Sensitivity of Value of Shares to Changes in Risk of Bankruptcy : A Study of Changes in Evaluation Criteria Occasioned by Law 11.638/07

The Law 11.638/07 paved the way for Brazil to begin the process of convergence to IFRS. This change led to some changes in the ownership structure of the entities obliged to disclose your information under this Act. Knowing these changes in the ownership structure of entities, this study aimed to analyze the sensitivity of the value of the shares to the likely variations in the risk of discontinuity caused by changes in evaluation criteria from the Law 11.638/07. For this, we defined a sample that consisted of the companies in the energy sector, according to the classification given by the magazine Exames Maiores e Melhores (2009), and which were also quoted on the BM & F Bovespa. The variable "risk of discontinuity" was represented by the factor of insolvency of Kanitz (1978). The aim was to investigate the variation in risk (factor of insolvency) with data for the same exercise (2007), but which were measured with two bases: Act 6404/76and 6404/76 amended by 11638/07 and then to analyze how changes the risk of discontinuity explain the variations in stock prices from 2007 to 2008. To verify if the variations in the risk of discontinuity were significant, we used the nonparametric test of Wilcoxon and to analyze the sensibility of changes in stock price to changes in this risk the estimation of a cubic regression model was made. The results showed evidence that the changes in the risk of discontinuity, caused by changes in assessment criteria, had an insignificant degree of relationship due to changes in stock prices