Apresentação

ID: 46950

Authors: Fábio Frezatti.

Source: Revista Contabilidade & Finanças, v. 28, n. 75, p. 319-320, September-December, 2017. 2 page(s).

Document type: Editorial (Portuguese)

Editorial: - Pesquisa em História da Contabilidade: Escopo, Tópicos e Agenda

ID: 46949

Authors: Salvador Carmona.

Source: Revista Contabilidade & Finanças, v. 28, n. 75, p. 321-325, September-December, 2017. 5 page(s).

Document type: Editorial (Portuguese)

IFRS, Synchronicity, and Financial Crisis: The Dynamics of Accounting Information for the Brazilian Capital Market

ID: 46951

Authors: Bruno Figlioli, Sirlei Lemes, Fabiano Guasti Lima.

Source: Revista Contabilidade & Finanças, v. 28, n. 75, p. 326-343, September-December, 2017. 18 page(s).

Keyword: accounting information , financial crisis , IFRS , informational content , synchronicity

Document type: Article (Portuguese) Show Abstract

This study aims is to investigate the synchronicity levels of shares traded on the spot market of the São Paulo Stock Exchange, Commodities, and Futures (BM&FBOVESPA) in relation to the accounting convergence process towards International Financial Reporting Standards (IFRS) in Brazil. The term synchronicity refers to the amount that company-specific information and market information are reflected in stock prices. The more share prices reflect company-specific information rather than market information, the greater the information content of these prices will be in terms of representing the economic value of a particular company. For this investigation, information on companies and shares from 2005 to 2015 was collected, excluding the financial sector. The data were analyzed using cross-sectional and panel regressions. The results indicate a reduction in the synchronicity levels of stocks in the period of full adoption of IFRS in Brazil from 2010 onwards. From 2008 to 2009, which includes the partial adoption of IFRS in Brazil, statistically significant results were not found for the synchronicity levels of shares. However, for times of financial crisis, evidence was found of a reduction in the relevance accounting information even with the adoption of international accounting standards. The results obtained for the Brazilian context do not support the idea that the adoption of IFRS necessarily causes an increase in the informational content of financial statements and that relevant information is consequently reflected in stock prices.

Challenges with the Public Policy of Measuring Assets To Set Tariffs in the Electricity Sector: Should Someone Benefit and Someone Be Sacrificed?

ID: 46952

Authors: Maria Elisabeth Moreira Carvalho Andrade, Eliseu Martins.

Source: Revista Contabilidade & Finanças, v. 28, n. 75, p. 344-360, September-December, 2017. 17 page(s).

Keyword: concessions , electricity sector , fair value , measuring assets , tariffs

Document type: Article (Portuguese) Show Abstract

This paper contributes by encouraging discussions about the public policy of setting tariffs for public services based on the value of the investment made by the providers of these services. The purpose of this study was, in an unprecedented way and by combining theories of equity valuation and finance, to identify the asset valuation method that can lead to a fair value and balance between an affordable price for the consumer and an adequate return on investment for the concessionaires. The value assigned to these assets affects the tariff in two ways: (i) via depreciation/amortization, which affects the cost of service; (ii) via the return on investment, which is the portion that corresponds to the investor’s profit. We analyzed the Brazilian electricity sector, in which the rates set by the Brazilian Electricity Regulatory Agency (ANEEL) currently use the new replacement value (NRV) approach. We carried out empirical tests using data available on the ANEEL website from the second cycle periodic tariff review and information obtained in financial statements from 1995 onwards. The analysis included the NVR and restated historical cost (RHC) methods, the latter being updated by the extended consumer price index (IPCA). After the descriptive and statistical analyses, we used the test of means to verify the differences between the variables in terms of NRV vs. RHC. The first conclusion was the absence of a significant difference between the NRV and RHC methods; that is, on average, the replacement price showed no significant difference to what would be the pure and simple restatement of assets. But this was found to hide something relevant, the fact that this average is derived from two main groups: that of the consumers who are paying more for energy services than they should, which constitutes a visible benefit to investors and loss for these consumers, and that of the consumers who are paying less than they should, which benefits them but harms investors.

