실제 이익조정과 부채조달비용 간의 관계에 관한 연구 (Empirical Evidence on the Relation between Real Earnings Management and the Cost of Debt)

서지정보

· 발행기관 : 한국세무학회
· 수록지 정보 : 세무와회계저널 / 16권 / 5호 / 243 ~ 283페이지
· 저자명 : 곽수근, 박종일

초록

본 연구는 실물활동을 통한 이익조정(이하 REM)이 채권투자자의 관점에서 대출이자율 결정에 어떤 영향을 미치는지를 실증적으로 분석하였다. 즉 본 연구에서는 채권투자자들이 경영자의 공격적인 이익조정 수단의 중 하나인 REM 활동을 반영하는지를 REM과 부채조달비용 간의 관계를 통해 살펴보았다. Ge and Kim(2014)은 미국의 회사채 발행기업을 분석한 결과에서 REM과 부채조달비용(회사채 이자율 스프레드) 간에 유의한 양(+)의 관계를 보고했다. 하지만 이 연구는 회사채 발행기업만을 대상으로 했고, 또한 국내의 경우는 제도적 환경이 다르다는 점에서 만일 국내 상장기업을 대상으로, 또한 전체표본을 이용할 경우 REM과 부채조달비용 간에는 어떤 관련성이 있는지에 대한 사항은 검증가능한 실증적 연구주제이다. 이를 위해 본 연구는 Roychowdhuary(2006)의 방법에 따라 REM을 측정하고, AEM(재량적 발생액, Kothari et al. 2005)을 통제한 후에도 REM과 부채조달비용 간에 어떤 관계가 있는지를 분석하였다. 분석기간은 2001년부터 2011년까지이고 상장기업(유가증권상장과 코스닥상장기업)을 대상으로 최종표본 10,479개 기업/연 자료가 이용되었다.
실증분석 결과는 다음과 같다. 부채조달비용에 영향을 미치는 통제변수와 AEM 및 기업신용등급까지 통제한 후에도 전반적으로 REM은 부채차입이자율 스프레드(또는 부채차입이자율)와 유의한 음(-)의 관계가 있는 것으로 나타났다. 이는 실제 이익조정이 증가하더라도 국내 채권투자자들은 대출의사결정에 이를 정보위험의 증가로서 적절히 반영하지 못하고 있다는 발견이다. 따라서 이러한 결과는 국외 선행연구의 결과와 상반되지만(Ge and Kim 2014), REM이 외부에서 잘 식별되거나 관찰되지 않는다는 기존 연구들에서의 일반적인 주장과는 부합되는 증거이다(Graham et al. 2005; Roychowdhuary 2006; Cohen et al. 2008 등). 한편으로, 본 연구결과는 국내 상장기업의 경영자들이 부채차입을 위해 REM 활동을 기회주의적으로 이용할 유인이 존재한다는 발견이기도 하다. 또한 추가분석 결과에 따르면, 표본을 회사채 발행기업과 미발행기업으로 각각 나누어 살펴본 경우에도 전체표본의 경우와 대체로 일치된 결과로 나타났다. 이는 앞서의 검증결과가 회사채 발행여부와 관계없이 나타나는 현상임을 시사한다.
이상의 결과를 종합하면 REM을 통한 경영자의 기회주의적 이익조정행위가 기업의 미래 현금흐름에 관한 정보위험을 증가시킬 수 있지만, 국내 채권투자자들은 이를 대출결정시 적절히 반영하지 못한다는 본 연구의 발견은 채권시장에서 한정된 자원의 효율적 배분에 부정적인 영향을 끼칠 수 있음을 보여주고 있다는 점에서 중요한 시사점을 제공한다. 따라서 본 연구결과는 국내 채권투자자들이 경영자의 REM 활동에 대해 어떻게 평가한 후 이를 대출이자율 결정에 반영하는지와 관련한 이해에도 도움을 줄 것으로 기대된다. 그러한 점에서 본 연구의 발견은 경영자의 이익조정행위에 관심이 있는 학계뿐 아니라 실무계, 회계기준제정기관 및 규제당국에게도 유익한 정보를 제공해 줄 것으로 예상된다.

