Violação de covenants financeiros, agentes de mercado e sentimento do investidor

Abstract

This thesis aimed to analyze whether and how investor sentiment moderates the relationship between financial covenant violations and the behavior of investors and external auditors in the Brazilian capital market from 2010 to 2024. The arguments are that during periods of high investor sentiment, the cumulative abnormal returns of stock prices and the liquidity of shares are greater, while the yield spreads of debentures are lower, as well as the fees for external auditing, because the market is made up of efficient and inefficient participants, using cognitive biases for decision-making, as recommended by HMA. The firm-level investor sentiment index was measured according to the metric of Seok et al. (2019), using a dummy variable to indicate periods of high sentiment. We used eight measures of financial covenant violations to capture the effects of time, the type of debt violated, and the intensity of the violation. We manually collected the data from the explanatory notes and audit firms. We extracted data from the audit reports and reference forms on the [B³] website. We obtained data on debentures from the websites of the Associação Brasileira das Entidades dos Mercados Financeiros e de Capitais (ANBIMA) and the Sistema Nacional de Debêntures (SND). We extracted the remaining market and accounting data from the Thomson Reuters Refinitiv Nikon database. We employed linear regressions with unbalanced panel data to test H1, H2, and H4 research hypotheses. We estimated using the Sys-GMM method, considering fixed effects for firms and using first differences with a two-step approach. Regarding the research hypothesis H3, we estimated the regressions using the Pooled Ordinary Least Squares (POLS) estimator, also with fixed effects, clustered by year and sector, and with robust standard errors for the coefficients calculated using the HC1 method. In the first agenda, the results indicate that investor sentiment mitigates the effects of financial covenant violations on stock returns and liquidity, supporting research hypotheses H1 and H2. In particular, violations during periods of high investor sentiment generate a positive effect on cumulative abnormal returns and a negative effect on the bid-ask spread without impacting stock volatility. In the second agenda, the results show that investor sentiment also reduces the effects of financial covenant violations on the yield spreads of corporate debt securities. Violations during periods of high investor sentiment result in a decrease in debenture spreads, not rejecting research hypothesis H3. Finally, the third agenda presents evidence that investor sentiment mitigates the consequences of financial covenant violations on external audit fees. Specifically, violations during optimistic investor sentiment lead to decreased audit fees, corroborating research hypothesis H4. Additional tests with adjustments to the dependent variables confirmed these results. Overall, the findings indicate 8 that investor sentiment in the Brazilian capital market moderates the relationship between financial covenant violations and the behavior of both investors and external auditors, supporting the thesis proposal. This thesis contributes to both national and international literature by investigating financial covenant violations in the Brazilian market, providing evidence on their consequences and demonstrating that market participants' behavior is influenced by factors such as investor sentiment, challenging the notion of total market efficiency. Furthermore, it offers practical insights for managers, investors, and auditing firms, emphasizing the importance of monitoring covenants to avoid violations and reduce risks, and suggests that regulators consider making the disclosure of these covenants mandatory in financial statements to enhance investor protection in the bond market.