공정공시와 자기자본비용의 관련성 (An Empirical Analysis on Association between Fair Disclosure and the Cost of Equity Capital)

서지정보

· 발행기관 : 한국회계학회
· 수록지 정보 : 회계학연구 / 39권 / 1호 / 1 ~ 42페이지
· 저자명 : 나영, 임욱빈

초록

공시의 정보효과를 보는 많은 선행연구에서는 공시의 수준이 향상될수록 기업과 정보이용자들 간의 정보불균형이 줄어들고 기업에 대한 정보위험이 낮아져 자본비용이 낮아진다는 실증분석 결과를 제시하였다. 본 연구에서는 2002년 11월 이후 시행되고 있는 공정공시제도가 자본시장에 미치는 영향을 분석하기 위해 공정공시를 통해 기업의 정보를 제공한 유가증권 상장기업들을 대상으로 공정공시수준과 자기자본비용의 관련성을 검토하였다. 또한 Francis et al.(2008)와 같이 이익의 질을 통제할 경우에도 공정공시수준과 자기자본비용의 관련성이 존재하는지와 이익의 질적 수준에 따라 공정공시수준이 자기자본비용에 미치는 영향이 차이가 있는지를 살펴보았다. 검증된 결과를 요약하면 다음과 같다.
분석결과 공정공시수준과 자기자본비용의 관련성은 유의한 음(-)의 관련성이 있는 것으로 나타났으며 이익의 질을 통제한 이후에도 공정공시수준과 자기자본비용의 관련성은 유의한 음(-)의 관련성이 있는 것으로 나타났다. 즉 기업의 공정공시수준이 확대 될수록 기업과 정보이용자들 간에 존재하는 정보불균형 및 정보위험의 감소로 인하여 자기자본비용이 감소하는 것으로 이해할 수 있다. 나아가 공정공시를 정보의 성격에 따라 실적예측공시와 비실적예측공시로 구분하여 자기자본비용의 관련성을 분석한 결과 실적예측공시는 유의한 음(-)의 관련성을 보였으나 비실적예측공시는 유의하지 않은 결과로 나타났다. 즉 기업이 비실적예측공시 보다는 실적예측공시를 많이 할수록 기업과 정보이용자간의 정보불균형이 감소함으로써 자기자본비용이 감소함을 알 수 있다. 또한 외국인 투자자 지분율에 따른 공정공시수준과 자기자본비용의 관련성을 분석한 결과 외국인 투자자 지분율이 높고 낮음에 따라 공정공시수준이 자기자본비용에 미치는 영향은 서로 차이를 보였다. 이러한 결과는 정보불균형 관점에서 볼 때 외국인 투자자 지분율이 높을수록 공정공시를 통해 기업의 정보를 공시하는 경우가 많아짐에 따라 정보불균형이 줄어들고 이에 따라 자기자본비용이 감소하는 것으로 판단할 수 있다.

영어초록

According to the findings in prior studies, firms with more expansive voluntary disclosures are associated with lower costs of capital. Moreover, it is argued that greater voluntary disclosure enhances stock market liquidity by reducing cost of capital through reduction of transaction costs and information risks.
Following the prior studies, this study examines whether the Regulation Fair Disclosure of Korea plays a positive role that reduces the cost of equity capital, which is a major purpose of the implementation of the Regulation Fair Disclosure (which was initially introduced in Korea during 2001). Also this study analyzes whether there are any different capital market effects depending on the nature of fair disclosures and foreign investors' ownership. Although there have been various studies that use Korean data on the effect of Regulation Fair Disclosure, it is not clear up to now what the comprehensive effect of the disclosure on the cost of capital.
Specifically, this study examines the association between the frequency (level) of fair disclosures by listed companies and the cost of equity. Additionally this study tests whether there is a significant relationship between the level of fair disclosures and the cost of equity after controlling for the earnings quality. In summary, the methodologies employed in this study is similar to those used by Francis et al. (2008).
For empirical analyses, this study employ the data collected from 2005 to 2010 from Korean stock market. The final samples are 2,218 firm-year observations collected from 155 distinct firms. Among them, 1,750 observations are earnings forecasts disclosures, while the remaining 468 observations are non-earnings forecasts disclosures. To measure the cost of capital, we use ex ante measure of the cost of capital, developed by Gode and Mohanram (2003) and Easton (2004).
The empirical results are summarized as follows: Firstly, the relationship between the level (measured by the frequency of disclosures) of the fair disclosure and the cost of equity capital is significantly negative. Even after controlling for the earnings quality (which is measured by the variability of earnings), the relationship between fair disclosure level and the cost of equity is negative consistently. These results suggest that, when a firm disclosures more information through fair disclosures system, the cost of equity is decreased as the wider the range of disclosure by the firm reduces information risks and asymmetry. As a result, it implies that firms get the benefit through the expanded disclosures.
Secondly, after dividing the fair disclosures into earnings forecasts disclosures and non-earnings forecasts disclosures in terms of the nature of information, the effect of both disclosures on the cost of equity is analysed. The results show that earnings forecasts disclosures have a significantly negative relationship with the cost of capital, but non-earnings forecasts does not. These results imply that frequent earnings forecasts disclosures can reduce firms' information asymmetry because those kinds of information is considered as more useful and reliable. As a result, decreased information asymmetry due to the disclosure of earnings forecasts may result in reduction of the cost of equity. In contrast, the disclosure of less important non-earnings forecasts rarely influence market participants, which lead to insignificant relationship between non-earnings forecast disclosures and cost of capital.
Finally, the result of the effect of foreign investors’ ownership on the relationship between the disclosure level and cost of equity shows that the foreign investors’ ownership is a significant factor which affects the relationship between disclosure level and cost of capital. The interaction term between the frequency of disclosures and foreign investors’ ownership is significant. That is, the more the foreign investors’ ownership and the higher level of voluntary disclosures, the smaller cost of capital. The results imply that firms with more foreign ownership experience even a greater benefit of reduced cost of capital when they disclose more information.
The empirical results of this study provide useful implications upon improving the Regulation Fair Disclosure and the efficient distribution of capital. Based on the findings in this study, future research on the fair disclosure may focus on how to efficiently regulate the disclosure system and also focus on direct comparison of fair disclosure firms and non-fair disclosure firms for enhancement and usefulness of the fair disclosure information. In addition, by reporting the relationship between disclosure level and cost of capital, this study complements the mixed findings in prior studies and help for academics to enhance the understanding on the effect of the disclosures.

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