Is there a relationship between accounting and stock market returns in Brazil?

Newton Carneiro Affonso da Costa (), Roberto Meurer () and César Medeiros Cupertino ()
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Newton Carneiro Affonso da Costa: Departamento de Ciências Econômicas/UFSC
Roberto Meurer: Departamento de Engenharia de Produção/UFSC

Brazilian Review of Finance, 2007, vol. 5, issue 2, 233-245

Abstract: This paper examines the relationship between accounting and stock market returns of Brazilian companies on a quarterly basis. The sample consisted of 97 companies with stocks traded in the Sao Paulo Stock Exchange from January of 1995 to March of 2007. A Granger causality test was applied to the two return series for each of the sampled companies. The results of the causality tests suggested that there is weak evidence that accounting returns lead stock market returns rather than the reverse.

Keywords: Granger causality; quarterly earnings; market returns; market efficiency (search for similar items in EconPapers)
JEL-codes: G14 M41 (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:brf:journl:v:5:y:2007:i:2:p:233-245

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