Analysis of Risk and Mispricing Hypotheses of Accruals: Evidence from Brazil

Abstract Purpose: Analyze how the accruals pricing is configured in the brazilian stock market, that is, if it represents a market mispricing or a risk factor. Design/methodology/approach: We used a sample of non-financial companies listed in B3. To reach the objective, the portfolio methodology, asset pricing models were used, and two-stage cross-sectional regression (2SCSR) was used to test risk and mispricing hypotheses. Findings: The results obtained showed evidence of the accruals anomaly for the companies classified as small and that the evidence is stronger when evaluating the discretionary component. The two-stage cross-sectional regression analysis did not show that accruals represent a risk factor, suggesting that the evidence of anomaly obtained for discretionary accruals is caused by mispricing. Originality/value: Non-rejection of the accruals' mispricing assumption leads to the conclusion that stock prices of small firms are influenced by the accounting results disclosed and that managers, by having capital market and profit incentives related, can use accounting choices opportunists with the motivation to maximize their expected utility, that is, to influence the price of shares through the distortions in profits.

摘要
研究目的：剖析巴西股票市场中应计项目（accruals）的定价机制，探究其究竟代表市场错误定价（mispricing）还是风险因子（risk factor）。
研究设计与方法：本文选取B3上市的非金融公司作为研究样本。为达成上述研究目标，本文采用投资组合法（portfolio methodology）与资产定价模型（asset pricing models），并结合两阶段截面回归（two-stage cross-sectional regression，2SCSR）对风险与错误定价假说开展检验。
研究发现：结果显示，针对被归类为小型企业的样本，存在应计异象（accruals anomaly）的证据；且在评估可操控应计项目（discretionary accruals）成分时，该异象的显著性更强。两阶段截面回归分析并未证实应计项目属于风险因子，这表明可操控应计项目所呈现的异象证据，实则由市场错误定价所引致。
创新性与研究价值：若不推翻应计项目的错误定价假设，则可得出结论：小型公司的股票价格会受到其所披露的会计业绩的影响；而管理层若同时兼具资本市场动机与利润激励，则可能会采取机会主义会计选择，以最大化自身期望效用，即通过扭曲利润来影响股票价格。