Value-At-Risk Modeling and Forecasting with Range-Based Volatility Models: Empirical Evidence

ID: 46953

Authors: Leandro dos Santos Maciel, Rosangela Ballini.

Source: Revista Contabilidade & Finanças, v. 28, n. 75, p. 361-376, September-December, 2017. 16 page(s).

Keyword: financial markets , forecasting models , price range , value at risk (VaR) , volatility

Document type: Article (Portuguese) Show Abstract

This article considers range volatility-based modeling for identifying and forecasting conditional volatility models based on returns. It suggests the inclusion of range measuring, defined as the difference between the maximum and minimum price of an asset within a time interval, as an exogenous variable in generalized autoregressive conditional heteroscedasticity (GARCH) models. The motivation is evaluating whether range provides additional information to the volatility process (intraday variability) and improves forecasting, when compared to GARCH-type approaches and the conditional autoregressive range (CARR) model. The empirical analysis uses data from the main stock market indexes for the U.S. and Brazilian economies, i.e. S&P 500 and IBOVESPA, respectively, within the period from January 2004 to December 2014. Performance is compared in terms of accuracy, by means of value-at-risk (VaR) modeling and forecasting. The out-of-sample results indicate that range-based volatility models provide more accurate VaR forecasts than GARCH models.

The Relationship between the Performance and Legal Form of Microfinance Institutions

ID: 46954

Authors: Ruan Rodrigo Araújo da Costa.

Source: Revista Contabilidade & Finanças, v. 28, n. 75, p. 377-389, September-December, 2017. 13 page(s).

Keyword: financial performance , legal form , microcredit , microfinance , ownership structure

Document type: Article (Portuguese) Show Abstract

This paper investigates the relationship between the legal forms adopted by microfinance institutions (MFIs) and their performance within three scopes: financial performance, social performance, and efficiency in resource allocation. The MFIs studied are classified into four groups: banks, non-governmental organizations, cooperatives, and a fourth group formed of for-profit institutions not characterized as banks, made up of non-bank financial institutions (NBFIs) and rural banks. The data used are annual and cover the six years from 2007 to 2012. The quantitative regression model with panel data was used together with dummy variables to compare between the four groups of legal forms, except for the group made up of NBFIs and rural banks, which was not represented by any dummy variable. 304 MFIs from 59 countries made up the sample. In the study it was observed that larger MFIs have higher profits, higher returns, and higher operational self-sufficiency rates than smaller MFIs, indicating that MFI growth could enable consolidation in the microfinance market. The results also indicate that for smaller MFIs the way to consolidate and improve the indicators could be through assimilating or merging with other MFIs. It was also noted that non-bank financial institutions and rural banks are able to serve more customers and that cooperatives provide smaller loans, causing a bigger social impact, and that they obtain higher returns and profits. The results indicate that these legal forms may be the most appropriate for the microfinance market.

Predicting Financial Distress in Publicly-Traded Companies

ID: 46955

Authors: Felipe Fontaine Rezende, Roberto Marcos da Silva Montezano, Fernando Nascimento de Oliveira, Valdir de Jesus Lameira.

Source: Revista Contabilidade & Finanças, v. 28, n. 75, p. 390-406, September-December, 2017. 17 page(s).

Keyword: bankruptcy , financial distress , logistic regression , panel data , prediction

Document type: Article (Portuguese) Show Abstract

Several models for forecasting bankruptcy have been developed over the years, one of the reasons for which is the important part it plays in decision-making. However, forecasting a company’s bankruptcy leaves a very short time for stakeholders to change the situation. It is in this context that this paper arises in order to develop a model for predicting financial distress, which is identified as a step prior to bankruptcy. The predictive model uses the logistic regression technique with panel data and a sample of Brazilian publicly-traded companies with shares listed on the São Paulo Stock, Commodities, and Futures Exchange between 2001 and 2014. As well as financial variables, the final model includes market expectations (macroeconomic) and sector variables. These variables are statistically tested and the hypothesis is confirmed that they improve the accuracy of the model. The research identified the existence of financial distress in 96% of the companies that went bankrupt. In addition, the relationship between the phenomena of bankruptcy and financial distress is verified, using financial and macroeconomic explanatory variables. The results demonstrate that most (83%) of the explanatory variables in the model for predicting bankruptcy are also present in the model for predicting the phenomenon of financial distress. The expected gross domestic product variables and the quick ratio, asset turnover, and net equity over total liabilities financial variables are statistically significant in predicting both phenomena. With this evidence, the study suggests the use of the concept of financial distress as a stage prior to bankruptcy and provides a model for predicting financial distress with 89% accuracy when applied to publicly-traded companies in Brazil in the period examined.

