FERREIRA, TALIEH SHAIKHZADEH VAHDAT; MARTINS, ORLEANS SILVA

doi:10.1590/1678-69712016/administracao.v18n2p154-183

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Strategic Finances • RAM, Rev. Adm. Mackenzie 18 (02) • Mar-Apr 2017 • https://doi.org/10.1590/1678-69712016/administracao.v18n2p154-183 copiar

ANÁLISE DA RELAÇÃO ENTRE DISCLOSURE NA INTERNET, RISCO E RETORNO EM COMPANHIAS LATINO-AMERICANAS

Autoria SCIMAGO INSTITUTIONS RANKINGS

RESUMO

Objetivo:

Este estudo buscou analisar as relações entre a disclosure de informações divulgadas na internet, o risco de informação e o retorno das empresas na América Latina.

Originalidade/lacuna/relevância/implicações:

Este estudo se diferencia dos anteriores já que preenche uma lacuna na literatura ao relacionar uma medida de disclosure na internet com o risco e o retorno das empresas na América Latina, uma vez que nessa literatura só é possível identificar estudos que analisam tais variáveis de forma independente ou com relação a outros fatores.

Principais aspectos metodológicos:

A amostra contou com 758 empresas listadas nas quatro principais bolsas latino-americanas (Argentina, Chile, Brasil e México) que tiveram seu nível de disclosure quantificado e verificadas as relações com o risco e o retorno por meio de regressões Tobit.

Síntese dos principais resultados:

Os resultados evidenciam que é possível observar que a emissão de ADR, o tamanho e a liquidez afetam as relações entre disclosure, risco e retorno. Ainda, que a disclosure na região tem avançado ao longo dos anos, com destaque para o Brasil. Porém, não foram identificadas diferenças significantes entre os países, ao ponto de impactar as relações com o risco e o retorno das empresas.

Principais considerações/conclusões:

Suas principais contribuições são a ampliação das evidências sobre essas variáveis, relacionando-as entre si em mercados emergentes.

PALAVRAS-CHAVE
Disclosure; Índice; Informação; Mercado de capitais; América Latina

