Lucratividade |
GM i, q (Gross Margin) É diferença padronizada entre a variação da margem bruta e a variação das vendas, para empresa i no trimestre q. |
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Abarbanell e Bushee (1998Abarbanell, Jeffery S., & Bushee, B. J. (1998). Abnormal Returns to a Fundamental Analysis Strategy. The Accounting Review, 73(1), 19-45. http://www.jstor.org/stable/248340 http://www.jstor.org/stable/248340...
), Malta e Camargos (2016Malta, T. L., & Camargos, M. A. (2016). Variáveis da análise fundamentalista e dinâmica e o retorno acionário de empresas brasileiras entre 2007 e 2014. REGE - Revista de Gestão, 23(1), 52-62. https://doi.org/10.1016/j.rege.2015.09.001 https://doi.org/10.1016/j.rege.2015.09.0...
) e Anderson, Hyun e Yu (2017Anderson, M., Hyun, S., & Yu, D. (2017). Fundamental analysis conditioned on firm life cycle. Working paper. University of Calgary.). |
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Abarbanell e Bushee (1997Abarbanell, Jeffrey S., & Bushee, B. J. (1997). Fundamental Analysis, Future Earnings, and Stock Prices. Journal of Accounting Research, 35(1), 1-24. https://dx.doi.org/10.2307/2491464 https://dx.doi.org/10.2307/2491464...
). |
CASH i, q Relação entre o Fluxo de caixa e o Ativo total, para empresa i no trimestre q. |
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Bastos, Nakamura, David e Rotta (2009Bastos, D. D., Nakamura, W. T., David, M., & Rotta, U. A. S. (2009). A relação entre o retorno das ações e as métricas de desempenho: evidências empíricas para as companhias abertas no brasil. REGE Revista de Gestão, 16(3), 65-79. https://doi.org/10.5700/issn.2177-8736.rege.2009.36678 https://doi.org/10.5700/issn.2177-8736.r...
), Malacrida (2009Malacrida, M. J. C. (2009). A relevância do lucro líquido versus fluxo de caixa operacional para o mercado de ações brasileiro (Doctoral dissertation, Universidade de São Paulo). https://doi.org/10.11606/T.12.2009.tde-27032009-121238 https://doi.org/10.11606/T.12.2009.tde-2...
) e Lambert (2011Lambert, S. L. (2011). Fundamental Signals, Future Earnings And Security Analysts’ Efficient Use Of Fundamental Signals During 1991 Through 2008. [Doctoral dissertation, The University of Texas]. https://uta-ir.tdl.org/uta-ir/handle/10106/5838 https://uta-ir.tdl.org/uta-ir/handle/101...
), Perobelli, Famá, e Sacramento (2016Perobelli, F. F. C., Famá, R., & Sacramento, L. C. (2016). Relações entre Liquidez e Retorno nas Dimensões Contábil e de Mercado no Brasil. Revista Contabilidade & Finanças, 27(71), 259-272. https://doi.org/10.1590/1808-057x201601530 https://doi.org/10.1590/1808-057x2016015...
). |
.Estrutura de capital |
CAPEX i, q Diferença entre a variação do CAPEX do setor e o a variação do CAPEX, para empresa i no trimestre q. |
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Wanderley Villaschi, Caio Galdi, e Neris Nossa (2011Wanderley Villaschi, A., Caio Galdi, F., & Neris Nossa, S. (2011). Análise fundamentalista para seleção de uma carteira de investimento em ações com baixa razão book-to-market. BASE - Revista de Administração e Contabilidade da Unisinos, 8(4), 325-337. https://doi.org/10.4013/4426 https://doi.org/10.4013/4426...
) Haryanto e Retnaningrum (2019Haryanto, T., & Retnaningrum, M. (2019). Pengaruh capital expenditure terhadap revenue, number of customer, profit dan return on investment (studi pada perusahaan telekomunikasi yang terdaftar di bei periode 2009-2016).JMM Unram-Unram Management Review, 8(3), 270-279.). |
CHGDEBT AT i, q Mudanças na relação do Total de passivos sobre o ativo total, para empresa i no trimestre q. |
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Yan e Zheng (2017Yan, X., & Zheng, L. (2017). Fundamental analysis and the cross-section of stock returns: A data-mining approach.The Review of Financial Studies,30(4), 1382-1423.), Kimmel, Weygandt e Kieso (2005Kimmel, P. D., Weygandt, J. J., & Kieso, D. E. (2005). Financial Accounting: Tools for Business Decision Making Third Edition (3th edition). Wiley.) e Lambert (2011Lambert, S. L. (2011). Fundamental Signals, Future Earnings And Security Analysts’ Efficient Use Of Fundamental Signals During 1991 Through 2008. [Doctoral dissertation, The University of Texas]. https://uta-ir.tdl.org/uta-ir/handle/10106/5838 https://uta-ir.tdl.org/uta-ir/handle/101...
