COMO O MERCADO DE CAPITAIS BRASILEIRO REAGE A SURPRESA NOS LUCROS?

Abstract

This paper aims to investigate the informational content of earnings surprises, informational meaning the property to change stock prices. After a brief literature review on earnings surprises, it was implemented a study event of impact of unexpected earnings on Brazilian stocks returns. The study period was from 1996 through 2003. Using data extracted from I/B/E/S system, it was used the consensus analysts earnings forecast as a proxy for market expectations. In contrast to the international literature, negative earnings surprises were anticipated by negative abnormal returns in the period before earnings announcement. For positive earnings surprises it was initiated a cycle of positive abnormal returns after earnings announcement.  Implementing qualitative analysis of these earnings surprises has proven that stocks in which the earnings beat (but not exceed) the analyst’s earnings expectations have a superior performance in a period of 30 to 90 days after the announcement. This research is important to identify opportunities for profitable strategies using earnings surprises and to highlight some particularities of the Brazilian capital market.