos sao significativos estatisticamente, compativeis com o desempenho financeiro das empresas no periodo e aceitaveis para explicacao da criacao de valor.

Análise do impacto das fusões e aquisições na criação de valor e no retorno das ações ordinárias dos principais bancos brasileiros de grande porte entre 2003 a 2013

As fusoes e aquisicoes representam a possibilidade de criacao de valor para o acionista. As decisoes por tal porte de investimento tem diferentes motivacoes, muitas justificadas em teorias economicas: da maximizacao dos lucros da firma e utilidade gerencial. A mensuracao dos resultados das transacoes com F&A´s, em curto e longo prazo, foram pelo metodo do estudo de eventos e do EVA®, respectivamente. O segmento de industria em analise foi de instituicoes financeiras, em especial, bancos, com acoes negociadas na BOVESPA e ativos totais superiores a R

Emissão De Dívida e Gerenciamento De Resultados (Debt Issue and Earnings Management)

500 milhoes. A especificidade e a preponderância do setor na economia brasileira demonstraram que o teste aplicado para 22 eventos de F&A´s, entre 2003-2013, apresentou retornos anormais estatisticamente nao significativos em curto prazo, e que o desempenho em longo prazo, em sua maioria, medido pelo EVA® geraram valor ao acionista.

Análise da relação risco e retorno em carteiras compostas por índices de bolsa de valores de países desenvolvidos e de países emergentes integrantes do bloco econômico BRIC

Portuguese Abstract: O objetivo deste artigo e analisar o gerenciamento de resultados (GR) ao redor do evento de emissao de titulos de dividas (debentures) das empresas listadas na BM&FBOVESPA. Com isso, ele busca verificar se as empresas inflam seus resultados financeiros no periodo de emissao com a finalidade de influenciar positivamente seus investidores. O GR e uma intervencao proposital nos relatorios financeiros externos, a fim de obter algum ganho privado. Essa pratica e especialmente importante no momento de emissao de debentures, isso, porque, se os resultados forem inflados, os investidores podem pagar um preco artificialmente elevado. Para mensurar o gerenciamento de resultados, utilizou-se como proxy, as acumulacoes discricionarias correntes. Os modelos econometricos aplicados foram o Jones Modificado e o Jones Modificado com ROA. Os resultados sugerem que ha gerenciamento no trimestre que antecede a emissao (t = - 1), apontando a influencia que os investidores podem ter sofrido na tomada de decisao de investir em debentures dessas empresas. Alem disso, constatou-se que empresas com maiores indices de endividamento, rentabilidade e crescimento de vendas apresentam maiores niveis de gerenciamento de resultados. A reputacao do auditor nao se mostrou estatisticamente significante em relacao a reducao do nivel de gerenciamento. Os resultados tambem mostram que empresas listadas no Nivel II e Novo Mercado apresentaram maiores niveis de gerenciamento ao considerar o modelo de Jones Modificado com ROA. Por fim, de forma complementar, para efeito de robustez, foi realizada a mesma analise considerando a data de registro na CVM. Os resultados nao foram estatisticamente significantes.English Abstract: The purpose of this paper is to analyze the earnings management (EM) around the issuance of debentures of companies listed in BM&FBOVESPA. EM is a purposeful intervention in the external financial reports in order to get some private gain. To measure earnings management, the current discretionary accruals were used as proxy. The applied econometric models were Modified Jones and Modified Jones with ROA. The results suggest that there is EM in the quarter preceding the issue (t = - 1), indicating the influence that investors may have suffered in making the decision to invest in debentures of these companies. In addition, it was verified that companies with higher debt, profitability and growth ratios have higher earnings management levels. The reputation of the auditor was not statistically significant compared to the reduction of management level. Finally, companies listed on Level II and New Market had higher levels of management when considering the model of Modified Jones with ROA.