Este trabalho tem por objetivo principal avaliar a capacidade de explicação das variações dos retornos das ações de empresas que negociam seus títulos em bolsas de valores de mercados emergentes. Esta tarefa foi conduzida a partir de indicadores com o seu cálculo baseado em valores advindos das demonstrações contábeis, tais: como price-to-book, accruals, investimento, tamanho, lucro bruto e crescimento de vendas. Em adição, busca-se avaliar se o ambiente econômico e institucional afeta essa relação em países emergentes. Para isso investigaram-se empresas de capital aberto de 20 países classificados como emergentes, com base no índice elaborado pela agência Standard&Poors. Por essa via, as demonstrações contábeis das firmas nativas dessas economias foram utilizadas como insumo, restringindo-se aquelas de capital aberto que estavam disponíveis na base de dados da Capital IQ. Em paralelo, foram selecionadas informações macroeconômicas organizadas pelo International Country Risk Guide. A amostra abrangeu dados de 2004 a 2013, com a exclusão de dados faltantes (missings), variáveis consideradas outliers e daquelas empresas que apresentaram patrimônio líquido a descoberto. Os resultados demonstraram que a variável lucro bruto e price-to-book foi positivamente correlacionadas com os retornos. De outro lado, as variáveis investimento e tamanho foram estatisticamente significativas e negativamente correlacionadas com a variável retorno. As variáveis apresentaram sinais condizentes com a literatura, com exceção a variável price-to-book e a variável mudança de ativos. A análise fatorial gerou quatro fatores, para controlar as condições macroeconômicas que poderiam afetar o preço das ações no período analisado. Por essa via, mesmo após a inclusão dos fatores, as variáveis analisadas permaneceram estatisticamente significativas e com o sinal esperado. A inclusão de variáveis relacionadas ao ambiente informacional da contabilidade ofereceu indícios de que quanto mais opaco o ambiente da contabilidade no país, menor a capacidade dos lucros em retratar as variações dos retornos das ações. Em outra linha, a origem legal do país exibiu influência significativa sobre a variável dependente. Ainda, os resultados sugerem que a transição para normas internacionais ampliou a relevância da informação contábil / The thesis aim was to assess how variables calculated from financial statements affect stock return (such as Price-to-Book, Accruals, Investments, Size, Gross Profit, and Sales Changes). The research also investigates whether firms\' economic and institutional environments affect this relationship in emerging countries. We have investigated listed companies in 20 markets that are classified as emerging in Standard & Poor\'s index. Financial statement data were collected from the Capital IQ database. We also have collected macroeconomic information from the International Country Risk Guide. The sample comprised data from 2004 to 2013. Firms with missing data, outliers, and those with negative equity were excluded. The results showed that the variables Gross Profit and Price-to-Book were positively correlated with stock returns. On the other hand, Investment and Size were statistically significant and negatively correlated to returns. All variables reached the expected sign except Price-to-Book. Further research is needed to understand this result and determine if this signal is systematically achieved. We used principal component analysis to estimate macroeconomic risk and to address problems related to excess variables and multicollinearity. Four main factors were reached in principal component analysis to control the macroeconomic conditions that could affect stock prices during the period. In this way, even after the inclusion of factors, variables calculated from financial statements remained statistically significant and with expected signs. After analyzing variables related to the country\'s information environment it was sugested that the more opaque the accounting environment in the country, the lower the ability of earnings to portray variations in stock returns. The legal origin of the country also significantly influenced the results: Countries that follow laws originating from the French code has the weakest explanatory power. This finding supports the argument of La Porta et al. (1998, 1997) that such countries has the weakest legal protection and enforcement, compared with the German code or common law. The results also suggest that the relation between the adoption of international accounting standards and the ability of accounting information to portray variations in stock returns.