Variables	Calculation	Expected Relationship	Reference
Market-to-Book	MB_it = MV_it /BV_it	Negative	Clarke and Shastri (2000)Clarke, J., & Shastri, K. (2000). On information asymmetry metric. SSRN Working Paper. Retreived from http://papers.ssrn.com/sol3/papers.cfm?abstract_id=251938 http://papers.ssrn.com/sol3/papers.cfm?a... ; Diamond and Verrecchia (1991)Diamond, D. W., & Verrecchia, R. E. (1991). Disclosure, liquidity, and the cost of capital. The Journal of Finance, 46(4), 1325-1359..
Volatility	${Volat}_{it} = \sqrt{\sum \frac{{(S_{i} - S_{m})}^{2}}{n x PPA}}$	Negative	Halov and Heider (2011)Halov, N. & Heider, F. (2011). Capital structure, risk and asymmetric information. Quarterly Journal of Finance, 1(4), 767-809.; *Murcia et al. (2011)Murcia, F. D. et al. (2011). Impacto do nível de disclosure corporativo na volatilidade das ações de companhias abertas brasileiras. Revista de Economia e Administração, 10(2), 196-218.; Martins and Paulo (2014)*Martins, O. S., & Paulo, E. (2014). Assimetria de informação na negociação de ações, características econômico-financeiras e governança corporativa no mercado acionário brasileiro. Revista Contabilidade & Finanças, 25(64), 33-45..
Intangibility	INT_it = IA_it / TA_it	Negative	Barth and Kasznik (1999)Barth, M. E. & Kasznik, R. (1999). Share repurchases and intangible assets. Journal of Accounting and Economics, 28, 211-241.; Kang and Gray (2011)Kang, H. H., & Gray, S. J. (2011). Reporting intangible assets: voluntary disclosure practices of top emerging market companies. The International Journal of Accounting, 46(4), 402-423..
Beta	$β_{i} = \frac{cov ((R_{it}), (R_{mt})}{σ^{2} (R_{mt})}$	Negative	Amorim (2010)Amorim, A. L. G. C. (2010). Análise da relação entre a informação contábil e o risco sistemático. Tese de Doutorado, Universidade de São Paulo, São Paulo, Brasil.; Martins (2012)Martins, O. S. (2012). Relações entre a assimetria de informação e as características das empresas no mercado acionário brasileiro. Tese de Doutorado, Programa Multi-institucional e Inter-Regional de Pós-Graduação, Universidade de Brasília, Brasília, Brasil..
Return on Asset	ROA_it = NP_it / TA _(it–1)	Positive	Barber and Lyon (1996)Barber, B. M. & Lyon, J. D. (1996). Detecting abnormal operating performance: the empirical power and specification of test statististics. Journal of Financial Economics, 41(3), 359-399.; *Ettredge et al. (2002)Ettredge, M., Richardson, V. J., & Scholz, S. (2002). Dissemination of information for investors at corporate websites. Journal of Accounting and Public Policy, 21(4/5), 357-369.; Lefort (2005)Lefort, F. (2005). Ownership Structure and Corporate Governance in Latin America. Abante - Escuela de Administracion, Pontificia Universidad Católica de Chile, 8(1), 55-84.; Leal and Carvalhal-da-Silva (2005)Leal, R. P. & Carvalhal-da-Silva, A. (2005). Corporate governance and value in Brazil (and in Chile). InterAmerican Development Bank Research Network Working paper, 2005. Retreived from http://www.iadb.org/res/pub_desc.cfm?pub_id=R-514 http://www.iadb.org/res/pub_desc.cfm?pub... ; Bollen et al. (2006)Bollen, L., Hassink, H., & Bozic, G. (2006). Measuring and explaining the quality of internet investor relations activities: a multinational empirical analysis. International Journal of Accounting Information System, 7(4), 273-98.; Gandia (2008)Gandia, J. L. (2008). Determinants of internet-based corporate governance disclosure by Spanish listed companies. Emerald Online Information Review, 32(6), 791-817.; Garay et al. (2013)*Garay, U. et al. (2013). Internet-based corporate disclosure and market value: Evidence from Latin America. Emerging Market Review, 17(1), 160-168..
Return on Equity	ROE_it = NP_it / (E_(it–1) – NP_it)	Positive
Total Return to Shareholders	${TRS}_{it} = \frac{{Div}_{it - 1}}{P_{it - 1}} + \frac{P_{it} - P_{it - 1}}{P_{it - 1}}$	Positive	Ross, Westerfield and Jaffe (2002)Ross, S. A., Westerfield, R. W. & Jaffe, J. F., (2002). Administração financeira: corporate finance. Tradução de Antonio Zoratto Sanvicente. São Paulo: Atlas.; Perez (1995)Perez, M. M. (1995). Métricas de retorno e a geração de valor ao acionista. Unisanta - Law and Social Science, 4(2), 189-202..
Return to Creditors	RC_it = IE_it /OL_it	Positive	Botosan and Plumlee (2002)Botosan, C. A., & Plumlee, M. (2002). A re-examination of disclosure level and the cost of equity capital. Journal of Accounting Research, 40(1), 21-40.; Hail (2002)Hail, L. (2002). The impact of voluntary corporate disclosures on the ex-ante cost of capital for Swiss firms. The European Accounting Review, 11(4), 741-773.; Verrecchia (2001)Verrecchia, R. E. (2001). Essays on disclosure. Journal of Accounting and Economics, 32(1/3), 97-180..

