< 연구논문 > : 이익의 질이 회계정보를 이용한 가치평가에 미치는 차별적 효과: 이익특성변수들 간의 비교 = The Effect of Earnings Quality on the Value Relevance of Accounting Information: A Comparison among the Earnings Attributes Variables

국문 초록 (Abstract)

본 연구는 회계이익의 품질이 개별기업의 고유정보위험을 대리할 수 있다는 선행연구에 기초하여, 다양한 이익특성변수들이 회계정보를 이용한 가치평가의 유용성(가치관련성)에 미치는 효과를 분석한다. 특히 한국주식시장에서 다양한 이익특성변수들 중 어떤 이익특성변수가 회계정보를 이용한 가치평가와 민감한 관계를 갖는지를 분석함으로써 투자자들이 정보위험으로 인한 가치평가 오류 가능성을 축소시킬 수 있는 효과적인 도구를 찾는데 초점을 맞추었다. 이를 위해 2003년부터 2012년까지 유가증권시장과 코스닥시장에 상장된 11,243개의 기업-연도 표본을 대상으로 Ohlson(1995)의 단순모형을 이용하여 가치관련성의 강도를 측정한다. 그 다음에 발생액의 질, 이익지속성, 예측가능성, 이익유연화, 재무투명성, 적시성, 보수성, 재량적 발생액의 절대값 등 여덟 가지 이익특성변수들을 계산하여 가치관련성에 미치는 효과를 조사한다. 본 연구의 결과를 요약하면 다음과 같다. 첫째, 긍정적인 이익특성을 갖는 기업에서 회계정보의 가치관련성은 증가하였다. 이는 투자자들이 정보위험을 감소시키기 위해 이익의 질이 높은 기업일수록 회계정보를 주식가치 평가에 더 많이 반영하고 있음을 의미하고 있다. 둘째, 여덟 가지 이익특성변수 중 발생액의 질이 가치관련성과 가장 민감한 관계를 나타냈다. 이는 Francis et al.(2004)의 연구와 유사한 결과로써 한국주식시장에서도 발생액의 질이 개별기업의 정보위험(대리인 위험)을 포착할 수 있는 유용한 대리변수일 가능성을 시사하고 있다. 셋째, 기업의 사업구조와 영업환경에 의해 발생한 선천적 위험요인(innate risk factor)을 통제하고 분석한 결과, 여전히 발생액의 질과 이익유연화가 가치관련성에 긍정적인 효과를 발생시켰다. 이는 Ohlson 모형을 이용한 가치평가의 유용성은 이익특성에 내재된 재량적 요인(discretionary factor)에 의해 영향을 받을 수 있음을 제시하는 결과이며 동시에 이익특성에 내재된 경영자의 재량적 요인이 정보위험을 측정하는 중요한 요소가 될 수 있음을 시사하고 있다.

다국어 초록 (Multilingual Abstract)

We examine the association between various attributes of accounting earnings and value relevance. Based on the result of prior research that earnings quality can predict firm-specific information risk, we test if it is also observed in Korean stock market. Specifically, we analyze that which variable is sensitively related in value relevance among various earnings attributes. Our research contributes to find effective tool for minimizing valuation error caused by information risk. In detail, this research focus on as in below. First, we determine the relation of value relevance with measurement perspective and firm-specific information risk caused by information asymmetry between manager and external investors. In particular, we compare which earnings attributes effect more to value relevance reflecting information risk in a similar way of Francis et al.(2004) which analyzed the relation between earnings attributes and cost of equity capital. We estimated value relevance and earnings attributes using the similar way used in Frankel et al.(2006) and Francis et al.(2004) each. Earnings attributes are usually categorized as (1) accounting-based and (2) market-based. We refer to accrual quality, persistence, predictability, smoothness and discretionary accrual as accounting-based. These attributes measured time-series and cross-sectional analysis using accounting information only. We refer to financial transparency, timeliness and conservatism as market-based. These attributes take stock return or prices as the reference construct; consequently, measures of these attributes are based on the estimated relation between accounting earnings and stock prices or returns. In fact, the purpose of this research is that which earnings attributes effectively reflect information risk that exists between manager and external investors comparing the earnings attributes`s sensitivity to value relevance. Secondly, we investigate whether discretionary factor can be used in estimating the manager`s agency risk by analysing the discretionary factor`s effect to value relevance. The earnings attributes we considered are jointly determined by innate factors, such as firms business models and operating environments, and by management`s discretionary reporting. However, information risk is observed by discretionary factor of earnings attributes since it is usually occurred by manager`s opportunistic motive. Therefore, we analyze the incremental effect of discretionary factor from earnings attributes determining the relation of earnings attributes and value relevance after controlling the innate factor in operating activity. Drawing on 11,243 firms listed on KOSPI and KOSDAQ of KRX from 2003 to 2012, we examine the relationship between value relevance and earnings attributes. The results are as in below. First, accrual quality and earnings smoothness are positively associated with value relevance. Thus, the earnings attributes from accounting information can effect on investors`s pricing. Secondly, as a result, accrual quality has the most significant association with value relevance among the eight variables. It refers that accrual quality can be the useful proxy which shows firm`s information risk in Korean stock market. Thirdly, the relation between accrual quality and earnings smoothness also shows positive relationship in the test even after controlling the innate factors occurred by firm`s business models and operating environments. Furthermore, we analyze the effect on value relevance after categorizing accrual quality as factors occurred by manager`s discretion and innate factors in operating activity and we found that as discretionary accruals quality gets lower, valuation error used accounting information gets decreased. This result provides implication as follows. There are possibilities that information asymmetry could exist between manager and external investors. Moreover, manager provides biased accounting information using discretionary factor to get his private benefit. Thus, in case of using the model in pricing, there is a risk of investor`s adverse selection by information risk from accounting information. This research analyzes the effect of various earnings attributes to the pricing using accounting information and we believe that it will minimize the adverse selection risk in case of pricing with Ohlson model. Secondly, Francis et al.(2004) measured the estimator of ex ante cost of equity using analyst`s forecast data and studied the association between earnings quality and cost of equity. However, in Korean stock market, the analysts tend not to analyze many firms and provide long-term target price, and it may cause optimistic bias. Thus, it may be hard to analyze the earnings attributes effect with measurement of the ex ante cost of equity in Korean stock market as in Francis et al.(2004). Therefore, we do not investigate the direct relationship between earnings attributes and cost of equity as in the prior studies. Instead of that, we test it indirectly through the relationship between earnings attributes and value relevance. Through this way, our study measures the value relevance and earnings attributes, and we analyze the relation of all the listed firms. Even we test it indirectly, we believe that the result is meaningful regard to verifying that earnings quality can be a useful proxy of information risk. Thirdly, we also believe that this research provides earnings attributes that effect on pricing and which do not effect by comparing various earnings attributes to value relevance after controlling innate factors which occur in operating activity. We conclude that discretionary accruals quality has more pronounced value relevance than other attributes and this result is similar to Francis et al.(2004, 2005). That means discretionary accruals quality is helpful as the most proper proxy of information risk in Korean stock market. Thus, we believe that discretionary accruals quality is useful as an efficient proxy of information risk regarding to the relevant information risk study in Korean stock market.