IMPACT ANALYSIS OF MATERIAL FACT DISCLOSURE
OF PIS AND COFINS TAX CREDITS
Name: JOÃO MARCELO TASSIS ARAÚJO
Publication date: 02/08/2022
Advisor:
Name |
Role |
|---|---|
| CLÁUDIO MÁRCIO PEREIRA DA CUNHA | Advisor * |
Examining board:
| Name |
Role |
|---|---|
| ALFREDO SARLO NETO | Internal Examiner * |
| CLÁUDIO MÁRCIO PEREIRA DA CUNHA | Advisor * |
| TALLES VIANNA BRUGNI | External Examiner * |
Summary: We aim to investigate the market reactions to the disclosure of information by
companies. For this purpose, it uses the disclosure of material facts regarding
specific tax credits of companies listed on the Brazilian stock exchange: the
withdrawal of ICMS from the PIS and COFINS calculation basis. The first part to
be investigated is the reaction in stock prices and trading volumes, using the
event study technique. This analysis is followed by the investigation of the
existence or not of a trend (drift), after this disclosure. The sample consists of
38 disclosures of material facts about the mentioned tax credit, by companies
listed on the Brazilian stock exchange, B3. The results show that there is an
impact on the prices of the companies studied. There is also evidence that
some intrinsic factors of firms affect the extent of market reaction, such as firm
size, roa, average volume and the ratio between the material fact value and the
firm´s market value at the date of publication. There is also evidence that the
market anticipates most of the tax gain disclosed. The reaction is greater for
smaller companies, less traded and not covered by analysts, showing that for
these companies there is greater information asymmetry, in addition to finding
evidence of a post-disclosure drift. We could not find evidence on trading
volumes. This study contributes to a better understanding of the factors that
influence stock prices at the time of disclosure of financial information and its
post-disclosure behavior.
