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Abstract The objective of this study is to analyze the time series properties of quarterly accounting earnings and their relationship with the stock price (return) in Brazilian companies with shares in the Ibovespa from 2010 to 2016, after adoption of IFRS. Thus, of the 58 companies with shares active on the date of collection, 48 companies were analyzed, since those companies with no information in those years were withdrawn, totaling 1624 observations. For that multivariate model of time series of autoregressive vectors (VAR) was used and tests were applied to time series analyzed in order to verify their properties. The research findings pointed out that there is no long-term relationship and nor causality between quarterly earnings and stock returns in the companies studied. In addition, it has been observed that return is more sensitive to changes in quarterly earnings than the reverse. By decomposing the variance of the forecast errors of average earnings and average stock return, the results showed a direction of causality toward quarterly earnings for stock returns. The impulse-response function also allowed us to observe that stock return is more influenced by earnings shocks than the opposite, showing a short-term adjustment. Author Biographies Franciane de Oliveira Alvarenga, Universidade Federal do Rio de Janeiro Universidade Federal do Rio de Janeiro. Address: Rua Coronel Elpídio Gonçalves da Costa, 587B, Vila Marchetti | 36307-246 | São João Del Rei/MG | Brazil. Leila Batista Mello, Universidade Federal do Rio de Janeiro Universidade Federal do Rio de Janeiro. Address: Rua Filodentro, casa 133 – Condomínio Capim Melado, Freguesia | 22750-650 | Rio de Janeiro/RJ | Brazil. Manoel Vitor de Souza Veloso, Universidade Federal de Alfenas Universidade Federal de Alfenas. Address: Rua Osvaldo Henrique Valadão, 65/202, Rezende | 37623-370 | Varginha/MG | Brazil. Marcelo Alvaro da Silva Macedo, Universidade Federal do Rio de Janeiro Universidade Federal do Rio de Janeiro. Address: Av. Pasteur, 250 – Sala 250 – FACC/UFRJ, Urca | 22290-240 | Rio de Janeiro/RJ |Brazil. References Antunes M. T. P., Grecco, M. C. P., Formigoni, H., & Mendonça Neto, O. R. (2012). A adoção no Brasil das normas internacionais de Contabilidade IFRS: o processo e seus impactos na qualidade da informação contábil. Revista de Economia e Relações Internacionais, 10(20), 5-19.

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