A relação entre a surpresa nos lucros e as ações de crescimento/valor: uma análise do impacto do PEAD na rentabilidade das ações dos subsetores da construção civil, do comércio e de tecido, vestuário e calçados dentro do setor de consumo cíclico

Abstract

Post-earnings announcement drift (PEAD), or earnings surprise, has gained increasing prominence in academic debates for revealing exactly how the market interprets the publication of accounting data. The general objective of this study was to investigate whether, within a stratification of three different subsectors of the Cyclical Consumption sector, investors in growth/value stocks tend to react to financial results announcements that are above or below market expectations. Regarding the method, panel data regression was employed, considering the presence of fixed or random effects, depending on the test results. What the data showed was revealing and contradicted certain theoretical expectations: the impact of unexpected accounting information proved to be much stronger and more consistent in growth companies (those with low book-to-market ratios). It was concluded that for these companies, where the expectation of future expansion is high, the market seems to demand constant validation of the capacity to generate profits. When results are surprising, the response in the share price is intense. Conversely, in value companies, this sensitivity was low or non-existent, suggesting that the pricing of these assets follows other dynamics and does not fluctuate as much due to an isolated quarterly surprise