  Following the value relevance literature, this study verifies whether the
marketplace differentiates companies of high, medium, and low long-term
operational performance, measured by accounting information on profitability,
sales variation and indebtedness. The data comprises the Corporate Financial
Statements disclosed during the period from 1996 to 2009 and stock prices of
companies listed on the Sao Paulo Stock Exchange and Commodities and Futures
Exchange - BM&FBOVESPA. The final sample is composed of 142 non-financial
companies. Five year mobile windows were used, which resulted in ten five-year
periods. After checking each company indices, the accounting variables were
unified in an Index Performance Summary to synthesize the final performance for
each five-year period, which allowed segregation in operational performance
levels. Multiple regressions were performed using panel data techniques, fixed
effects model and dummies variables, and then hypothesis tests were made.
Regarding the explanatory power of each individual variable, the results show
that not all behaviors are according to the research hypothesis and that the
Brazilian stock market differentiates companies of high and low long-term
operational performance. This distinction is not fully perceived between
companies of high and medium operational performance.
