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ALISAMIENTO DE BENEFICIOS vs. RENTABILIDAD BURSÁTIL: EVIDENCIA EMPÍRICA

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  • Francisco Poveda

    (Universidad de Alicante)

  • Raúl Iñiguez

    (Universidad de Alicante)

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    Abstract

    This study investigates the market valuation of income smoothing by a long run analysis of the relation income smoothing vs. return and risk in the Spanish stock market. Using several methodological approaches to estimate and test abnormal returns, the results suggest some pattern of behaviour in the returns in function of the smoothing degree. The empirical evidence obtained supports that firms which smooth earnings yield higher stock returns than firms which do not. In relation to systematic risk the empirical results suggests that firms which smooth earnings have lower risk than firms which do not. By this way, the study concludes that Spanish market is not efficient in this question because values in excess firms that artificially smooth earnings and it¿s possible to reduce the stock¿s systematic risk manipulating accounting profits. El presente trabajo analiza la valoración que hace el mercado del alisamiento de beneficios mediante un estudio a largo plazo de la relación entre alisamiento versus rentabilidad y riesgo en el mercado de capitales español. Empleando diversos métodos de estimación y contraste de rentabilidades anormales, los resultados sugieren cierto patrón de comportamiento en las rentabilidades y en el riesgo en relación con el grado de alisamiento. La evidencia empírica apunta que las empresas que alisan sus beneficios obtienen mayor rentabilidad en el mercado de capitales con relación a las firmas que no alisan. En cuanto al riesgo sistemático de los títulos, la evidencia obtenida indica que las empresas que alisan beneficios presentan menor riesgo. En definitiva, el estudio concluye que el mercado de capitales español no procesa la información sobre alisamiento de forma eficiente al permitir que se reduzca el riesgo sistemático de los títulos y se mejore su rentabilidad a través de la manipulación del resultado contable.

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    File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-2001-20.pdf
    File Function: Fisrt version / Primera version, 2001
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    Bibliographic Info

    Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2001-20.

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    Length: 31 pages
    Date of creation: Aug 2001
    Date of revision:
    Publication status: Published by Ivie
    Handle: RePEc:ivi:wpasec:2001-20

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    Related research

    Keywords: alisamiento de beneficios; rentabilidad anormal. income smoothing; abnormal returns.;

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