). |
ETR i, q (Efective tax rate) Alíquota efetiva, para empresa i no trimestre q. |
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Abarbanell e Bushee (1997Abarbanell, Jeffrey S., & Bushee, B. J. (1997). Fundamental Analysis, Future Earnings, and Stock Prices. Journal of Accounting Research, 35(1), 1-24. https://dx.doi.org/10.2307/2491464 https://dx.doi.org/10.2307/2491464...
) Desai e Dharmapala (2009Desai, M. A., & Dharmapala, D. (2009). Corporate tax avoidance and firm value.The review of Economics and Statistics,91(3), 537-546.) Wahab e Holland (2012Wahab, N. S. A., & Holland, K. (2012). Tax planning, corporate governance and equity value.The British Accounting Review,44(2), 111-124.). |
Eficiência Operacional |
INV i, q (Inventory) Diferença entre a variação do montante monetário total em estoques (INVTQ) e o montante de vendas (SALES), para empresa i no trimestre q. |
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Abarbanell e Bushee (1998Abarbanell, Jeffery S., & Bushee, B. J. (1998). Abnormal Returns to a Fundamental Analysis Strategy. The Accounting Review, 73(1), 19-45. http://www.jstor.org/stable/248340 http://www.jstor.org/stable/248340...
), Thomas e Zhang (2002Thomas, J. K., & Zhang, H. (2002). Inventory changes and future returns.Review of Accounting Studies, 7(2-3), 163-187.). Ball, Gerakos, Linnainmaa e Nikolaev (2016Ball, R., Gerakos, J., Linnainmaa, J. T., & Nikolaev, V. V. (2016). Accruals, Cash Flows, and Operating Profitability in the Cross Section of Stock Returns. Journal of Financial Economics, 121(1):28-45. https://doi.org/10.1016/j.jfineco.2016.03.002 https://doi.org/10.1016/j.jfineco.2016.0...
). |
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Abarbanell e Bushee (1997Abarbanell, Jeffrey S., & Bushee, B. J. (1997). Fundamental Analysis, Future Earnings, and Stock Prices. Journal of Accounting Research, 35(1), 1-24. https://dx.doi.org/10.2307/2491464 https://dx.doi.org/10.2307/2491464...
). |
ARab i, q (Accounts Receivable) Diferença entre a variação nos recebíveis (RECT) e a variação nas vendas (SALES), para empresa i no trimestre q. |
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Abarbanell e Bushee (1998Abarbanell, Jeffery S., & Bushee, B. J. (1998). Abnormal Returns to a Fundamental Analysis Strategy. The Accounting Review, 73(1), 19-45. http://www.jstor.org/stable/248340 http://www.jstor.org/stable/248340...
), Oliveira, Silva, Hernandes Ribeiro (2019Oliveira, R. S. de, Silva, A. F., Hernandes, J., M., & Ribeiro, K. C. de S. (2019). Análise do impacto de recebíveis nos indicadores econômico-financeiro das organizações. Anais do Congresso Brasileiro de Custos. Curitiba, Brasil, XXVI. https://anaiscbc.emnuvens.com.br/anais/article/view/4515 https://anaiscbc.emnuvens.com.br/anais/a...
) e Yan e Zheng (2017Yan, X., & Zheng, L. (2017). Fundamental analysis and the cross-section of stock returns: A data-mining approach.The Review of Financial Studies,30(4), 1382-1423.). |
Deloof (2003Deloof, M. (2003). Does Working Capital Management Affect Profitability of Belgian Firms? Journal of Business Finance and Accounting, 30(3-4), 573-588. https://doi.org/10.1111/1468-5957.00008 https://doi.org/10.1111/1468-5957.00008...
), |
SeA i, q (sales and administrative). É a diferença entre a variação nas vendas e a variação nas despesas administrativas e de vendas, para empresa i no trimestre q. |
+ - |
Abarbanell e Bushee (1998Abarbanell, Jeffery S., & Bushee, B. J. (1998). Abnormal Returns to a Fundamental Analysis Strategy. The Accounting Review, 73(1), 19-45. http://www.jstor.org/stable/248340 http://www.jstor.org/stable/248340...
) Anderson, Banker, Huang e Janakiraman (2007Anderson, M., Banker, R., Huang, R., & Janakiraman, S. (2007). Cost behavior and fundamental analysis of SG&A costs.Journal of Accounting, Auditing & Finance,22(1), 1-28.) Yan e Zheng (2017Yan, X., & Zheng, L. (2017). Fundamental analysis and the cross-section of stock returns: A data-mining approach.The Review of Financial Studies,30(4), 1382-1423.). |