발생액의 질이 미래이익에 대한 주가 정보성에 미치는 영향 (The Effect of Accruals Quality on Price Informativeness)

서지정보

· 발행기관 : 한국경영학회
· 수록지 정보 : 경영학연구 / 41권 / 1호 / 139 ~ 169페이지
· 저자명 : 권수영, 기은선, 서호준

초록

본 연구는 발생액의 질(accrual quality)이 미래이익에 관한 주가 정보성(stock price informativeness)에 어떠한 영향을 미치는지 살펴본다. 본 연구에서 발생액의 질은 전기, 당기 그리고 차기의 영업현금흐름으로 연결되지 못한 유동발생액의 잔차의 표준편차로 측정한다. 미래이익에 대한 주가 정보성은 미래이익반응계수(Future Earnings Response Coefficient:FERC) 모형을 이용해 측정하며, 이는 기업의 현재 주가가 미래의 순이익 정보를 반영하고 있는 정도를 나타낸다.
1997년부터 2007년까지 유가증권시장 및 코스닥시장에 상장된 기업들을 대상으로 5,671개의 기업-연도 자료를 분석한결과, 발생액의 질이 높을수록 기업의 현재 주가가 미래이익정보를 반영하는 정도가 높아지는 것으로 나타났다. 이러한결과는 발생액의 질이 높을수록(즉, 발생액이 영업현금흐름으로 전환되는 비율이 높을수록) 투자자가 기업이 공시한 회계이익을 바탕으로 기업의 미래 순이익을 합리적으로 추정할 수 있기 때문인 것으로 판단된다. 또한 발생액의 질을 그 원천에 따라 본질적 발생액의 질(innate accrual quality)과 재량적 발생액의 질(discretionary accrual quality)로 나눈 후FERC와의 관계를 살펴본 결과, 본질적 발생액의 질이 높은 경우뿐 아니라 재량적 발생액의 질이 높은 경우에도 FERC 가 증가하는 것으로 나타났다. 이러한 결과는 발생액의 질의 원천에 관계없이 발생액의 질이 높아지면 정보의 불확실성이감소하기 때문에(Francis et al. 2005) 투자자가 주가에 대한 기대를 형성하는 과정에서 미래이익정보에 대한 가중치를높인다는 것을 의미한다. 한편 발생액의 질이 FERC에 미치는 영향은 재량적 발생액의 질보다 본질적 발생액의 질에서보다 크게 나타났다. 이러한 결과가 나타난 이유는 본질적 발생액의 질에는 정보의 불확실성을 높이는 한쪽 방향의 효과만 있지만, 재량적 발생액의 질에는 경영자의 기회주의적인 이익조정 동기와 기업의 사적정보를 시장에 전달하는 신호동기가 공존하기 때문으로 판단된다(Francis et al. 2005).
본 연구의 결과는 발생액의 질이 미래이익에 대한 투자자들의 예측능력과 주가의 효율성에 영향을 미치는 중요한 요소임을 확인하였다는 점에서 그 의미를 찾을 수 있다.

영어초록

In this paper we examine the association between accruals quality and the informativeness of stock prices. We measure accruals quality by the standard deviation of residuals of current accruals which were not converted into operating cash flows in the prior period, current period and the following period. We measure stock price informativeness of future earnings by the future earnings response coefficient (FERC), which is the association between current period stock returns and future earnings.
Accruals quality captures the information risk about future cash flows and, as a result,future earnings. There are prior studies which documented the evidence that accruals quality was priced by investors and poor accruals quality is associated with high cost of capital (Francis et al., 2005; Chen, Dhaliwal and Trombley, 2008; Kim and Qi, 2010). Kim and Qi (2010) also report that accounting quality and stock returns of firms with poor accruals quality are more vulnerable to future market condition changes. These results lead to the expectation that stock price would be more informative about future earnings for firms with high accruals quality due to the lower information risk.
We focus on the accrual component of earnings for two reasons. First, the accrual component of earnings is subject to greater uncertainty than is the cash flow component. Second, accruals quality is the measure of information risk associated with a key accounting number- earnings since accruals quality tells investors about the mapping of accounting earnings into cash flows.
We test that a firm’s accruals quality can bring the future forward by revealing information in the current period that changes expectations about future earnings. We also investigate whether the pricing of accruals quality differs depending on the source of accruals quality. Innate accruals quality is driven by the firm’s business model and operating environment, while discretionary accruals quality is subject to management interventions. Since discretionary accrual choices reflect both opportunism and performance measurement, we predict distinct price informativeness,i.e., lower average price informativeness for discretionary accruals quality than for innate accruals quality.
We analyze all the firms listed on Korea Stock Exchange and KOSDAQ for the period 1997~2007. We find that there is a significantly positive relation between a firm’s accruals quality and the amount of future earnings news reflected in the current annual return. Higher accruals qualities are associated with a greater future ERC. We also find that both innate accruals and discretionary accruals are positively related to the amount of future earnings news reflected in current returns. Furthermore, there was significant difference between innate accruals and discretionary accruals in the magnitude of FERC. It appears that the acrruals quality matters, not the source of accruals. Our findings remain significant after controlling for factors known to influence the earnings response coefficient in a simple regression of returns on current earnings, namely, size, presence of loss, growth, and earnings volatility.
This paper has several contributions to the accounting literature. First, we document that high accruals quality allows investors to better predict future earnings. This is adds to the accruals literature where prior studies focused on accruals anomaly, information risk, or cost of capital. Second, this study shows that the usefulness of accruals in predicting future cash flows varies with the accruals quality, while prior studies only show that accruals provide useful information about future cash flows (Dechow, 1994; Dechow et al., 1998; Barth et al.,2001). Third, this study is the first attempt to examine whether investors take into information risk imbedded in account accruals quality and utilize such knowledge in their investments in anticipation of future earnings. We expect more studies by utilizing the notion accruals quality in the financial reporting and auditing area to address the important accounting question- the role of accounting information.

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