Items	Argentina	Brazil	Chile	Mexico	Total
Panel A: Section I
1. Balance Sheet	71.6	96.4	91.4	90.2	91.4
2. Balance Sheet for previous years	71.6	96.1	86.1	87.9	89.6
3. Income Statement	70.4	96.4	91.4	90.2	91.3
4. Income Statement for previous years	70.4	96.1	86.1	87.9	89.4
5. Interim reports and periodicals	63.0	95.5	70.1	90.2	84.8
6. Explanatory notes	69.1	96.4	91.4	90.2	91.2
7. Cash Flow Statement	65.4	96.4	90.9	89.4	90.5
8. Cash Flow Statement for previous years	65.4	96.1	86.1	87.1	88.8
9. Environmental and/or social reports	21.0	24.3	31.0	37.1	27.8
10. Corporate report for previous years	58.0	32.4	86.1	48.5	51.2
11. Financial data time series	69.1	95.5	85.0	87.9	88.8
12. Selective accounting data	44.4	66.2	83.4	73.5	69.4
Section I Mean	61.6	82.3	81.6	80.0	79.5
Panel B: Section II
13. Press Release	54.3	86.0	74.9	78.8	78.6
14. Financial calendar	17.3	66.2	13.9	29.5	41.6
15. Current stock market price	22.2	53.9	34.8	45.5	44.5
16. Organizational structure	40.7	56.4	84.5	37.9	58.3
17. Composition of the board of directors	46.9	76.0	90.4	62.9	74.0
18. External links of interest to investors	32.1	31.8	43.9	28.0	34.2
19. Updated information every 24 hours	17.3	53.4	15.0	47.0	39.1
Section II Mean	32.8	60.5	51.0	47.1	52.9
Panel C: Section III
20. Links for its accounting information	67.9	96.1	90.4	89.4	90.5
21. Annual reports in PDF	64.2	96.1	90.4	90.2	90.2
22. Processable financial data	2.5	42.5	9.6	4.5	23.5
23. Financial data in XBRL format	0.0	0.0	0.5	0.8	0.3
24. Web page in more than one language	61.7	70.7	35.3	76.5	62.0
25. Web page has its own search engine	34.6	79.1	47.1	44.7	60.4
26. Web page allows cookies	14.8	44.4	3.7	33.3	29.3
Section III Mean	35.1	61.3	39.6	48.5	50.9
Panel D: Section IV
27. Web page offers an email address exclusively for investors	24.7	72.1	38.5	58.3	56.3
28. Shareholders emails can be provided for the company’s directory	53.1	76.3	51.3	46.2	62.4
29. Has a FAQs section	11.1	46.6	16.6	22.7	31.3
30. Allows the investor to request additional information	77.8	76.0	90.4	43.9	74.1
Section IV Mean	41.7	67.7	49.2	42.8	56.0
Panel E: Section V
31. Allows real time participation in meetings of the board of directors	16.0	53.4	9.6	28.8	34.3
32. Offers access to document (audio or video) of previous meetings	21.0	94.7	79.7	28.0	71.5
33. Offers access to presentations (audio or video) of previous meetings	21.0	58.4	31.6	42.4	45.0
Section II Mean	19.3	68.8	40.3	33.1	50.3
Total ICDI Mean	43.6	70.2	58.5	57.6	62.3

Variables	Mean	Media	Standard Deviation	Min	Max	Observations
Market-to-Book^* * as reported as index and the ones that have	0.9	0.5	3.3	0.0	76.3	669
Volatility^* * as reported as index and the ones that have	37.8	33.2	30.4	0.0	309.3	655
Intangibility^ in percentage.	7.8	1.3	15.4	-7.0	89.1	594
Beta^* * as reported as index and the ones that have	0.6	0.5	0.5	-2.3	2.8	572
ROA^ in percentage.	-3.4	3.5	133.2	-3294.3	291.9	705
ROE^ in percentage.	11.7	11.0	97.1	-1691.3	862.1	705
TRS^ in percentage.	19.1	-7.2	172.4	-89.5	2783.9	567
RC^ in percentage.	146.5	7.6	2738.7	-1.3	64112.7	551
Size	20.4	20.6	2.3	8.4	27.0	720
Liquidity	12.0	12.4	3.1	0.0	19.8	480
ADR	0.2	0.0	0.4	0.0	1.00	758

Variable	Coefficient	Standard Error	Z Statistic
Constant	59.44	2.32	25.56^* ***** is significant at 1% and
Market-to-Book	-2.01	1.06	-1.88^* * at 10%.
Volatility	0.02	0.03	0.65
Intangibility	0.14	0.05	2.59^* ***** is significant at 1% and
Beta	2.16	1.86	1.16
ROA	0.11	0.09	1.31
ROE	0.00	0.01	0.20
TRS	-0.00	0.00	-1.56
RC	-0.01	0.00	-3.16^* ***** is significant at 1% and
ADR	5.94	2.08	2.85^* ***** is significant at 1% and
Size	6.43	2.02	3.17^* ***** is significant at 1% and
Liquidity	8.22	2.15	3.82^* ***** is significant at 1% and
Chi-Square	115.90	p-value	0.000^* ***** is significant at 1% and
Log. Like.	-1575.08	Akaike	3176.16
Schwarz	3227.14	Hannan-Quinn	3196.40

