내재자기자본비용에 대한 고찰 (Review of Implied Cost of Equity Capital)

서지정보

· 발행기관 : 한국회계학회
· 수록지 정보 : 회계저널 / 31권 / 3호 / 127 ~ 149페이지
· 저자명 : 임승연

초록

본 연구는 자기자본비용의 대용치로서 사용되고 있는 내재자기자본비용에 대한 국내외 문헌을 종합적으로 검토하고 향후 연구에 서 유의해야 할 점을 제시하고자 한다. 내재자기자본비용은 주식시장이 효율적이고 미래 추정이익이 시장의 기대이익을 대리한다는 기본 가정하에 기업가치모형으로부터 역산하여 산출한 값으로서, 이론적으로 사후적인 주식수익률에 비해서 우월하다고 알려져 있다. 그러나 실증분야에서 내재자기자본비용의 타당성에 대해서 합의되지 못하고 있으며 내재자기자본비용의 실증적 타당성을 약화시키는 원인 중의 하나로 재무분석가들의 낙관적인 편의가 반영된 미래 이익예측치가 지적되고 있다. 일반적으로 미래 추정이익으로서 재무분 석가가 제시하는 예측치를 이용하는데, 재무분석가의 낙관적인 이익예측치를 이용하게 되면 결과적으로 추정된 내재자기자본비용은 편의와 오류가 포함될 수 밖에 없다. 따라서 선행연구에서는 직접적으로 재무분석가의 낙관적인 이익예측 오류를 계산하여 제거하거나 간접적으로 통제변수에 포함시킴으로써 내재자기자본비용의 타당성을 높이려 하고 있다. 반면, 국내기업을 대상으로 내재자기자본비용 을 추정하여 자기자본비용의 대용치로 사용하고 있는 국내 연구들을 검토한 결과, 대부분의 국내 연구에서는 재무분석가의 낙관적인 이익예측 오류에 대한 논의가 주의깊게 다뤄지지 않고 있을 뿐만 아니라, 내재자기자본비용을 추정할 때 주식가격 측정 시점과 재무분 석가의 이익예측 시점이 동일하거나 가깝게 있어야 한다는 점이 간과되고 있다는 것을 확인할 수 있었다. 내재자기자본비용이 자기자본 비용을 대리하기 위한 기본 가정에 대해서 충분한 논의가 뒤따르지 않는다면, 내재자기자본비용은 기업가치모형에서 산출된 내부수익 률일 뿐이므로 이를 자기자본비용으로 간주하여 적용된 연구는 왜곡된 결과를 제시할 수도 있다.

영어초록

This paper reviews prior literature on implied cost of equity capital (ICOE) estimates as a proxy for expected rate of returns and notes some caveats and suggestions for future work. An implied cost of equity capital can be derived by reverse-engineering an equity valuation model under the assumption that market prices are efficient and earnings forecasts are the market’s earnings expectations. Given that the discount rate should be an ex-ante measure to discount market’s earnings expectations, the implied cost of equity capital becomes a conceptually superior discount rate that is a proxy for expected returns. Two types of valuation models are used to infer the implied cost of equity capital estimates: the residual income valuation (RIV) model and the abnormal earnings growth valuation model of Ohlson and Juettner-Nauroth(2005), hereafter the OJ model. The RIV assumes a clean surplus relation and estimates the equity value as the sum of the current book value and the discounted present value of the residual income from its future operations. The implied cost of equity capital can be derived by reverse-engineering the RIV model assuming that stock price represents the intrinsic value of an equity share. The OJ model anchors the equity value on capitalized expected earnings and their growth estimates. Both models employ analysts’ short-term and long-term earnings forecasts to proxy for market’s expectation of future cash flows. In most prior literature, firm-specific implied cost of equity capital estimation procedures follow Claus and Thomas(2001) and Gebhard et al.(2001) based on the RIV model and Ohlson and Juettner-Nauroth(2005) and Easton(2004) based on the OJ model. However, there is less agreement on the validity of firm-specific estimates of implied cost of equity capital and one of reasons for it is the analysts’ optimistic earnings forecasts. To assess the validity of the implied cost of equity capital estimates, Gebhard et al.(2001), Gode and Mohanram(2003), Botosan and Plumlee(2005), and Botosan et al.(2011) examine the cross-sectional relation between implied cost of equity capital estimates and firm-specific risks and argue that some of implied cost of equity capital estimates are valid. On the other hand, Eason and Monahan(2005, 2016) evaluate the validity of implied cost of equity capital estimates through their relations to ex-post realized returns, and conclude that none of implied cost of equity capital estimates is valid. It’s possible that there would exist bias in estimates of cost of equity capital due to the analysts’ optimistic bias in earnings forecasts. Analysts’ earnings forecast bias is defined as the difference between actual earnings and analysts’ forecasts. Analysts tend to be optimistic and in turn the implied cost of equity capital estimates based on these analysts’ forecasts are likely to be upward biased. Prior studies try to enforce the validity of implied cost of equity capital estimates by predicting forecast errors in advance and removing them from analysts’ earnings forecasts or by including the forecast errors as a control variable in their analyses. In domestic studies relying on the implied cost of equity capital as a proxy for expected rate of returns, the discussion on the optimistic forecast bias, which is expected to be reflected in the analysts’ earnings forecasts, is not carefully considered. Since bias in the analysts’ earnings forecasts would lead to bias in the implied cost of equity capital, the estimates of expected rate of returns are likely to have considerable error. Furthermore, it is overlooked that the timing of stock price measurement and the timing of earnings forecasting by financial analysts should be the same or close when estimating the implied cost of equity capital estimates. Without considering the basic assumption that market prices are efficient and earnings forecasts are the market’s earnings expectations, it is clear that the implied cost of equity capital is just an internal rate of returns estimated from the valuation model. Little attention is given to this issue in the domestic studies.

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