Banca de DEFESA: Roberto de Souza Vilela

Uma banca de DEFESA de MESTRADO foi cadastrada pelo programa.
STUDENT : Roberto de Souza Vilela
DATE: 06/06/2023
TIME: 09:00
LOCAL: Plataforma Teams (Link: https://bit.ly/44ZD4qt - ID: 241 785 776 122 Senha: BnDYAD)
TITLE:

The Value Relevance of disclosures of allowance for loan losses (PCLD) in the stock market of Brazilian banks

KEY WORDS:

Banks; LLP; Value Relevance; Market value; Credit risk.

PAGES: 93
BIG AREA: Ciências Sociais Aplicadas
AREA: Administração
SUBÁREA: Ciências Contábeis
SUMMARY:

The Loan Loss Provisions (LLP) is one of the main products of credit risk management in financial institutions, a significant accounting acruall and is one of the main tools that can be used for earnings management. This accounting metric is often used by investors in the capital market as one of the inputs for the construction of analysis that support investment decisions. Therefore, given its importance, it is expected that its disclosure contains informational value for the market. Extensive international literature indicates that, in general, disclosure of PCLD produces positive effects on stock prices and, consequently, on the market value of banking institutions, which shows that the increase in the cushion of protection against credit risk is received as “good news” by the market. In Brazil, academia has not addressed a similar issue. Therefore, the present work aims to investigate how investors react, positively or negatively, to the disclosure of the provision for losses associated with credit risk, by publicly traded Brazilian banks, and whether there is any kind of effect on the market price of it’s shares. To achieve this objective, after an extensive literature review on the topic of Value Relevance of accounting metrics in the Banking market, an adapted Ohlson (1995) model was used, with panel data regressions and application of the seemingly unrelated regressions (SUR) method, as well as the robust error correction method to verify whether the disclosure of accounting information, credit portfolio information and, especially, LLP (discretionary and non-discretionary) have a statistically significant relationship with the market value of the institutions. Data were collected on the Economática platform and on the Central Bank of Brazil (BCB) IF.DATA platform. The results indicated a positive and statistically relevant association between the total LLP (discretionary portion and mandatory portion) and the market value of the institutions studied, which corroborates the dominant trend in international research on the subject. On the other hand, contrary to expectations, the discretionary portion of LLP had lesser effects on the market value, when compared to the total LLP. Additionally, the assumptions of Ohlson's model (1995) in the Brazilian banking capital market were confirmed, in the sense that both equity and net income were relevant to explain part of the market value. The results allow to expand the literature produced nationally on the subject and can help investors in understanding the role of PCLD in market prices and the regulators in relation to a better understanding of the possible practical effects of accounting regulations related to LLP.

BANKING MEMBERS:
Presidente - 2726278 - BRUNO VINICIUS RAMOS FERNANDES
Interno - 2122897 - JORGE KATSUMI NIYAMA
Interno - 1999345 - JOSE ALVES DANTAS
Externa à Instituição - MARCIA REIS MACHADO - UFPB