Variable	Control by ADR		Control by Size		Control by Liquidity
Variable	Coefficie.	Z Stat.	Coefficie.	Z Stat.	Coefficie.	Z Stat.
Constant	59.51	31.47^* ***** is significant at 1%,	55.50	24,74^* ***** is significant at 1%,	57,92	30,56^* ***** is significant at 1%,
Market-to-Book	-1.36	-1.60	-1.45	-1,47	-1,90	-2,07^ at 5% and
Volatility	-0.01	-0.41	0.02	0,59	0,02	0,73
Intangibility	0.26	4.10^* ***** is significant at 1%,	0.17	1,89^* * at 10%.	0,21	2,75^* ***** is significant at 1%,
Beta	9.44	5.36^* ***** is significant at 1%,	7.65	2,92^* ***** is significant at 1%,	6,43	3,06^* ***** is significant at 1%,
D(ADR)	15.37	2.82^* ***** is significant at 1%,
D^* * at 10%. Market-to-Book	2.24	1.04
D^* * at 10%. Volatility	0.12	1.36
D^* * at 10%. Intangibility	-0.21	-1.70^* * at 10%.
D^* * at 10%. Beta	-12.39	-2.88^* ***** is significant at 1%,
D(Size)			10.63	2,89^* ***** is significant at 1%,
D^* * at 10%. Market-to-Book			2.88	1,80^* * at 10%.
D^* * at 10%. Volatility			0.08	1,30
D^* * at 10%. Intangibility			-0.00	-0,00
D^* * at 10%. Beta			-4.77	-1,40
D(Liquidity)					20,64	4,21^* ***** is significant at 1%,
D^* * at 10%. Market-to-Book					1,36	0,80
D^* * at 10%. Volatility					0,03	0,43
D^* * at 10%. Intangibility					-0,13	-1,24
D^* * at 10%. Beta					-10,18	-2,75
Chi-Square	96.70^* ***** is significant at 1%,		118.56^* ***** is significant at 1%,		128.06^* ***** is significant at 1%,
Log. Like.	-2113.01		-2104.05		-2100.27
Schwarz	4294.16		4276.23		4268.69
Akaike	4248.02		4230.09		4222.55
Hannan-Quinn	4266.14		4248.21		4240.67

Variable	Control by ADR		Control by Size		Control by Liquidity
Variable	Coefficie.	Z Stat.	Coefficie.	Z Stat.	Coefficie.	Z Stat.
Constant	65.50	58.57^* ***** is significant at 1%	61.48	44,71^* ***** is significant at 1%	63,78	54,27^* ***** is significant at 1%
ROA	0.09	1.26	0.11	1,63	0,00	0,02
ROE	0.01	0.95	0.01	0,66	-0,00	-0,20
TRS	-0.00	-1.53	-0.04	-3,04^* ***** is significant at 1%	-0,03	-2,65^* ***** is significant at 1%
RC	0.00	0.51	0.00	0,88	-0,01	-2,27^ at 5% and
D(ADR)	11.41	5.09^* ***** is significant at 1%
D^* * at 10%. ROA	0.21	0.89
D^* * at 10%. ROE	-0.02	-0.57
D^* * at 10%. TRS	0.00	0.18
D^* * at 10%. RC	-0.00	-0.31
D(Size)			13.54	6,96^* ***** is significant at 1%
D^* * at 10%. ROA			-0.14	-0,79
D^* * at 10%. ROE			-0.01	-0,49
D^* * at 10%. TRS			0.03	2,55^ at 5% and
D^* * at 10%. RC			-0.01	-2,46^ at 5% and
D(Liquidity)					11,31	5,53^* ***** is significant at 1%
D^* * at 10%. ROA					0,34	1,85^* * at 10%.
D^* * at 10%. ROE					0,00	0,29
D^* * at 10%. TRS					0,02	1,83
D^* * at 10%. RC					0,01	2,29^ at 5% and
Chi-Square	41.76^* ***** is significant at 1%		75.71^* ***** is significant at 1%		88.92^* ***** is significant at 1%
Log. Like.	-1984.27		-1969.24		-1963.64
Schwarz	4035.91		4005.86		3994.66
Akaike	3990.54		3960.49		3949.29
Hannan-Quinn	4008.41		3978.36		3967.16

