이익분포의 비대칭도와 이익공시에 대한 주가반응 = The Relation Between Skewness in Earnings Distribution and Market"s Response to Earnings Announcement

국문 초록 (Abstract)

비정상적인 극단치가 있는 경우 이익수치의 분포는 양(또는 음)의 비대칭 분포를 나타낸다(Gu and Wu 2003, 강내철 · 김길훈 2015). 예를들어 경영자가 교체된 직후에 신임경영자는 전임자의 부진한 실적에서 빨리 벗어나기 위해 big bath를 선택하여 일시적으로 거액의 적자가 보고되는 경우가 있다. 반면 어떤 기업들은 특정 시기에 실적이 집중되는 특성으로 인해 일시적으로 거액의 흑자가 보고되는 경우가 있다. 그 결과 이익분포는 왼쪽(또는 오른쪽)에 긴 꼬리가 생긴다. 비정상실적은 일시적 현상으로 지속성이 낮기 때문에 이익분포 상의 극단치는 잡음으로 해석되어 이익의 예측가능성을 저하시킬 것이다. 본 연구는 이익신호에 포함된 잡음이 유발하는 불확실성이 이익반응계수에 미치는 영향을 이익분포의 비대칭도로 측정하여 분석한다.
잡음으로 인한 불확실성은 이익공시에 대한 주가반응을 저하시킬 것으로 볼 때, 이익분포의 비대칭성은 이익반응계수와 음(-)의 관계를 나타낼 것으로 예측된다. 이러한 예측을 확인하기 위해 상장기업들의 최근 9년(2006년부터 2014년까지)의 4,986건의 기업-분기 자료를 분석하였다. 분석결과에 따르면 이익분포의 비대칭도가 클수록 이익공시에 대한 주가반응이 작은 것으로 나타났다. 이것은 분석가의 예측치 분산도를 통제한 추가 분석에서도 재차 확인되었다. 이것은 이익분포의 비대칭도는 이익수치에 포함된 잡음에 기인한 불확실성을 반영한다고 할 수 있고, 이익분포의 비대칭도가 이익공시일의 주가반응에 미치는 영향은 분석가 예측치의 분산과 독립적임을 의미한다.

다국어 초록 (Multilingual Abstract)

This paper analyzes the effect of the uncertainty due to noise in earnings on earnings response coefficients. We use the skewness in earnings distribution as a proxy of the uncertainty due to noise in earnings. The distribution of earnings number is positively(of negatively) skewed due to abnormal outliers(Gu and Wu 2003, Kang and Kim 2015). A successor often engages in negative earnings management, namely big bath immediately after the former management"s exit for quick escaping from poor performance of a predecessor and reports temporary large negative earnings. As a result, the distribution of earnings is negatively skewed due to long tail in left side. Some firms report temporary large positive earnings due to a characteristic of concentration of performance in certain period. As a result, the distribution of earnings is positively skewed due to long tail in left side. Because the skewness of earnings distribution reflects a peculiar characteristic of firms, market participants will consider the meanings of the skewness in distribution of earnings in assessing uncertainty of the future cash flow.
Because the abnormal performance is temporary, the skewness in earnings distribution will be a noise in earnings signal. The negative relation is predicted between the skewness in earnings distribution and earnings response coefficients, because a uncertainty due to noise in earnings reduce a market response to earnings announcements. We analyzed 4,986 firm-quater data from recent 9 years of listed company for confirming this expectation. We find significant negative relation between the skewness in earnings distribution and earnings response coefficients. These results are confirmed again in additional analysis controlling a dispersion in analysts" forecasts.

목차 (Table of Contents)

• 국문초록
• Abstract
• Ⅰ. 서론
• Ⅱ. 연구설계
• Ⅲ. 실증분석
• Ⅳ. 결론
• 참고문헌

참고문헌 (Reference)

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