Neste trabalho são investigados os aspectos da contabilidade das empresas de construção civil relacionados ao esclarecimento dos problemas existentes e os requisitos para que ela seja útil no apoio aos processos de tomadas de decisões. São demonstradas diferentes formas de contabilização para essas empresas e tecidas sobre essas formas de contabilização à luz da teoria contábil. São também feitos comentários críticos a respeito da análise de demonstrações contábeis dessas empresas e apresentados índices complementares aos convencionais, que revelam dois aspectos importantes da contabilidade: a capacidade informativa da contabilidade e a importância das informações evidenciadas em notas explicativas. / This work investigates the aspects of the accounting of bulding construction companies (contractors) related to clarify the existent problems and the requirements to be useful in supportting the decision making processes. Different entries are demonstrated for those companies and discussions are made regarding those different recording in the light of Accounting Theory. Critical comments are also made regarding the analysis of financial statements of those companies and it is presented a complementary unconventional ratios, showing two important aspects of accounting: the informative ability of accounting and the relevance of information disclosed in footnotes.

Este trabalho investiga a utilidade e as limitações de estratégias de investimento em ações baseadas na análise de demonstrações contábeis. Inicialmente a avaliação é realizada para o conjunto total de empresas listadas na Bovespa. Na seqüência, restringe-se a investigação para os subconjuntos de empresas com alto índice PL/P (proxy de risco) ou/e com baixo BCGI (proxy de governança). De acordo com evidências apresentadas na literatura de contabilidade e finanças conjectura-se que estes grupos possuem características para que as estratégias de investimento baseadas na análise de demonstrações contábeis sejam mais úteis para a discriminação de boas e más oportunidades de investimento. As evidências encontradas apontam para uma maior utilidade da análise de balanços para a seleção de uma carteira de investimento em ações no grupo de empresas com alto PL/P e/ou baixo BCGI. Adicionalmente, incorporam-se nas análises econométricas os fatores de risco que poderiam ter relação com os resultados encontrados. Demonstra-se que a implementação da estratégia é mais realista (em termos de volume financeiro negociado das ações) para o grupo de empresas com baixo BCGI. Entretanto, há uma redução dos retornos obtidos com essa estratégia - selecionar empresas fortes financeiramente dentro do grupo de empresas com baixo BCGI - em relação à estratégia de seleção de empresas com alto PL/P e com bons indicadores financeiros. Esse resultado é consistente com a relação teórica negativa esperada entre liquidez e retorno e contribuí com a literatura para a explicação da obtenção de retornos anormais com estratégias de investimento baseadas na utilização de análise de demonstrações contábeis. / This thesis investigates the usefulness and limitations of investment strategies based on financial statement analysis. Initially I assess the usefulness of the strategy for the full sample of Brazilian public-held firms. An additional analysis considers the partition of high book-to-market (HBM) or/and poor corporate governance (CG) firms. Capital markets research in accounting and finance show evidences that permit one to posit that firms within these groups (HBM and/or poor CG) present specific features that should enhance the usefulness of financial statement analysis as an investment tool. I find evidences that the analyzed strategies significantly differentiate between winners and losers for both groups (HBM and poor CG) but not for the full sample of firms. These results confirm and expand Piotroski\'s (2000) evidences. Further I consider the possible omitted risk-factors that could explain the results obtained. I show that the practical implementation of the strategy is more realistic (regarding stock\'s trading volume) if applied for firms with poor corporate governance arrangements when compared to the HBM ones. However, the strategy returns are lower when applied to the subset of poor corporate governance firms. This evidence is consistent with the negative expected relation between liquidity and returns (Bekaert et al, 2006) and contributes to previous research (Piotroski, 2000; Mohanran, 2005) on abnormal returns obtained with financial statements analysis.

