Title: The Brazilian common stock market reaction to corporations' performance

Authors: Ademir Clemente; Marines Taffarel; Wesley Vieira Da Silva

Addresses: Universidade Federal do Paraná, Av. Pref. Lothário Meissner, 632, 80210-170 Curitiba, Paraná, Brazil. ' Universidade Estadual do Centro Oeste, PR 153, Km 7, 84500-000 Irati, Paraná, Brazil. ' Pontifícia Universidade Católica do Paraná, Rua Imaculada Conceição, 1155, 80215-901 Curitiba, Paraná, Brazil

Abstract: This article aims to evaluate the capability of accounting-financial indicators to explain short run oscillations in the Brazilian common stock prices. This is an event study in which the date of disclosure of accounting information is used as reference. The approach is quantitative and uses multivariate statistical analysis. The sample consists of 24 companies chosen according to participation in the theoretical portfolio of the Sao Paulo Stock Exchange (Bovespa). Analysis is based on daily closing prices of common shares on different dates as dependent variables, and on 16 accounting-financial indicators as independent variables. The period of analysis extends from 1 January 1998 to 31 March 2008, a total of 41 quarters. A meaningful model is established for return of price 30 days after publication on quarter closing price. Such a model accounts for 29% of the variation contained in the dependent variable. Results indicate that accounting-financial indicators are actually important in explaining short run oscillations in the Brazilian common stock prices and confirm that accounting constitutes a valuable source of information for every stakeholder in the market, especially investors.

Keywords: accounting information; Brazil; stock markets; common stocks; corporation performance; firm performance; accounting indicators; financial indicators.

DOI: 10.1504/IJAAPE.2012.050010

International Journal of Accounting, Auditing and Performance Evaluation, 2012 Vol.8 No.4, pp.336 - 354

Published online: 30 Jul 2014 *

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