Earnings quality and pricing of excess return in the brazilian capital market

Authors

  • Filipe Coelho de Lima Duarte Mestrando no PPGCC (UFPB)
  • Wenner Glaucio Lopes Lucena Professor no Programa de Pós-Graduação em Ciências Contábeis da Universidade Federal da Paraíba (UFPB)

DOI:

https://doi.org/10.5007/2175-8069.2018v15n35p161

Abstract

This paper is based on the analysis of the relation and magnitude between the earnings quality and the spread of excess return. As a metric for expected return, we used the implicit capital cost of earnings growth based on Botosan and Plumlee (2005). With a sample of 300 companies listed in B3 between 2005 and 2014 the following measures of quality of the accounting information were applied: persistence, predictability, abnormal accruals, coefficient of response of result and value relevance in order to investigate if they have differences in the capacity to explain the spread of excess return. The results showed that all the measures of earnings quality were negatively associated with the spread of excess return, and those that were efficient in measuring the mis-pricing of the actions were the coefficient of response of result (i.e, value relevance) and the abnormal accruals.

Author Biographies

Filipe Coelho de Lima Duarte, Mestrando no PPGCC (UFPB)

Graduado em Ciências Atuariais pela Universidade Federal da Paraíba (UFPB)

Wenner Glaucio Lopes Lucena, Professor no Programa de Pós-Graduação em Ciências Contábeis da Universidade Federal da Paraíba (UFPB)

Doutor em Ciências Contábeis pelo Programa Multiinstitucional e Inter-Regional de Pós-Graduação em Ciências Contábeis UnB/UFPB/UFRN

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Published

2018-06-30

How to Cite

Coelho de Lima Duarte, F., & Glaucio Lopes Lucena, W. (2018). Earnings quality and pricing of excess return in the brazilian capital market. Revista Contemporânea De Contabilidade, 15(35), 161–178. https://doi.org/10.5007/2175-8069.2018v15n35p161

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Section

Articles