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Is there a relationship between accounting and stock market returns in Brazil?

Author

Listed:
  • Newton Carneiro Affonso da Costa Jr.

    (Departamento de Ciências Econômicas/UFSC)

  • Roberto Meurer

    (Departamento de Engenharia de Produção/UFSC)

  • César Medeiros Cupertino

Abstract

This paper examines the relationship between accounting and stock market returns of Brazilian companies on a quarterly basis. The sample consisted of 97 companies with stocks traded in the Sao Paulo Stock Exchange from January of 1995 to March of 2007. A Granger causality test was applied to the two return series for each of the sampled companies. The results of the causality tests suggested that there is weak evidence that accounting returns lead stock market returns rather than the reverse.

Suggested Citation

  • Newton Carneiro Affonso da Costa Jr. & Roberto Meurer & César Medeiros Cupertino, 2007. "Is there a relationship between accounting and stock market returns in Brazil?," Brazilian Review of Finance, Brazilian Society of Finance, vol. 5(2), pages 233-245.
    • Handle: RePEc:brf:journl:v:5:y:2007:i:2:p:233-245
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    More about this item

    Keywords

    Granger causality; quarterly earnings; market returns; market efficiency;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting

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