Variable	Argentina		Brazil		Chile		México
Variable	Coefficie.	Z Stat.	Coefficie.	Z Stat.	Coefficie.	Z Stat.	Coefficie.	Z Stat.
Constant	62.03	34.66^* ***** is significant at 1%	57.92	24.82^* ***** is significant at 1%	67,92	26,73^* ***** is significant at 1%	62,61	32,95^* ***** is significant at 1%
Market-to-Book	0.31	0.37	-1.28	-1.44	-1,69	-1,62	-0,96	-1,15
Volatility	0.01	0.52	-0.15	-2.17^ at 5% and	-0,05	-1,49	-0,01	-0,35
Intangibility	0.19	3.46^* ***** is significant at 1%	0.19	2.46^ at 5% and	0,20	3,46^* ***** is significant at 1%	0,26	4,02^* ***** is significant at 1%
Beta	9.62	6.08^* ***** is significant at 1%	11.08	5.58^* ***** is significant at 1%	7,19	3,17^* ***** is significant at 1%	9,69	5,59^* ***** is significant at 1%
D(Argentina)	-31.48	-2.75^* ***** is significant at 1%
D^* * at 10%. Market-to-Book	-4.04	-2.07^ at 5% and
D^* * at 10%. Volatility	-0.00	-0.01
D^* * at 10%. Intangibility	-0.05	-0.25
D^* * at 10%. Beta	17.99	1.53
D(Brazil)			16.68	0.00^* ***** is significant at 1%
D^* * at 10%. Market-to-Book			1.47	0.95
D^* * at 10%. Volatility			0.00	0.09
D^* * at 10%. Intangibility			-0.00	-0.00
D^* * at 10%. Beta			2.13	0.67
D(Chile)					-11,49	-2,92^* ***** is significant at 1%
D^* * at 10%. Market-to-Book					1,48	0,90
D^* * at 10%. Volatility					0,07	0,59
D^* * at 10%. Intangibility					-0,10	-0,54
D^* * at 10%. Beta					3,20	0,94
D(Mexico)							-11,44	-1,23
D^* * at 10%. Market-to-Book							5,51	1,49
D^* * at 10%. Volatility							0,06	0,25
D^* * at 10%. Intangibility							-0,11	-0,84
D^* * at 10%. Beta							-3,09	-0,56
Chi-Square	113.48^* ***** is significant at 1%		180.75^* ***** is significant at 1%		63.23^* ***** is significant at 1%		59.22^* ***** is significant at 1%
Log. Like.	-2106.11		-2080.25		-2127.40		-2129.16
Schwarz	4280.36		4228.64		4322.94		4326.46
Akaike	4234.22		4182.50		4276.80		4280.32
Hannan-Quinn	4252.34		4200.62		4294.92		4298.44

Variable	Argentina		Brazil		Chile		Mexico
Variable	Coefficie.	Z Stat.	Coefficie.	Z Stat.	Coefficie.	Z Stat.	Coefficie.	Z Stat.
Constant	70.06	70.21^* ***** is significant at 1%,	60.00	41.12^* ***** is significant at 1%,	69,91	62,52^* ***** is significant at 1%,	70,09	67,04^* ***** is significant at 1%,
ROA	0.12	1.84^* * at 10%.	0.16	0.99	0,17	2,44^ at 5% and	0,08	1,17
ROE	0.01	0.81	0.01	0.59	0,01	0,97	0,01	0,73
TRS	-0.00	-1.21	0.00	0.50	-0,08	-5,11^* ***** is significant at 1%,	-0,01	-1,66^* * at 10%.
RC	0.00	0.37	-0.01	-2.25^ at 5% and	0,00	0,38	9,76	0,32
D(Argentina)	-16.77	-3.80^* ***** is significant at 1%,
D^* * at 10%. ROA	-0.19	-0.53
D^* * at 10%. ROE	-0.00	-0.10
D^* * at 10%. TRS	0.00	0.05
D^* * at 10%. RC	-0.00	-0.43
D(Brazil)			15.50	7.53^* ***** is significant at 1%,
D^* * at 10%. ROA			0.00	0.03
D^* * at 10%. ROE			0.00	0.03
D^* * at 10%. TRS			-0.03	-0.91
D^* * at 10%. RC			0.00	2.25
D(Chile)					-6,32	-2,55^ at 5% and
D^* * at 10%. ROA					-0,33	-1,06
D^* * at 10%. ROE					-0,01	-0,26
D^* * at 10%. TRS					0,08	5,13
D^* * at 10%. RC					-0,00	-1,50
D(Mexico)							1,33	0,26
D^* * at 10%. ROA							0,60	1,85^* * at 10%.
D^* * at 10%. ROE							-0,00	-0,13
D^* * at 10%. TRS							-0,00	-0,27
D^* * at 10%. RC							-1,71	-3,11^* ***** is significant at 1%,
Chi-Square	41.46^* ***** is significant at 1%,		106.39^* ***** is significant at 1%,		48.25^* ***** is significant at 1%,		31.59^* ***** is significant at 1%,
Log. Like.	-1984.40		-1956.41		-1981.31		-1988.90
Schwarz	4036.18		3980.19		4030.00		4045.17
Akaike	3990.81		3934.82		3934.63		3999.80
Hannan-Quinn	4008.68		3952.69		4002.50		4017.67

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[TFN1] Notes:MV stands for market value; BV stands for book value; Si is the logarithm of share price; Sm is the average of Si; n is the number of days; PPA is the trading amount in the period; IA stands for intangible asset; TA stands for total assets; Ri represents the return of share; Rm is the market return; NP stands for net profit; E refers to liquid equity; Div is dividends; P is the share price; IE stands for interest expenses; and OL stands for onerous liability.