Accrualls and systematic risk in Brazilian companies

Abstract

Purpose: The objective of this study was to investigate whether the systematic risk of companies listed on the Brazilian Stock Exchange (B3) is affected by the quality of accounting information. Additionally, it was verified if the systematic risk was affected differently after the mandatory adoption of IFRS in Brazil.
 Methodology: The sample comprised all companies with observations listed on the Brazilian stock exchange (B3) from 2005 to 2021. Empirical research was carried out with descriptive analysis and a quantitative approach. Data were estimated in a panel with fixed effects. The total value of the accruals of Dechow and Dichev (2002) and Jones (1991) were used as measures of the quality of accounting information. The systematic risk measures were estimated using market models and three factors by Fama and French (1993).
 Results: In general, companies that have higher quality accounting information are able to reduce information asymmetry problems, which increase systematic risk, thus, having higher quality in this information reduces the risk to the investor.
 Contributions of the Study: The results of this paper bring practical contributions to the market and investors, who can feel more secure due to clarity and confidence in the information. Even with the adoption of IFRS in Brazil, the main conclusion of our research is that it actually contributes to the quality of information being converted into lower risks.