투자효율성이 회계이익의 지속성과 가치관련성에 미치는 영향 (Investment Efficiency, Earnings Persistence, and Value Relevance)

서지정보

· 발행기관 : 한국경영학회
· 수록지 정보 : 경영학연구 / 44권 / 5호 / 1277 ~ 1304페이지
· 저자명 : 이보미, 백원선

초록

본 연구는 기업의 투자효율성이 이익지속성과 가치관련성에 미치는 영향을 분석하였다. 효율적 투자는 기업가치를 증가시킬 것이지만 비효율적 투자는 기업가치를 하락시킬 것이다. 기업의 실제투자수준이 예상되는 적정투자수준에서 벗어난 정도를 투자비효율성이라고 정의할 때, 투자효율성이 낮을수록 이익지속성이 감소하고, 회계이익의 가치관련성이 감소할 것이다. 이러한 예상을 검증하기 위하여 McNichols and Stubben(2008)이 제안한 투자함수모형에서 잔차의 절대값을 사용하여 투자비효율성을 측정하였다. 또한 이익지속성은 연속된 두 기간의 이익간 1차자기상관관계로, 회계이익의 가치관련성은 Ohlson(1995) 모형에서 회계이익의 주가배수로 측정하였다.
2001년부터 2012년까지의 한국거래소에 상장된 10,253개 기업-연도를 대상으로 실증분석을 수행한 결과, 기업의 투자행태가 비효율적일수록 이익지속성과 가치관련성이 유의하게 감소하는 것으로 나타났다. 이러한 결과는 다양한 추가분석을 통해서도 일관되게 관찰되었다. 본 연구의 결과는 첫째, 투자효율성 정도가 회계이익의 지속성 및 가치관련성에 유의한 영향을 미친다는 점과, 둘째, 이러한 사실을 자본시장참여자들이 자신들의 투자의사결정에 반영한다는 점을 밝혔다는점에서 연구의 의의가 있다.

영어초록

This study examines the effect of investment efficiency on earnings persistence and value relevance of earnings. Under the condition of no market frictions such as adverse selection or agency costs, efficient investment is to undertake projects with positive net present value. On the other hand, inefficient investment is (i) to invest in negative net present value projects (over-investment) or (ii) to give up investment opportunities that have positive net present value (under-investment). Thus, it is likely that efficient investment results in higher future earnings and firm value. We hypothesize that inefficient investment decreases earnings persistence and pricing multiple on earnings.
Following McNichols and Stubben (2008), we measure investment inefficiency as the residuals from regression model where capital expenditures are regressed on investment opportunities such as Tobin’s Q and cash flows from operations after controlling for asset growth and past investment. But to the extent that both over-investment and under-investment are considered to be inefficient, we take the absolute value of the residuals so that a larger (smaller) absolute value of the residual represents less (more) efficient investment. We evaluate earnings persistence by the first-order autocorrelation between earnings per share over two consecutive periods and value relevance of earnings by the pricing multiple on earnings in Ohlson’s (1995) model.
The initial sample consists of non-banking firms with December fiscal year end that are traded over Korea Exchange from 2001 to 2012. We impose the following requirements: (i) that data should be available on Data Guide Pro and (ii) that there should be at least 10 firm-years in a given industry to estimate investment efficiency. We have the final sample of 10,253 firm-years, which consists of over-investment subsample (3,952 firm-years) and under-investment subsample (6,301 firm-years).
Empirical results generally support our expectation. First, earnings are less persistent for firms with inefficient investment than for firms with efficient investment. This suggests that inefficient investment deteriorates earnings persistence. Second, the pricing multiple on earnings is smaller for firms with inefficient investment than for firms with efficient investment. This indicates that market participants evaluate unfavorably inefficient investment. This finding is robust (i) after clustering adjustment by firm, (ii) for alternative measure for investment efficiency, and (iii) across either over- or under-investment subsamples.
The results in this study improve our understanding of economic consequences of investment efficiency with respect to earnings persistence and value relevance of earnings. And Investors and regulators should be aware of the effect of managerial investment decisions on future earnings and firm value.

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