비재무적 정보를 이용한 코스닥 벤처기업들의 비선형성 분석 (An Analysis on the Convexity of KOSDAQ Venture Firms’ Valuation Using Some Non-Financial Variables)

서지정보

· 발행기관 : 한국경영학회
· 수록지 정보 : 경영학연구 / 36권 / 1호 / 159 ~ 182페이지
· 저자명 : 정진향, 이태희

초록

본 연구에서는 코스닥 벤처기업의 경우 회계정보의 가치관련성이 Ohlson의 초과이익모형에서 예측한 것처럼 단순․선형적이 아니라 옵션모형에서 예측한 것처럼 순이익과 순자산의 계수가 양자간의 상대적 중요도에 따라 증가하는 복합․비선형적이라는 주장에 대한 재검토를 목적으로 하였다.
코스닥 벤처기업은 일반기업보다 새로운 시장과 기술에 따라 수익모델을 전환할 수 있는 가능성이 크므로 청산옵션가치가높아 주가를 평가함에 있어서 회계정보가 비선형적 가치관련성을 가질 수도 있겠으나, 그 보다는 회계정보의 비선형성이일반기업의 경우보다 낮고 기타정보가 가치평가모형에 포함되지 않아 나타난 현상일 가능성이 높다. 이와 같은 가능성을검증하기 위해 부분옵션모형과 초과이익모형이 이론적으로 동일한 것임을 보인 후, 이론에서와 마찬가지로 실증적으로도전자와 후자에서 모두 비선형성이 나타남을 보여주었다. 또한, 사업다각화나 내부자지분율과 같이 코스닥 벤처기업의 기업가치와 관련된 기타정보를 포함시킬 경우, 부분옵션모형과 초과이익모형에서 나타났던 비선형성이 사라짐을 확인하였다.
이와 같은 결과는 코스닥 벤처기업의 기업가치와 관련된 기타정보를 포함시키는 경우에는 초과이익모형의 테두리 내에서가치평가를 단순․선형적으로 수행할 수 있음을 의미한다.

영어초록

This paper revisits the relevance of an option-style valuation model which predicts that KOSDAQ venture firms’ equity value is a convex function of both earnings and book value.
Such an argument is in sharp contrast to Ohlson’s Residual Income Model (RIM) which predicts that a firm’s equity value can be described as a simple linear combination of accounting earnings, book value, and some other information set.
The option-style valuation model posits that unlike the KOSDAQ general firms, KOSDAQ venture firms are more likely to be in a non-stationary state making RIM less appealing as an appropriate valuation model. The proponents argue that RIM should be used when valuing KOSDAQ general firms and the option-style valuation model should be used when valuing KOSDAQ venture firms.
Such argument naturally calls for the next research question of what really make the option-style valuation model more apt than the RIM. Needless to say, one explanation is the one that constitute the foundation of the option-style model hypothesis. That is, KOSDAQ venture firms are more likely to convert their assets into an alternative use than KOSDAQ general firms which triggers a higher liquidation option value that can not be captured by the typical accounting information of earnings and net equity value.
There is yet another competing argument proposed by the current study. The nature of KOSDAQ venture firms make it difficult for accounting information of earnings and net equity value to fully capture the valuation related characteristics. In such situation, the role of “other information” coined in Ohlson(1995) could play a critical role. Such possibility has been tested in numerous prior studies including Hand(2000a, 2000b), Truman et al. (2000) and Amir and Lev(1996). Therefore, it is only proper to test the two competing hypotheses.
Some interesting findings of the present paper are as follows. First, some findings from the prior studies supporting the partial option-style valuation model can not be used as an evidence in favor of the model because the empirical counterpart of the option-style model and the RIM model are exactly alike. Both mathematical derivation and empirical result of the present paper support this argument. Second, the effects of conservative accounting of KOSDAQ venture firms likely to have introduced some error-in-variable problems in the regression causing the coefficient of the dummy variable to be biased downward.
Notwithstanding the foregoing error-in-variable problems, the convexity was found to be robust. The present study goes further and show that the convexity is not triggered by the option values of KOSDAQ venture firms but the insufficiency of accounting variables in capturing the value relevance of these firms. Thus, when “other information variables” in the RIM model are added to the regression, convexity disappeared.
In summary, the present paper posits that competing the option-style valuation model and the RIM in the absence of “other information variables” is not a fair testing of competing hypotheses regarding the valuation of KOSDAQ venture firms. If it were for the liquidation option values that made the option-style valuation model more appealing, the variable that proxied the liquidation option value should have persisted even after the “other information variables” proxies were included in the model. Of course, the empirical results showed the contrary.

참고자료

· 없음