Search

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.

The article examines whether the two-factor model developed by Liu (2006) explains the variations in stock returns in the Brazilian market. We also compare the performance of this model with the CAPM and the three-factor model of Fama & French (1993) and investigate whether the two-factor model is robust to strategies based on size, book-to-market, momentum, earnings/price, cash flow/price, liquidity and leverage, called value anomalies. We used multiple regressions with time series to analyze the performance of the models in explaining the variations in stock returns of various portfolios. The population analyzed consisted of all the firms with shares listed on the BM&FBovespa in the period from 1995 to 2008. The two-factor model performed better than the CAPM and very near the three-factor model in terms of explanatory power. Therefore, the results obtained with the two-factor model are relevant, considering we worked with dynamic portfolios. Finally, even though the two-factor model was not able to explain some of the anomalies commonly documented in the literature, advances were evidenced, which can be considered an important step in the literature, even though much can still be accomplished.