결합재무제표 공시의 소속계열회사에 대한 정보효과 = The Information Content of Combined Financial Statement for Firms within the Chaebol

다국어 초록 (Multilingual Abstract)

In 1998, Korea government adopted a new accounting reporting system, combined financial statements, for conglomerates as a corporate restructuring process to enhance the transparency of corporate governance structure. Because of the unique ownership structure of Korea`s chaebols, certain affiliated companies were often excluded from consolidated financial statements even though they were under the common control of the chaebol. In order to address these issues, the Korean National Assembly passed a bill that required combined financial statements for chaebols for the fiscal year starting January 1, 1999. The combined financial statements include all domestic and foreign affiliates under the effective control of an individual owner and his or her relatives. The concept of effective control is consistent with the IAS and other international best practice. Since the combined financial statements are prepared under the assumption that chaebol affiliates under common control constitute a single economic entity, intra-group balances, intra-group transactions, and the resulting unrealized profits and losses must be eliminated in the preparation of the combined financial statements, unless unrealized profits and losses are immaterial. Despite the comprehensive nature of the combined financial statements, the results should be interpreted with caution since the combined financial statements do not represent internationally accepted standards. The combined financial statements are intended to help the market better discern financially sound and unsound firms, and thereby exert pressure on the latter to restructure and reform. Disclosure of the combined financial statements is also intended to raise investor confidence at home and abroad by enhancing corporate transparency. This study empirically examines the information content of combined financial statements announced by chaebols for individual firms included on the groups during 1999 to 2005. There has been controversy over whether the combined financial statements are useful to investors. A chaebol group can be viewed as one economic entity often under the control of the head of the group. Firms within a group are closely related to one another through various activities such as complex internal transactions, mutual ownership holdings, and loan guarantees. This study empirically investigates whether combined financial statements by the group, which is a single economic entity, have information content to predict stock return variance and trading volume for individual firms within the group. The study examines market reaction to combined financial statements between 1999 and 2005. Unfortunately, there is no theoretical basis for choosing a particular expectation model for trading volume; therefore, three different trading volume measures are employed based on previous research. First, the first measure is the percentage of shares traded adjusted for each firm`s average trading volume over the control period as the expectation. The second measure subtracts, from firm i`s daily percentage of shares traded, the percentage of shares traded on the KSE. Last volume analysis attempts to remove the effects of market-wide events upon the individual security`s volume. We follow Beaver (1968) by regressing each firm`s percentage of shares traded on the index of market-wide trading, defined as the percentage of shares traded on the KSE. This adjustment for the overall market level of trading is analogous to using a market model to adjust for market return in security price research. The result of the empirical tests shows that average trading volume during the announcement period is not significantly larger than that of the control period. Table 8 shows that when chaebol announced combined financial statements, the trading volume of the firms within chaebol are not significantly higher than the mean trading during the control period. This result also holds across other volume metrics. Therefore, trading volume does not provide any evidence regarding the information content of the group combined financial statement announcements. In this study we also examine the consequences of combined financial statements for price variability at announcement. The intuition behind earlier price variability studies is essentially a restatement of the efficient market hypothesis. If price reflects all publicly available information, the revision of beliefs attributable to a given announcement is discerned by observing revision of prices. Following Patell and Wolfson(1981), we use daily data to maximize the likelihood of detecting what are expected to be small differences in return variance. Assuming the estimation- and announcement-period means are not significantly different, the relative return variance is defined as follows. U(it)=u(it)2/S(i)2 These relative returns are analyzed on a daily basis using parametric statistics. Table 9 and 10 show that the daily relative return variance during the announcement period of a combined financial statement is greater than that in a control period. The no significant differences imply rejection of this null hypothesis using parametric statistics. All significant differences are negative, which indicates that the variance of the announcement period returns are not greater than that of the control period. The excess trading volume and significant price changes do not occur during days prior to and following the announcement, which is somewhat surprising. These result do not support the hypothesis that combined financial statements possess information content for individual firms within group, and these can be interpreted as evidence that combined financial statement is not useful for investor decision making.

참고문헌 (Reference)

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