Características dos outros resultados abrangentes e sofisticação dos investidores: uma análise sobre a precificação da informação

Abstract

The model for the disclosure of other comprehensive income (OCI) in the statement of profit and loss, to the detriment of its disclosure only in the statement of changes in equity proposed by the FASB and IASB regulators, is supported by the argument that this would bring more transparency to the market and would allow investors to perceive manipulations of information on these equity components, which would not be achieved by the previous model. However, intrinsic characteristics of OCIs such as volatility and discretionary managerial in the measurement of the fair value of some components resulting from the lack of an active market, added to the informational complexity of these equity components, require that investors pay attention to the application of the discount rate appropriate to the risk in its expected cash flows, and thus maintain the pricing of the assets at their fundamental value. However, the incomplete revelation hypothesis holds that the most costly statistics to extract from public data are not revealed in the stock price, added to this the limited attention theory shows that the attention of investors is a growing function of their information processing costs, the market being made up of investors with different levels of attention. Thus, the volatility and discretionary managerial of some of the OCI components are characteristics that undermine the informational usefulness and can raise the risk perception of less attentive investors. Such situations may impact in mispricing of the OCI and its components. In this context, this thesis argues that the sophistication of the investor, understood as attention to the usefulness of the accounting information, leads to a possible mispricing of the other comprehensive results and their components. Thus the purpose of this research was to analyze the influence of investors' sophistication, focusing on the characteristics of OCI, in the information pricing process. To achieve this, a sample of 78 shares of companies between ON and PN were traded in Brazil, Bolsa, Balcão (B3) in the period from 2010 to 2016. For OCI, the results were consistent in finding that these components are mispricing by unsophisticated investors and when there is high volatility and can, in the period of the crisis, obtain abnormal returns of up to 1.5% with these investment strategies. The results also revealed mispricing by sophisticated investors as to components that do not have an active market as a benchmark for fair value measurement. The main implications of these results show that the model currently adopted for OCI disclosure may not have achieved its objectives, since the greater evidence of this information may cause problems of raising the level of risk and mispricing of these components by investors. To minimize these problems or regulators change the way of disclosure or adopt regulations that improve the informational environment so that investors know the nature of these equity components and can price them properly, as an anomaly, being a problem of mispricing can create an environment conducive to information manipulation, which can hinder the efficient allocation of resources in the capital market.