Resumo

In this article we look at the determinants of material facts in the Brazilian Equity Market. According to the local legislation, material facts should be released to the public right after its occurrence, and preferably, after trading time. But this is not always the case, as a large number of material facts are published during the trading hours. This raises questions whether material facts can be published as a mean to raise returns or the volatility or even as a response to their variation.

This article has the following objective: Identify the determinants for material facts' publishing. As an example, we want to test if there is any preference for month, weekday or hour to publish a new material fact. We also want to check for a feedback effect between stocks volume, returns and volatility and material facts' publishing and sentiment.

Previous studies displayed the effects of material facts on price both in Brazil and internationally. There is even studies on the material facts' readability, but the authors of this article didn't find any previous study on material facts' determinants. In the literature, we find that results suggest that there is indeed some kind of anticipation before the release of new material facts, This hints that material facts releases aren't published immediately or randomly.

We test two different hypotheses using two different methods. First. we use panel probit to test whether there is a particular time of the day/week/month where more or less material facts are published. We also investigate whether the content of the material fact -- positive or negative sentiment -- explains different strateties regarding the release of news to the market. Lastly, we test for a feedback effect between material facts and the financial data - if material facts publishing drives the returns, volume and volatility and vice versa - using Vector Auto Regressions

Even if part of the literature shows that material facts incorporate new information to the stock market and usually this takes from up to one hour until the market fully reacts, this article didn't find strong evidence of material facts affecting the returns of the stock market. But we found that volatility and volume are determinants for material fact publishing. We find that on Mondays, material facts are more optimistic. We also did not find compelling evidence of a feedback effect between the stocks' returns, volatility and volume and material facts' publishing and sentiment.

Overall, despite finding determinant for material facts publishing and sentiment, we find no evidence of managers picking the time or situation to release the material facts to the public.This article can be improved uing more complex econometric techniques, specially for the feedback effect testing.

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