영어초록

The purpose of this paper is to test the impact of real earnings management on the realized cost of debt financing. Prior literature documents that raising capital provides incentives for real earnings management (hereafter REM) because managers tend to inflate earnings to reduce the risk premium (Graham et al. 2005). On the other hand, debt investors tend to focus on a firm’s ability to generate future cash flows to ensure the payment of periodic interest and the principal. REM activities distorts the quality of reported earnings, which can impact debt investors’ estimates of future cash flows. Because REM can have direct negative consequences on the level of future net cash flows, debt investors are likely to be concerned about and respond to REM activities. While accrual-based earnings management (AEM) only affects accrual numbers, REM boosts short-term earnings at the expense of distorting real operations (Roychowdhury 2006), it causes real operations to deviate from their optimal levels, with the primary objective of misleading stakeholders on underlying economic performance. Prior studies argue that REM is opaque to outside stakeholders and difficult to detect (Graham et al. 2005; Cohen et al. 2008; Zang 2012). Because they are not subject to external monitoring and scrutiny by auditors and regulators. In addition, REM could have negative consequences at the level of future cash flows (Leggett et al. 2009; Kim et al. 2009 etc). Given the negative effect of REM on the level of future cash flows, REM can affect debt value negatively. Since this paper focus on the impact of REM on the interest cost of borrowing, there is little evidence on how creditors in the debt market perceive REM.
We study investigates whether debt investors require higher or lower risk premiums in response to REM. If debt investors perceive REM as opportunistic behavior, we predict a positive association between REM and cost of debt (managerial opportunism hypothesis). Similarly, if debt investors mistake REM earnings management for operational efficiency, we predict a negative association between REM and cost of debt (operational efficiency hypothesis). It is an open question whether potential debt investors perceive REM as an opportunistic behavior or an operational efficiency.
Following recent REM studies (e.g., Roychowdhury, 2006; Cohen et al. 2008; Ge and Kim 2014 etc), we consider three types of REM are considered: sales manipulation, overproduction and abnormal reduction of discretionary expenditures. The test variables are four REM proxies (Ab_CFO, Ab_PROD, Ab_DISE, and comprehensive measure of REM is sum of Ab_CFO, Ab_PROD, and Ab_DISE). To capture the effect of REM via all three strategies or various combinations of the three strategies on the realized cost of debt financing, we develop a single, comprehensive measure of REM. And our proxy for AEM is the abnormal accruals from the performance-adjusted, as described by Kothari et al. (2005). We measure realized cost of debt as borrowing yield spread (YS), and use fractional ranks variable of YS. This paper define the realized cost of debt as the reported interest expense in a given year divided by the average of the interest bearing debt for that year and the preceding, and borrowing yield spread represents the difference between the interest rate on the firm’s debt and the average annual prime rate. To do this, this paper examines a relationship between REM and cost of debt using a sample of 10,479 firm-year in listed companies from 2001 to 2011. We examine all listed firms in the Korean stock market, tests are performed using a full sample of KOSPI and KOSDAQ listed firms. Findings of this paper are following. First, we find that cost of debt is negatively related to the proxies for abnormal overproduction, abnormal reduction of discretionary expenses and a comprehensive measure of REM. Overall, our results show that debt investors require a lower risk premium for firms engaging in REM. These findings suggest that accounting information plays an important role in the capital allocation process. In other words, the results suggest that debt investors fail to properly incorporate earnings management activities through REM for listed firms. Especially, this study reports the evidence that debt investors do not properly incorporate the information of REM. In that regard, our results also suggest that REM can be benefits to firms and thus for corporate managers to use REM and bring economic incentives. These results suggest that debt investors perceive real earnings management as evidence of operational efficiency and thus offer favorable pricing terms to firms with real earnings management. Overall, these results imply that, in the debt market, investors do not see through real earnings management. Similarly, with respect to the control variables, we find that the proxy for AEM is significantly negative associated with YS.
This paper contributes to the understanding of how debt investors consider and reflect earnings quality into a firm’s borrowing interesting rates by investigating the effects of REM on borrowing yield spread. Because debt investors are known as experts in evaluating firm’s overall creditworthiness and its capacity to satisfy its financial obligations, a firm’s borrowing interesting rates determined by REM can have an important effect on the efficient resource allocation. Therefore, understanding the debt markets consequences of REM is important and interesting in its own merit. So, we expect the findings in the paper to have useful implications for scholars, practitioners, accounting standard setters, and regulators. Our study contributes to the REM literature. Also, academics can also apply the discussion in this paper for related researches.

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