A aceleração dos lucros e o retorno das ações: evidências no mercado brasileiro

Abstract

Investors are constantly looking for new ways to evaluate companies and find tools that can support their investment decisions aimed at reducing risks and increasing returns. This research aimed to analyze the relationship between the earnings acceleration and the return on shares in Brazil. In this sense, we sought to analyze the relationship between the earnings acceleration and the return on shares using as a sample the publicly traded non-financial companies listed in Brazil, Bolsa Balcão (B3), between the period 2010 to 2019. The model used to define the earnings acceleration proxy was the model of the study by He and Narayanamoorthy (2019), which defines earnings acceleration as the variation in earnings growth between quarters and considers earnings growth as the change in scale obtained in earnings in compared to the corresponding quarter of the previous year. As a control, gross profitability (RB), book to market (BM), past return (RETPAS) and asset growth (CA) made up the model. The effects of accelerated earnings on earnings growth in subsequent quarters were analyzed, as well as the effect of accelerated earnings on stock returns. Finally, two theoretical portfolios were created in order to compare the accumulated returns of the companies that most accelerate earnings with the returns of the companies that least accelerate earnings. The performance of these portfolios was also compared with the performance of Ibovespa. The results indicate that the acceleration earnings proxy has a significant relationship with the growth of earnings and with the return of shares in Brazil, as well as pointing out that the theoretical portfolios composed of the companies that least accelerated earnings presented a better performance than Ibovespa. The study contributes to the literature by demonstrating that in Brazil the proxy for earnings accelerating has a significant relationship with stock returns and that it can serve researchers, investors and shareholders as an attribute to be used in portfolio allocation strategies.