Impacts of the Accounting Crisis of a Brazilian Retailer on the Returns of Creditor Banks: An Analysis with a Study of Events

Abstract

This research aimed to analyze the impacts of the accounting crisis of the Americanas Group, revealed in January 2023, on the returns of the shares of the main Brazilian creditor banks, verifying whether there was an abnormal reaction of the stock market to the disclosure of the event, in light of the Efficient Markets Hypothesis (EMH), in its semi-strong form. The crisis involved, among other factors, the controversial use of the operation known as forfait, which would have contributed to the concealment of relevant liabilities and to the distortion of the company's financial situation. For the analysis, the Event Study methodology was applied, widely used in the financial literature to measure the effects of relevant information on the market value of assets. The investigation considered a time window before and after the event, based on daily data from B3 (Brazilian Stock Exchange) and using the Ibovespa index as a benchmark for calculating abnormal returns. The results indicated the occurrence of statistically significant negative abnormal returns in the short term, especially in the portfolio composed of Bradesco, Itaú, BTG Pactual, and Santander, signaling inefficiency in the immediate incorporation of information by the market. In addition, a structural change in the betas of the shares was observed in the 50-day post-event window, suggesting a change in the systemic risk associated with the assets. Despite this, the medium-term impacts were mitigated by the robustness of the institutions analyzed, characterized by high capitalization and strong market presence. The study contributed to the literature on informational efficiency, reputational risk, and stability of the banking sector in contexts of corporate crisis, in addition to offering useful information for strategic decisions by investors, regulators, and bank managers.