cap. 5 scott
TRANSCRIPT
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Cap. 5 Scott
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HME
Nova informaçãoInfluencia
comportamento da ação
PESQUISA, ex.: Ball and Brown 1968
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HME
Quando a informação é útil?
Se ajuda o investidor a mudar suas expectativas
Investigação por meio da linha: information approach
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The information approach
• … is an approach to financial reporting that recognizes individual
responsibility for predicting future firm performance and that
concentrates on providing useful information for this purpose.
• The approach assumes securities market efficiency, recognizing that
the market will react to useful information from any source,
including financial statements.
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Reação do mercado
Expectativas antes da divulgação
Avaliação da expectativa
Revisão da expectativa
Alteração no volume negociado
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Evidências
• Beaver (1968), in a classic study, examined trading volume reaction
• He found a dramatic increase in volume during the week of release of earnings announcements
E muitas outras surgiram também!!!
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Como definir se temos uma boa ou má notícia?
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http://www1.folha.uol.com.br/mercado/2016/10/1826034-lucro-da-pg-supera-estimativas-de-analistas-com-cortes-de-custos.shtml
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http://istoe.com.br/lucro-do-gpa-no-varejo-alimentar-ficou-abaixo-do-esperado-por-analistas/
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http://g1.globo.com/tecnologia/noticia/2016/02/linkedin-estima-lucro-abaixo-do-esperado-para-o-1-trimestre.html
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Como avaliar a reação do mercado a uma boa notícia (lucro acima da expectativa)?
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Estudo de evento - Retomando
DEMONSTRAÇÕES CONTÁBEIS NO BRASIL APÓS ADOÇÃO DO CPC 13: REAÇÃO DO MERCADO DE AÇÕESAdvances in Scientific and Applied Accounting ISSN 1983-8611 São Paulo v.7, n.3 p. 362 - 385 Set. / Dez. de 2014
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Estudo de evento - Retomando
DEMONSTRAÇÕES CONTÁBEIS NO BRASIL APÓS ADOÇÃO DO CPC 13: REAÇÃO DO MERCADO DE AÇÕESAdvances in Scientific and Applied Accounting ISSN 1983-8611 São Paulo v.7, n.3 p. 362 - 385 Set. / Dez. de 2014
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Scott, cap. 5, página 147
This abnormal return is also interpreted as
the rate of return on firm j's shares
for day 0 after removing the influence of market-wide
factors.
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Comparing Returns and Income
Lucro realizado
Lucro esperado
tempo
good news
RA
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Comparing Returns and Income
Lucro esperado
Lucro realizado
tempo
bad news
RA
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THE BALL AND BROWN STUDY - 1968
261 New York Stock Exchange
(NYSE) firms
1957 to1965
Dois grupos: GN (lucro acima da
expec); BN (abaixo)
Proxy para expec. Do mercado –
lucro em t-1
Monthlyreturns
Evidências de uso da
informação
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Scott, cap. 5, página 151
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THE BALL AND BROWN STUDY - 1968
As the market learns this information from more timely sources
Widewindow
it cannot be claimed that reported net income causes the abnormal returns during the 11 months
leading up to month 0. The most that can be argued is that net income and returns are
associated.
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Atividade
• Acessar arquivo no Stoa: “Atividade 04.04”
• Selecionar ação do grupo
• Comparar os resultados calculados em sala com a planilha de correção (se houver dúvidas ou ajustes a fazer, me chamar)
• Avaliar o lucro divulgado em 2016 e classificar em boa ou má notícia (colocar a variação)• Com base no EPS (ver arquivo “eps expected” no Stoa)• Com base no lucro em t-1
• Aumenta nosso poder de explicação? Analisar e escrever o motivo do aumento ou redução no lucro
• Há diferença ao trabalho com EPS ou lucro t-1? Qual o mais adequado na opinião do grupo?
• Houve melhora na sua avaliação do RA?