Die vorliegende Arbeit enthält eine statistische Analyse der Gesamtheit öffentlicher Unternehmen in Deutschland und ihrer wirtschaftlichen Lage. Für diese Untersuchung stand eine Datenbank für etwa 9000 öffentliche Unternehmen mit knapp 500 Merkmalen zur Verfügung, die im Wesentlichen den Posten der Jahresabschlüsse und verschiedenen Identifikationsmerkmalen (wie u. a. Unternehmenssitz, Wirtschaftszweig und Rechtsform) entsprechen. Die Analyse umfasst den Zeitraum von 1998 bis 2006. Die extrem umfangreiche Datengrundlage – Jahresabschlussstatistiken öffentlicher Unternehmen – ist für einen Statistiker eine große Versuchung. In der Arbeit wurden Methoden der beschreibenden Statistik und der Jahresabschlussanalyse mit Bilanzkennzahlen angewandt. Vor allem in den letzten zwanzig Jahren wurde die Entwicklung der Gesamtheit öffentlicher Unternehmen durch Wandelprozesse geprägt und von Diskussionen über ihre Leistungsfähigkeit begleitet. Die Dynamik der Gesamtheit öffentlicher Unternehmen zeigt sich v. a. an der Vielfalt ihrer Aufgabenbereiche und Organisationsformen. Daher wurde in dieser Arbeit versucht, zunächst eine Bestandsaufnahme des öffentlichen Unternehmensbereichs durchzuführen. Ein weiteres Ziel war die Beschreibung der Wirtschaftslage öffentlicher Unternehmen im letzten Jahrzehnt, wobei ihre Leistungsfähigkeit in den Vordergrund gestellt wird. Die Leistungsfähigkeit öffentlicher Unternehmen nur über die betriebswirtschaftliche Effizienz zu messen, ist gewiss einseitig und nicht ausreichend. Diese ließ sich aber im Vergleich zur volkswirtschaftlichen oder sozialen Effizienz leichter operationalisieren: Die betriebswirtschaftlichen Effizienzkriterien können gut aus den Jahresabschlüssen abgeleitet werden. Dadurch wird auch ein Vergleich mit privaten Unternehmen in gewissen Grenzen möglich. Die Beschreibung der Wirtschaftslage öffentlicher Unternehmen wurde als Analyse ihrer einzelnen Teillagen (Vermögens-, Finanz- und Ertragslage) strukturiert. Insgesamt unterstreicht die Analyse der Teillagen die enge Verflechtung zwischen öffentlichen Unternehmen und öffentlichen Haushalten. Die vorliegende Untersuchung soll die Forschung auf dem Gebiet der datengetriebenen Statistik, die im Universitätsbereich in letzten Jahren im Vergleich zur modellgetriebenen Statistik oft vernachlässigt wurde, ausweiten. / This monograph deals with state-owned companies in Germany. The study focuses on a statistical analysis of all state-owned companies in Germany and their economic situation. Approximately 9,000 state-owned companies, with nearly 500 characteristical items surveyed for every company, comprise the database for this statistical analysis. The elements examined are firstly the entries of the annual balance sheets. In addition, there are the identifying characteristics, such as the type of industry, the legal form, or the operating location, in the databank. The analysis covers the period from 1998 to 2007. It’s very tantalizing for a statistician to work with the statistics of the annual balance sheets of the state-owned companies in Germany because of the large volumes of data. Both the methods of the descriptive statistics and the financial statement analysis with the balance sheet ratios were applied in this study. Especially over the last twenty years, the changes in the economic sector have led to discussions about the potential performance of the companies. The population dynamics of the state-owned enterprises are seen in the variety of the types of their activities and services and new legal forms. Therefore, the first goal of this analysis was to take an inventory of the German state-owned companies. The second goal of this work was to describe the economic situation of the state-owned companies in the last decade, with the emphasis on their performance. To measure the performance of the state-owned companies using only the economic efficiency as criterion is insufficient. However, the economic efficiency is easy to operationalise compared to, for example, social efficiency, because the ratios of the economic efficiency can be easily derived from the annual balance sheets of the companies. Besides that, using the ratios of the economic efficiency makes the comparison between the state-owned companies and the private ones easier. The description of the economic situation of the state-owned companies is based on the analysis of their assets, as well as their financial and earning positions. Altogether, the analysis of different positions emphasized the interdependence between the state-owned companies and their owners (regional authorities). From the methodological point of view, this study tried to extend research in the field of the data-driven statistics, which has been a neglected topic at universities in the last years when compared to model-driven statistics.

