文章基本信息

标题：The smoothing hypothesis, stock returns and risk in Brazil
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作者：Antonio Lopo Martinez ; Miguel Angel Rivera Castro
期刊名称：BAR - Brazilian Administration Review
印刷版ISSN：1807-7692
电子版ISSN：1807-7692
出版年度：2011
卷号：8
期号：1
页码：1-20
语种：English
出版社：Associação Nacional de Pós-Graduação e Pesquisa em Administração
其他摘要：Income smoothing is defined as the deliberate normalization of income in order to reach a desired trend. If the smoothing causes more information to be reflected in the stock price, it is likely to improve the allocation of resources and can be a critical factor in investment decisions. This study aims to build metrics to determine the degree of smoothing in Brazilian public companies, to classify them as smoothing and non-smoothing companies and additionally to present evidence on the long-term relationship between the smoothing hypothesis and stock return and risk. Using the Economatica and CVM databases, this study focuses on 145 companies in the period 1998-2007. We find that Brazilian smoothers have a smaller degree of systemic risk than non-smoothers. In average terms, the beta of smoothers is significantly lower than non-smoothers. Regarding return, we find that the abnormal annualized returns of smoothers are significantly higher. We confirm differences in the groups by nonparametric and parametric tests in cross section or as time series, indicating that there is a statistically significant difference in performance in the Brazilian market between firms that do and do not engage in smoothing.
关键词：Income smoothing; abnormal return; risk; portfolio selection