Effects of IFRS Adoption on Tax Avoidance

ID: 46956

Authors: Renata Nogueira Braga.

Source: Revista Contabilidade & Finanças, v. 28, n. 75, p. 407-424, September-December, 2017. 18 page(s).

Keyword: book-tax conformity , IFRS , tax avoidance , tax planning

Document type: Article (Portuguese) Show Abstract

This study investigates the association between mandatory International Financial Reporting Standards (IFRS) adoption and corporate tax avoidance. In this study, tax avoidance is defined as a reduction in the effective corporate income tax rate through tax planning activities, whether these are legal, questionable, or even illegal. Three measures of tax avoidance are used and factors at the country and firm level (that have already been associated with tax avoidance in prior research) are controlled. Using samples that range from 9,389 to 15,423 publicly-traded companies from 35 countries, covering 1999 to 2014, it is found that IFRS adoption is associated with higher levels of corporate tax avoidance, even when the level of book-tax conformity required in the countries and the volume of accruals are controlled, both of which are considered potential determinants of this relationship. Furthermore, the results suggest that after IFRS adoption, firms in higher book-tax conformity environments engage more in tax avoidance than firms in lower book-tax conformity environments. It is also identified that engagement in tax avoidance after IFRS adoption derives not only from accruals management, but also from practices that do not involve accruals. The main conclusion is that companies engage more in tax avoidance after mandatory IFRS adoption.

The Effect of Asymmetric Information Risk on Returns of Stocks Traded on the BM&FBOVESPA

ID: 46957

Authors: Leonardo Souza Siqueira, Hudson Fernandes Amaral, Laise Ferraz Correia.

Source: Revista Contabilidade & Finanças, v. 28, n. 75, p. 425-425, September-December, 2017. 1 page(s).

Keyword: asset pricing , information risk , PIN , return on assets , VPIN

Document type: Article (Portuguese) Show Abstract

This study sought to analyze information asymmetry in the Brazilian stock market and its relation with the returns required from portfolios through the metrics volume-synchronized probability of informed trading. To do this, the study used actual data from the transactions of 142 stocks on the Brazilian Securities, Commodities and Futures Exchange (BM&FBOVESPA), within the period from May 1, 2014, to May 31, 2016. The results point out a high flow toxicity level in the orders of these stocks. In segment analyses of the stock market listing, data suggest there is no clue that stocks from the theoretically more overt segments have a lower toxicity level of order flows. The justification for this finding lies on the negative correlation observed between the market value of stocks and the toxicity level of orders. To test the effect of asymmetric information risk on stock returns, a factor related to the toxicity level of orders was added to the three-, four-, and five-factor models. Through the GRS test, we observed that the combination of factors that optimize the explanation of returns of the portfolios created was the one taking advantage of the factors market, size, profitability, investment, and information risk. To test the robustness of these results, the Average F-test was used in data simulated by the bootstrap method, and similar estimates were obtained. It was observed that the factor related to the book-to-market index becomes redundant in the national scenario for the models tested. Also, it was found that the factor related to information risk works as a complement to the factor size and that its inclusion leads to an improved performance of the models, indicating a possible explanatory power of information risk on portfolio returns. Therefore, data suggest that information risk is priced in the Brazilian stock market.

Executive Branch Federal Civil Servant Mortality by Sex and Educational Level – 1993/2014

ID: 46958

Authors: Kaizo Iwakami Beltrão, Sonoe Sugahara.

Source: Revista Contabilidade & Finanças, v. 28, n. 75, p. 445-464, September-December, 2017. 20 page(s).

