ACCOUNTING INFORMATION AND MARKET BETA
Keywords:
Accounting Beta, Market Beta, Informational Efficiency.Abstract
The efficient market hypothesis and various models of asset pricing brought the concept of the new relevant information has an immediate effect on the price of a security by changing expectations about their risk: market beta. The accounting numbers seem to exhibit a relationship with the market risk of firms and thus can provide a supplementary estimate to help reduce the error of estimation of market betas. This work was to investigate whether the accounting betas have a business relationship with its systematic risk, calculated using the market beta. For the study, we selected 97 companies, listed at the BM&FBovespa, of 15 economic sectors, with data for the period between 1995 and 2013. We used regression calculation of the returns of bonds and the Bovespa index to calculate the market betas and 14 variables accounting for accounting betas. This study used as a tool to study the Pearson's correlation. The result suggests that, in the Brazilian market, for a low market beta, a company must have lower debt, greater liquidity and net work capital. It can be seen also that some accounting betas exhibit relationships more consistent with market betas, as they consider the variables Income Before Income Taxes, Market to Book, Debt and Liquidity. The conclusion is that these are the variables that best explain the relationship between accounting and market betas of Brazilian companies traded and listed on the stock exchange.
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