Reflexos da evidenciação de operações com derivativos na variação do retorno das ações das empresas brasileiras não-financeiras

Abstract

Derivatives played a crucial role in spreading risk throughout global markets during and after the so-called Sub Prime financial crisis, which started in the United States in mid-2007. In 2008, big Brazilian companies operating derivatives reported millionaire losses. They included Sadia S/A, Aracruz Celulose S/A, Votorantim S/A, Vicunha S/A, and others. As a result, Brazilian Comissão de Valores Mobiliários (CVM, equivalent to U.S. Securities and Exchange Commission) issued statements to protect stockholders. They are named Deliberação 550/08 and Instrução Normativa 475/08 and they compel publicly-held companies to disclose an explanatory note with goals, strategies, risk management policies, and a framework of sensitivity analysis in which scenarios of losses with derivatives are taken into account. Considering such changes, and mainly the disclosure of operations with derivatives, this study aims at verifying the effects of this disclosure on the return of stocks of non-financial Brazilian companies. Disclosure includes legal requirements, CVM statements, and accounting changes in the process of admission, measurement, record, and disclosure itself. A quantitative research using estimation methods with panel data of quarters from March 2007 to March 2010 was conducted to reach this goal. The first round of this research considered a sample of 60 non-financial Brazilian companies and results showed high statistical significance of variables 'complying with CVM statements' on the return of stocks. When a sample of 100 companies was considered, the same results were obtained. Therefore, it is possible to claim that 'complying with CVM statements' have effects on the return of stocks. Moreover, results show that complying with CVM statements' holds a negative relation with return of stocks. This means that the market reacts adversely to the detailed information about risk management and potential losses while operating derivatives.