Analysis of the Relevance of Information Content of the Value Added Statement in the Brazilian Capital Markets

The usefulness of financial statements depends, fundamentally, on the degree of relevance of the information they disclose to users. Thus, studies that measure the relevance of accounting information to the users of financial statements are of some importance. One line of research within this subject is in ascertaining the relevance and importance of accounting information for the capital markets: if a particular item of accounting information is minimally reflected in the price of a share, it is because this information has relevance, at least at a certain level of significance, for investors and analysts of the capital markets. This present study aims to analyze the relevance, in the Brazilian capital markets, of the information content of the Value Added Statement (or VAS) - referred to in Brazil as the Demonstração do Valor Adicionado, or DVA. It analyzed the ratio between stock price and Wealth created per share (WCPS), using linear regressions, for the period 2005-2011, for non-financial listed companies included in Melhores & Maiores ('Biggest & Best'), an annual listing published by Exame Magazine in Brazil. As a secondary objective, this article seeks to establish whether WCPS represents a better indication of a company's result than Net profit per share (in this study, referred to as NPPS). The empirical evidence that was found supports the concept that the VAS has relevant information content, because it shows a capacity to explain a variation in the share price of the companies studied. Additionally, the relationship between WCPS and the stock price was shown to be significant, even after the inclusion of the control variables Stockholders' equity per share (which we abbreviate in this study to SEPS) and NPPS. Finally, the evidence found indicates that the market reacts more to WCPS (Wealth created per share) than to NPPS. Thus, the results obtained give some indication that, for the Brazilian capital markets, WCPS may be a better proxy concept for referring to a company's result than NPPS.

财务报表的有用性，从根本上取决于其所披露信息对使用者的相关程度。因此，衡量会计信息对财务报表使用者相关性的研究具有一定的学术价值与实践意义。该领域的一类研究旨在确定会计信息对资本市场的相关性与重要性：若某一会计信息能在股价中得到至少一定程度的体现，则说明该信息对资本市场投资者与分析师具有相关性。

本研究旨在分析巴西资本市场中，增值表（Value Added Statement，VAS，巴西当地称其为Demonstração do Valor Adicionado，简称DVA）所披露信息的相关性。研究以2005-2011年期间，纳入巴西《Exame》杂志年度发布的《顶级与最佳》（Melhores & Maiores，即‘Biggest & Best’）榜单的非金融上市公司为样本，采用线性回归方法分析股价与每股创造财富（Wealth created per share，WCPS）的比值关系。

本研究的次要目标在于验证，相较于每股净利润（Net profit per share，本研究简称NPPS），WCPS是否能更好地反映企业经营成果。实证结果表明，增值表（VAS）具备相关信息含量：其能够解释样本公司股价的波动，印证了前述观点。此外，即便在纳入控制变量每股股东权益（Stockholders' equity per share，本研究简称SEPS）与NPPS后，WCPS与股价之间的关系仍具有统计学显著性。进一步研究发现，资本市场对WCPS的反应程度显著高于NPPS。据此可初步推断，在巴西资本市场中，WCPS相较NPPS更适合作为衡量企业经营成果的代理变量。