Influência do cost stickiness na previsão de retornos em empresas abertas listadas na B3

Abstract

The Sticky Costs Theory argues that costs do not follow a linear relationship with operational volume variations, highlighting an asymmetric behavior known as the cost stickiness phenomenon. This thesis posits that operational factors, such as asset turnover and profit margin, are variables that determine operational results and better explain company returns. It is, therefore, considered that cost stickiness could influence the accuracy of return predictions on investments due to the variability in the changes between costs and operational volume. In light of Signaling Theory, it is discussed that the financial and accounting reports disclosed by companies to the market could signal cost stickiness and its influence on return predictability, given that, currently, only information required by international accounting standards is disclosed. The objective of this research was to evaluate the accuracy of return forecasts for investors in publicly traded companies listed on B3, in relation to the asymmetric behavior of costs. A quantitative approach was used to analyze accounting data from 103 non-financial entities during the period from 2010 to 2022. The model proposed by Anderson, Banker, and Janakiram (2003) was applied to identify cost stickiness in the entities, while the return predictability model for net operating assets proposed by Penman and Zhang (2002) was applied and adapted to examine the influence of cost stickiness on future return predictability. The analysis of the absolute error values from the models allowed for evaluating the accuracy of these estimates, enabling the identification of the most accurate model for predictions. The research revealed that the cost stickiness phenomenon could be observed at a moderate level, indicating an optimistic direction in the Brazilian market, where there is more resource application than reduction. This suggests that listed entities tend to be optimistic and are more likely to incur new costs with positive demand expectations. It was also found that both the presence and higher levels of cost stickiness are negatively associated with the predictability of future returns, indicating that the phenomenon leads to lower return values. Despite these results, the model that considered the variables of the presence and level of cost asymmetry showed greater accuracy in predictions, meaning that there was higher precision in return forecasts due to lower error values in the estimates. This research contributes to the need for signaling cost stickiness to the capital markets, helping its various users understand the dynamics of the cost structure and its influence on the growth of operating assets as generators of future sales, providing incremental analysis of financial statements, especially regarding the determination of operational results. Recommendations are suggested for the disclosure of the phenomenon by entities, strategically, as well as for accounting standard setters.