The extant literature provides evidence on the impact of financial disclosure environments on international capital mobility. However, to our knowledge, there are no such studies including Latin-American countries. We aimed to fill this void by assessing the influence of accounting information on international capital mobility in a twenty-two-country sample, including the three largest Latin-American countries: Argentina, Brazil and Mexico. The countries included in the sample represent around 80% of the world's GDP from 1995 to 2001. Our empirical results show with a 99% confidence level that the degree of disclosure of value-relevant accounting information has positively influenced international capital mobility. We also show, with a 95% confidence level, that countries where financial accounting is less aligned with tax accounting present higher international capital mobility. The three Latin-American countries studied present relatively low levels of disclosure among the sampled countries. However, whereas Argentina and Brazil show low levels of capital mobility, Mexico stands out with a high capital mobility, which we reckon could be accounted for by the country's trade and investment connections with the US and by its participation in the NAFTA.
This paper aims to propose and test a model to evaluate the influence of economic policy uncertainty on the Brazilian stock market based on the theoretical framework present in Fama & French Five-Factor Model (FF, 2015), with an additional factor representing the risk of uncertainty, in two versions: based on the Economic Uncertainty Index (IIE-Br / Fundação Getúlio Vargas) and the Economic Policy Uncertainty -EPU (Baker et al., 2016) for Brazil. The proposed model, in both versions, demonstrated greater explanatory power than FF (2015) model based in 32 portfolios, in the period and sample analyzed. The coefficients of uncertainty factors (EPU and IIE-Br) were found to be significant at up to 0.05 in about 75% of the portfolios, indicating that this methodology could be used as a mechanism to better understand the effects of uncertainty in the Brazilian market.O objetivo deste artigo é propor e testar um modelo de avaliação da influência da incerteza em relação à política econômica sobre o mercado acionário brasileiro a partir do arcabouço teórico do Modelo de Cinco-Fatores de Fama e French (FF, 2015), com a inserção de fator adicional representativo do risco de incerteza, em duas versões: com base no Índice de Incerteza Econômica (IIE-Br/Fundação Getúlio Vargas) e no Economic Policy Uncertainty -EPU (Baker et al., 2016). O modelo proposto, em ambas versões, demonstrou maior poder explicativo dos retornos dos 32 portifólios avaliados em relação ao modelo FF (2015), no período e amostra analisados. Verificou-se que os coeficientes dos fatores de incerteza (EPU e IIE-Br) mostraram-se significativos a até 0,05 em cerca de 75% dos portifólios, indicando a possibilidade de uso dessa metodologia como mecanismo para melhor compreensão do efeitos da incerteza no mercado brasileiro. autores El objetivo de este trabajo es proponer y probar un modelo para evaluar la influencia de la incertidumbre con respecto a la política económica en el mercado de valores brasileño basado en el marco teórico del Modelo de Cinco-Factores del Fama & French (FF, 2015), con la inserción de un factor adicional que representa el riesgo de incertidumbre, en dos versiones:
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