Problem: Interim and annual reports are some of the most crucial sources of information regarding companies’ performances. Interested parties such as analysts and investors assess this information and compare it with expectations. Analysts’ expectations of companies’ interim reports are of great importance when analysing the future development of share movement. Possible deviations between analysts’ expectations and actual presented results from the individual companies might change the perceptions of specific future stock prices. Furthermore business sectors have different characteristics and might respond differently to unexpected earnings news. Over- and underperformance of the presented results in relation to analysts’ expectations could create specific stock price movements over a forthcoming period depending on the nature of the report. The authors label this phenomenon as persistent trends. Purpose: The purpose of this thesis was to establish whether persistency and trends could be observed in the future development of companies’ stock prices with regard to analysts’ expectations and the true result presented by the companies. Method: With a quantitative approach the authors conducted an event study aiming to fulfill the purpose of this thesis. The study consisted of all fourth quarter reports presented 2001 throughout 2004 by the companies presently listed on the Most traded section of the Stockholm stock exchange A-list. The authors defined the nature of the studied reports as positive or negative depending on whether the pre-tax earning exceeded or were lower than the analysts’ expectations. Furthermore the authors constructed a mathematical formula which distinguished if the possible deviation of actual results compared to expectations was significant. The share price performance for two months subsequent to the earnings announcement was recorded and compared with the OMXS30 development for the equivalent time, thereby the authors gathered empirical evidence to fulfill the purpose. Furthermore the data was also divided into business subcategories to provide answers to whether there was uniform response to unexpected earnings information among business sectors. Results: The authors presented empirically founded evidence for the existence of persistent trends following the presentation of both positive and negative reports. The authors also rejected the presence of a uniform response to deviating earnings information in the business sectors.

<p>Problem: Interim and annual reports are some of the most crucial sources of information regarding companies’ performances. Interested parties such as analysts and investors assess this information and compare it with expectations. Analysts’ expectations of companies’ interim reports are of great importance when analysing the future development of share movement. Possible deviations between analysts’ expectations and actual presented results from the individual companies might change the perceptions of specific future stock prices. Furthermore business sectors have different characteristics and might respond differently to unexpected earnings news. Over- and underperformance of the presented results in relation to analysts’ expectations could create specific stock price movements over a forthcoming period depending on the nature of the report. The authors label this phenomenon as persistent trends.</p><p>Purpose: The purpose of this thesis was to establish whether persistency and trends could be observed in the future development of companies’ stock prices with regard to analysts’ expectations and the true result presented by the companies.</p><p>Method: With a quantitative approach the authors conducted an event study aiming to fulfill the purpose of this thesis. The study consisted of all fourth quarter reports presented 2001 throughout 2004 by the companies presently listed on the Most traded section of the Stockholm stock exchange A-list. The authors defined the nature of the studied reports as positive or negative depending on whether the pre-tax earning exceeded or were lower than the analysts’ expectations. Furthermore the authors constructed a mathematical formula which distinguished if the possible deviation of actual results compared to expectations was significant. The share price performance for two months subsequent to the earnings announcement was recorded and compared with the OMXS30 development for the equivalent time, thereby the authors gathered empirical evidence to fulfill the purpose. Furthermore the data was also divided into business subcategories to provide answers to whether there was uniform response to unexpected earnings information among business sectors.</p><p>Results: The authors presented empirically founded evidence for the existence of persistent trends following the presentation of both positive and negative reports. The authors also rejected the presence of a uniform response to deviating earnings information in the business sectors.</p>

