Qualidade da informação contábil, risco de crash e sentimento do investidor

Abstract

The crash risk can be defined as a negative asymmetry in the distribution of returns of a specific firm and, in addition to the traditional approach linked to models of rationality with aggregated complete information, its investigation can also follow the perspective of behavioral finance and models that assume rationality with aggregated incomplete information. This research follows these two approaches by bringing investor sentiment and the quality of accounting information to the analysis. Thus, the aim was to examine how fluctuations in investor sentiment caused by limitations in the quality of accounting information influence the crash risk in the Brazilian stock market. In this sense, there is also an innovative aspect in proposing the analysis of these aspects in the context of the Brazilian stock market, since research involving crash risk is mostly focused on Asian countries. Thus, based on a sample of 308 companies listed on B3, the crash risk was measured from the variables NCSKEW and DUVOL, based on weekly returns, and investor sentiment was calculated at the firm and, also, at market levels in order to bring greater robustness to the results. The quality of accounting information was represented by earnings management and accounting conservatism, calculated from discretionary accruals and the c_score measure, respectively. Thus, the parameters of the econometric models were estimated by GMM-Sis. The results of the estimates indicate that investor sentiment only influences the crash risk when measured at the market level, losing its explanatory power when considered at the firm level. Regarding the factors of the quality of accounting information, it was found that they do not have significant effects on investor sentiment and its relationship with the crash risk. Given this, it is understood that the factors addressed by behavioral finance have greater influence on the market when compared to the rational elements discussed here. Thus, there is an expectation that the results achieved may contribute to the expansion of the theme in Brazil, as well as bring understanding and critical understanding about the importance of subjective and sentiment factors in investment decisions and, in the corporate environment, the relevance of considering such factors in their strategies.