Disclosure of Accounting Information and Stock Return Volatility in Brazil

14 Pages Posted: 26 Oct 2005

See all articles by Otavio Ribeiro de Medeiros

Otavio Ribeiro de Medeiros

University of Brasilia

Luis Gustavo do Lago Quinteiro

University of Brasilia & Bank of Brazil; State University of Goias

Date Written: October 25, 2005

Abstract

Recent studies have shown the existence of a relationship between the disclosure of accounting information and economic effects. The disclosure of value-relevant accounting information reduces the information asymmetry on the market and, consequently, the risk of investors making mistakes in their decisions, which fosters the attraction of foreign capital. This paper has the purpose of investigating if there is a cross-firm relationship between the disclosure of accounting information and the volatility of stock returns of Brazilian firms. The hypothesis tested is that firms with higher levels of disclosure present lower volatility of stock returns. The research design involves a sample including 40 stocks belonging to 30 firms listed on the Brazilian stock exchange (Bovespa) and an econometric model consisting of a cross-firm linear regression, as well as robustness tests. The empirical tests performed are robust and confirm the hypothesis raised a priori.

Keywords: Brazil, stock market, stock returns, disclosure, accounting, volatility, econometric model

JEL Classification: C21, G10, M41, M45

Suggested Citation

de Medeiros, Otavio Ribeiro and Quinteiro, Luis Gustavo do Lago, Disclosure of Accounting Information and Stock Return Volatility in Brazil (October 25, 2005). Available at SSRN: https://ssrn.com/abstract=835726 or http://dx.doi.org/10.2139/ssrn.835726

Otavio Ribeiro De Medeiros (Contact Author)

University of Brasilia ( email )

Campus Universitario Darcy Ribeiro
Gleba A - Reitoria
Brasilia, DF 70910-900
Brazil

HOME PAGE: http://geocities.yahoo.com.br/otaviomedeiros/index.html

Luis Gustavo do Lago Quinteiro

University of Brasilia & Bank of Brazil ( email )

Brasilia/DF, 70.910-900
Brazil

State University of Goias ( email )

Av. Juscelino Kubitschek
Anapolis, Goias 75110-390
Brazil

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