Este trabalho investiga a utilidade e as limitações de estratégias de investimento em ações baseadas na análise de demonstrações contábeis. Inicialmente a avaliação é realizada para o conjunto total de empresas listadas na Bovespa. Na seqüência, restringe-se a investigação para os subconjuntos de empresas com alto índice PL/P (proxy de risco) ou/e com baixo BCGI (proxy de governança). De acordo com evidências apresentadas na literatura de contabilidade e finanças conjectura-se que estes grupos possuem características para que as estratégias de investimento baseadas na análise de demonstrações contábeis sejam mais úteis para a discriminação de boas e más oportunidades de investimento. As evidências encontradas apontam para uma maior utilidade da análise de balanços para a seleção de uma carteira de investimento em ações no grupo de empresas com alto PL/P e/ou baixo BCGI. Adicionalmente, incorporam-se nas análises econométricas os fatores de risco que poderiam ter relação com os resultados encontrados. Demonstra-se que a implementação da estratégia é mais realista (em termos de volume financeiro negociado das ações) para o grupo de empresas com baixo BCGI. Entretanto, há uma redução dos retornos obtidos com essa estratégia - selecionar empresas fortes financeiramente dentro do grupo de empresas com baixo BCGI - em relação à estratégia de seleção de empresas com alto PL/P e com bons indicadores financeiros. Esse resultado é consistente com a relação teórica negativa esperada entre liquidez e retorno e contribuí com a literatura para a explicação da obtenção de retornos anormais com estratégias de investimento baseadas na utilização de análise de demonstrações contábeis. / This thesis investigates the usefulness and limitations of investment strategies based on financial statement analysis. Initially I assess the usefulness of the strategy for the full sample of Brazilian public-held firms. An additional analysis considers the partition of high book-to-market (HBM) or/and poor corporate governance (CG) firms. Capital markets research in accounting and finance show evidences that permit one to posit that firms within these groups (HBM and/or poor CG) present specific features that should enhance the usefulness of financial statement analysis as an investment tool. I find evidences that the analyzed strategies significantly differentiate between winners and losers for both groups (HBM and poor CG) but not for the full sample of firms. These results confirm and expand Piotroski\'s (2000) evidences. Further I consider the possible omitted risk-factors that could explain the results obtained. I show that the practical implementation of the strategy is more realistic (regarding stock\'s trading volume) if applied for firms with poor corporate governance arrangements when compared to the HBM ones. However, the strategy returns are lower when applied to the subset of poor corporate governance firms. This evidence is consistent with the negative expected relation between liquidity and returns (Bekaert et al, 2006) and contributes to previous research (Piotroski, 2000; Mohanran, 2005) on abnormal returns obtained with financial statements analysis.

Neste trabalho são investigados os aspectos da contabilidade das empresas de construção civil relacionados ao esclarecimento dos problemas existentes e os requisitos para que ela seja útil no apoio aos processos de tomadas de decisões. São demonstradas diferentes formas de contabilização para essas empresas e tecidas sobre essas formas de contabilização à luz da teoria contábil. São também feitos comentários críticos a respeito da análise de demonstrações contábeis dessas empresas e apresentados índices complementares aos convencionais, que revelam dois aspectos importantes da contabilidade: a capacidade informativa da contabilidade e a importância das informações evidenciadas em notas explicativas. / This work investigates the aspects of the accounting of bulding construction companies (contractors) related to clarify the existent problems and the requirements to be useful in supportting the decision making processes. Different entries are demonstrated for those companies and discussions are made regarding those different recording in the light of Accounting Theory. Critical comments are also made regarding the analysis of financial statements of those companies and it is presented a complementary unconventional ratios, showing two important aspects of accounting: the informative ability of accounting and the relevance of information disclosed in footnotes.

Este trabalho tem por objetivo principal avaliar a capacidade de explicação das variações dos retornos das ações de empresas que negociam seus títulos em bolsas de valores de mercados emergentes. Esta tarefa foi conduzida a partir de indicadores com o seu cálculo baseado em valores advindos das demonstrações contábeis, tais: como price-to-book, accruals, investimento, tamanho, lucro bruto e crescimento de vendas. Em adição, busca-se avaliar se o ambiente econômico e institucional afeta essa relação em países emergentes. Para isso investigaram-se empresas de capital aberto de 20 países classificados como emergentes, com base no índice elaborado pela agência Standard&Poors. Por essa via, as demonstrações contábeis das firmas nativas dessas economias foram utilizadas como insumo, restringindo-se aquelas de capital aberto que estavam disponíveis na base de dados da Capital IQ. Em paralelo, foram selecionadas informações macroeconômicas organizadas pelo International Country Risk Guide. A amostra abrangeu dados de 2004 a 2013, com a exclusão de dados faltantes (missings), variáveis consideradas outliers e daquelas empresas que apresentaram patrimônio líquido a descoberto. Os resultados demonstraram que a variável lucro bruto e price-to-book foi positivamente correlacionadas com os retornos. De outro lado, as variáveis investimento e tamanho foram estatisticamente significativas e negativamente correlacionadas com a variável retorno. As variáveis apresentaram sinais condizentes com a literatura, com exceção a variável price-to-book e a variável mudança de ativos. A análise fatorial gerou quatro fatores, para controlar as condições macroeconômicas que poderiam afetar o preço das ações no período analisado. Por essa via, mesmo após a inclusão dos fatores, as variáveis analisadas permaneceram estatisticamente significativas e com o sinal esperado. A inclusão de variáveis relacionadas ao ambiente informacional da contabilidade ofereceu indícios de que quanto mais opaco o ambiente da contabilidade no país, menor a capacidade dos lucros