Efeito das notícias pré-divulgadas no lucro : uma análise no setor de metalurgia e siderurgia brasileiro

AUTOR(ES)
DATA DE PUBLICAÇÃO

2006

RESUMO

This study examines the influence of the public disclosure information on market in the press on the companies in the period understood between the date of closing of the trimester and the spreading of its quarterly profit in the element of surprise that the spreading of the profit provokes in the market. The considered premise is of that the effect of the spreading of the profit in the returns of the actions of the companies of the sample inversely is related to the amount of published notice, the joint ones or for types, to the long one of the trimester that precedes the spreading of the profit. The carried through empirical tests with the use of the method of data in panel present empirical evidences of that, the market did not react, in the average, to the profits when divulged, therefore such reaction, significantly positive, already it occurs at the moment where the notice on the companies had been published in the press before the date of the spreading of the profit. This result is contrary to the registered one in the research of Christensen, Smith and Stuerke (2004), in the United States and presents indications of that the Brazilian market presents efficiency in its semistrong form. Already in the analysis of the individual categories of public available notice, the results do not reveal consistent with the joint analysis presenting negative and significant reaction for the categories ANALYST, EARN and STOCKDIV. These results indicate that, when analyzed jointly, the positive notice by categories, MANAGER, OPERATE and OTHERVAL, compensate with recess the negative notice that. But, empirical evidences of that the market did not react, in the average had been again verified, to the profits when divulged, what it demonstrates that this effect already was captured before, when of the publication of the notice, confirming the theory and the second hypothesis of this study. With intention to survey the robustness of the found empirical results, proxy of public available notice was introduced one, also used in the research of Christensen, Smith and Stuerke (2004), the size of the company, MARKTVAL. The unit root tests on the series as well as autocorrelation ensure the robustness of the results obtained.

ASSUNTO(S)

eficiência do mercado-hipótese contabilidade-conteúdo informacional contabilidade-teoria positiva accounting-positive theory accounting-informacional content efficiency of the market-hypothesis ciencias contabeis

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