Atributos do relatório de auditoria independente e risco de mercado: ecidências no Brasil

Abstract

This research examined the association between the attributes of the independent audit report and the market risk of Brazilian companies listed on B3 (Brasil, Bolsa, Balcão), considering the moderation of the size of the independent audit firm. The research sample consists of 275 companies and 2,849 observations from 2010 to 2024, after excluding financial companies and those with missing data and outliers. Market risk (RM) was measured using the Capital Asset Pricing Model (CAPM), in five windows after the release of the report (30, 60, 90, 120 and 252 trading days). Data on the attributes of the independent audit report (RAI), specifically the type of opinion (OPI), disclosure of key audit matters (DPAA) and disclosure delay (LNAD), as well as the size of the independent audit firm (BIG4), were extracted from the Standardized Financial Statements available at B3. The economic and financial data was obtained from the Economatica® secondary database. Descriptive statistics, tests of differences between groups and linear regressions with unbalanced panel data, with economic and financial controls, were used to analyze the data. The research findings suggest a positive association between PAA disclosure and beta in the shorter windows. In contrast, the modified opinion showed an association only in the 30-day window, while the delay in disclosure showed no association with market risk. Moderation showed an association between PAA and audit firm size in all windows. The robustness analysis with Value at Risk (VaR) showed an effect on the interaction between PAA and audit firm size in all windows. We conclude that, according to the assumptions of Signaling Theory, the information content of the independent audit report is incorporated into market risk. This study makes practical contributions by providing information for investors and managers on the public signals contained in the independent audit report of Brazilian companies, helping in the discussion of risk in decision-making windows, especially when considering the conditioning factor associated with the size of the independent audit firm.