em retratar as variações dos retornos das ações. Em outra linha, a origem legal do país exibiu influência significativa sobre a variável dependente. Ainda, os resultados sugerem que a transição para normas internacionais ampliou a relevância da informação contábil / The thesis aim was to assess how variables calculated from financial statements affect stock return (such as Price-to-Book, Accruals, Investments, Size, Gross Profit, and Sales Changes). The research also investigates whether firms\' economic and institutional environments affect this relationship in emerging countries. We have investigated listed companies in 20 markets that are classified as emerging in Standard & Poor\'s index. Financial statement data were collected from the Capital IQ database. We also have collected macroeconomic information from the International Country Risk Guide. The sample comprised data from 2004 to 2013. Firms with missing data, outliers, and those with negative equity were excluded. The results showed that the variables Gross Profit and Price-to-Book were positively correlated with stock returns. On the other hand, Investment and Size were statistically significant and negatively correlated to returns. All variables reached the expected sign except Price-to-Book. Further research is needed to understand this result and determine if this signal is systematically achieved. We used principal component analysis to estimate macroeconomic risk and to address problems related to excess variables and multicollinearity. Four main factors were reached in principal component analysis to control the macroeconomic conditions that could affect stock prices during the period. In this way, even after the inclusion of factors, variables calculated from financial statements remained statistically significant and with expected signs. After analyzing variables related to the country\'s information environment it was sugested that the more opaque the accounting environment in the country, the lower the ability of earnings to portray variations in stock returns. The legal origin of the country also significantly influenced the results: Countries that follow laws originating from the French code has the weakest explanatory power. This finding supports the argument of La Porta et al. (1998, 1997) that such countries has the weakest legal protection and enforcement, compared with the German code or common law. The results also suggest that the relation between the adoption of international accounting standards and the ability of accounting information to portray variations in stock returns.

WHAT WAS DONE? This study researches the success of several value investment strategies in the stock markets of the United Kingdom and Germany based on nine firm fundamentals that are extracted from listed firms annual financial statements. In this regard, we first examine alternative forecast combination methods in a novel way to utilise fully the financial information at hand. Second, we examine the drivers of investment returns, particularly the role of information uncertainty, for which a new direct measure is developed. Finally, we evaluate the performance of these financial health investment strategies in alternative institutional environments by focusing on the differences between the two markets regarding both their corporate culture and their legal environment. WHY WAS IT DONE? Similar to economics, the discipline of finance is a social science because its observations emanate from economic transactions between humans. Nevertheless, a significant part of the research in this area is undertaken by means that are almost exclusively applied to the natural sciences, such as mathematics or physics. Although the reasons seem manifold, an increased form of scientificity, in conjunction with greater credibility of the research process and results, is deemed to be of primary importance. However, the benchmark for evaluating these research outcomes differs from those used in the natural sciences. From the example of the efficient market hypothesis one can see that alternative research results that cast serious doubt upon efficiency per se are disregarded as aberrations, leading to the assumption that the hypothesis in its entirety is more or less valid. This study assumes that inefficiencies in the stock market do exist for prolonged periods of time and investors are actually able to benefit from them. HOW WAS IT DONE? Secondary financial statement data of listed companies in the United Kingdom and Germany were downloaded from Datastream for the period between 1992 and 2010. A quantitative analysis of the significance of the correlation between groups of firms with similar financial characteristics and their one-year-ahead stock returns was subsequently performed. Various combination methods for differential weighting of individual financial statement items were conducted. The aim was to increase the profitability of the investment strategy. WHAT WAS FOUND? In general, a classification of stocks according to certain internal criteria of financial health is capable of separating future winners from losers and at the same time confirms the results of a previous US study. More specifically, we first show that a wide range of combination methods generate profitable investment strategies whereby especially measures of profitability are the central indicator of a firm s future performance. Secondly, the more complex methods neither consistently nor substantively outperform the simpler methods. Thirdly, information uncertainty does not seem to be the prime driver of the profitability of an investment strategy. Lastly, we show that financial health investment strategies are profitable both in market-oriented, common law settings and in bank-oriented, code law settings.