Pi,t (Price) |
Dependent |
Closing price on the date of release of information |
|
Proxy often used for value (Ohlson,1995Ohlson, J. A. (1995). Earnings, book values, and dividends in equity valuation. Contemporary Accounting Research, 11(2), 661-687.). It is observed the price at the end of the next fiscal year |
Economática® |
EPSi,t-1 (Earnings per share |
Interest |
Firm’s net earnings disclosed in each fiscal year, divided by the number of outstanding shares. |
+ |
The higher the disclosed profits, the higher the price of the shares (Ohlson, 1995Ohlson, J. A. (1995). Earnings, book values, and dividends in equity valuation. Contemporary Accounting Research, 11(2), 661-687.) |
CVM |
BVPSi,t-1 (Book value per share |
Interest |
Firm’s book value disclosed in each fiscal year, divided by the number of outstanding shares. |
+ |
The higher the equity disclosed, the higher the price of the shares (Ohlson, 1995Ohlson, J. A. (1995). Earnings, book values, and dividends in equity valuation. Contemporary Accounting Research, 11(2), 661-687.) |
CVM |
Sizei,t-1
|
Control |
Natural logarithm of the asset |
+ |
Smaller banks are more likely to report losses in comparison to big banks, who are more profitable, which affects price and increases value. (Anandarajan et al., 2011Anandarajan, A., Francis, B., Hasan, I., & John, K. (2011). Value relevance of banks: global evidence. Review of Quantitative Finance and Accounting, 36(1), 33-55.; Bignotto & Rodrigues, 2005Bignotto, F.G., & Rodrigues, E. A. S. (2005) Fatores de risco e o spread bancário no Brasil. Relatório de Economia Bancária e Crédito. Banco Central do Brasil. Disponível em: <Disponível em: http://www.bcb.gov.br/?SPREAD >. Acesso em: 29 abr. 2018. http://www.bcb.gov.br/?SPREAD...
; Hayn, 1995Hayn, C. (1995). The information content of losse. Journal of Accounting and Economics, 20, 125-153) |
CVM |
GDPi,t-1
|
Control |
Variation of the GDP at the end of the fiscal year |
+ |
The value relevance of profit and equity is influenced by the GDP. When GDP grows companies become more profiting, which would take the increase in stock price (Burgstahler & Dichev, 1997Burgstahler, D. C., & Dichev, I. D. (1997). Earnings, adaptation and equity value. Accounting Review, 72(2), 187-215.; Dontoh et al., 2004Dontoh, A., Radhakrishnan, S. & Ronen, J. (2004). The declining value-relevance of accounting information and non-information-based trading: an empirical analysis. Contemporary Accounting Research, 21(4), 795-812.) |
IBGE |
Levi,t-1
|
Control |
Relation between liabilities and equity |
- |
High leverage reduces value relevance (Manganaris et al., 2015Manganaris, P., Spathis, C., & Dasilas, A. (2015). The effects of mandatory IFRS adoption and conditional conservatism on european bank values. Journal of International Accounting, Auditing and Taxation, 24, 72-81.). Leverage have a negative effect on price and value firm because it increases the risk of financial distress and bankruptcy (Maury & Pajuste, 2005Maury, B. & Pajuste, A. (2005). Multiple Large Shareholders and Firm Value. Journal of Banking & Finance, 29, 1813-1834.. Indebtedness increases agency costs and the risk of insolvency, increasing the risk of the business (Vinhado & Divino, 2013). |
CVM |