Divulgação midiática de possíveis fraudes contábeis: uma análise dos seus reflexos causados no retorno das ações

Abstract

Fraud is a crime that seeks to obtain illicit benefits through deception. In the business world, there are two main types: occupational and organizational. Occupational fraud occurs when a person uses his or her position to obtain personal gains, while organizational fraud seeks benefits for the company, such as the manipulation of financial reports. Fraud prevention and detection involve several approaches. It is important to analyze cases of individual transgressions, understand market reactions, and adopt solid compliance and corporate governance practices. Striking examples, such as the Enron and Americanas S.A. scandals, highlight the need for effective measures against this type of event. This study sought to identify the effect of disclosing fraud on the stock returns of companies in which such an event occurred. To this end, the Event Study methodology was used, which aims to reveal the impact of information on a given variable over a time window. The event chosen for analysis was the media disclosure of accounting fraud or evidence of fraud and how this information influenced the stock price on the day and in the days surrounding the event. The zero date or event date was established as the day on which the fraud information was disclosed in the media, and the event window was the five quotes before and five quotes after that day. The sample of companies was composed of Via Varejo, CVC, Americanas, Ambev and Magazine Luiza. Given the options, the Market Model was chosen as the estimator of the parameters for calculating the expected normal returns and subsequently the abnormal return was calculated, resulting from the difference between the observed return and the expected return. Using the Student's t-test, in the analysis of the abnormal returns, it was identified that in all the securities evaluated these values were significantly equal to zero, therefore, it was concluded that the disclosure of fraud did not impact the stock returns. These results refute the theory of efficient markets in its semi-strong form, since, for this to be the case, stock returns should reflect both historical price behavior and publicly available information. In the cumulative abnormal return, the companies Via Varejo, Ambev and Magazine Luiza showed that their shares were negatively affected by information about fraud or evidence of it.