Keyword: educational attainment effect , federal civil servants , Heligman & Pollard model , mortality tables , sex differentials in mortality

Document type: Article (Portuguese) Show Abstract

Life tables have been elaborated throughout much of human history. However, the first life table to use actuarial concepts was only constructed in 1815 by Milne for the city of Carlisle in England. Since then, numerous tables have been elaborated for different regions and countries, due to their crucial importance for analyzing various types of problems covering a vast range of possibilities, from actuarial studies to forecasting and evaluating demands in order to define public policies. The most common problem nowadays in an actuarial calculation is choosing a suitable table for a given population. Brazil has few specific tables for the pensions market and has been using imported tables that refer to other countries, with different cultures and different mortality experiences. Using data from the Integrated Human Resource Administration System, this table constructs life tables for Executive branch federal civil servants for the period from 1993 to 2014, disaggregated for sex, age, and educational level (high school and university). The international literature has recognized differences in mortality due to sex, socioeconomic differences, and occupation. The creation of the Complementary Pension Foundation for Federal Public Servants in 2013 requires specific mortality tables for this population to support actuarial studies, healthcare, and personnel policies. A mathematical equation is fitted to the data. This equation can be broken down into infant mortality (not present in the data), mortality from external causes, and mortality from senescence. Recent results acknowledging an upper limit for old age mortality are incorporated into the adjusted probabilities of death. Assuming a binomial distribution for deaths, the deviance was used as a figure of merit to evaluate the goodness of fit of the observed data both to a set of tables used by the insurance/pensions market and to the adjusted tables.

Impacts of the Regulatory Model for Market Risk Capital: Application in a Special Savings Company, an Insurance Company, and a Pension Fund

ID: 46959

Authors: Betty Lilian Chan, Felipe Tumenas Marques.

Source: Revista Contabilidade & Finanças, v. 28, n. 75, p. 465-477, September-December, 2017. 13 page(s).

Keyword: market risk capital , open pension fund , pension , regulatory capital , solvency

Document type: Article (Portuguese) Show Abstract

In line with the regulation brought in by Solvency II, the Superintendence of Private Insurance (Susep) introduced the market risk capital requirement at the end of 2015, with 50% of the minimum capital for this type of risk being required by December 31st 2016 and 100% the following year. This regulatory model consists of calculating parametric value at risk with a 99% confidence level and a three month time horizon, using the net exposure of expected cash flows from assets and liabilities and a covariance matrix updated with market data up to July 2014. One limitation of this regulatory approach is that the updating of the covariance matrix depends on prior approval by the National Council of Private Insurance, which can limit the frequency the covariance matrix is updated and the model’s adherence to the current market reality. As this matrix considers the period before the presidential election, the country’s loss of investment grade status, and the impeachment process, which all contributed to an increase in market volatility, this paper analyses the impacts of applying the regulatory model, considering the market volatility updated to December 31st 2015, for a special savings company (sociedade de capitalização), an insurance company, and an pension fund. Furthermore, the paper discusses the practical implications of the new market risk requirement for managing the investments of the entities supervised by Susep, listing the various assumptions that can be used in the regulated entities’ Asset and Liability Management decision models and possible trade-offs to be addressed in this process.

ICPC 14: What is Missing?

ID: 46960

Authors: Ariovaldo dos Santos, Paola R. Londero.

Source: Revista Contabilidade & Finanças, v. 28, n. 75, p. 478-485, September-December, 2017. 8 page(s).

Keyword: adjustment to present value , cooperatives , IFRIC 2 , quotas , share capital

Document type: Article (Portuguese) Show Abstract

The purpose of this study is to raise questions about Technical Interpretation 14 (ICPC 14) from the Accounting Standards Committee with regards to the statutory characteristics of Brazilian cooperative societies. We do not aim to provide definitive solutions by exhausting all conceptual analyses and accounting alternatives involving the reclassification of member shares, or “quotas”, from net equity to liabilities, but rather to present some considerations with regards to points that are not explicit in ICPC 14. Applying the concept of adjustment to present value (APV) is the main point of this study, which was not taken into account when ICPC 14 was elaborated. Analysis of the statutes of cooperatives indicates, as a common characteristic, the obligation to always pay the redemption of members’ quotas in a period of more than one year, and this leads us to conclude that for a reliable representation of the phenomenon it is necessary to recognize the APV of this reclassified liability.