비영업발생액에 의한 이익지속성의 저하와 자본시장의 반응 (Low Earnings Persistence of Non-operating Accruals and Its Mispricing in the Market)

서지정보

· 발행기관 : 한국경영학회
· 수록지 정보 : 경영학연구 / 38권 / 4호 / 871 ~ 895페이지
· 저자명 : 강내철, 최순재

초록

사업실적이 부진하여 철수 또는 축소되는 사업은 사업부를 매각하거나 관련자산의 처분을 계획하게 된다. 철수되는 사업부문에서는 그 동안의 부진한 경영성과로 인해 자산의 공정가액은 장부가액에 미달할 것이므로 일시적인 음의 비영업발생액이 보고될 것이다. 비영업발생액은 지속성이 낮으므로 그 성격을 전달하기 위해 재무제표에 별도의 항목으로 보고된다.
따라서 비영업발생액은 미래이익에 대한 의미가 명확하다고 볼 때 투자자들은 비영업발생액의 낮은 지속성을 주가에 적절히 반영할 것이다. 그러나 비영업발생액이 해석하기 곤란한 경제적 상황이나 미래의 전망에 대한 정보를 담고 있을 수도있다. 이 경우 투자자는 그것이 미래에 지속되는 정도를 판단하기 어렵다. 실제로 투자자들은 비영업발생액이 미래의 이익에 지속되는 정도를 주가에 제대로 반영하지 못하는 것처럼 보인다. Dechow and Ge (2006)는 지속성이 낮은 비영업발생액이 미래이익에 대해 가지는 의미가 주가에 제대로 반영되지 않는다고 하였다. 즉 사업실적이 부진하여 철수나 축소되는 사업에서 보수적 회계선택으로 음의 비영업발생액이 인식될 때, 자본시장은 그 지속성을 과대평가한다는 것이다.
본 연구는 발생액 이례현상이 생각보다 광범위한 현상일 것이라는 추론을 바탕으로 비영업발생액에서 그 증거를 찾으려하였다. 이러한 의도에서 1997년부터 2005년까지 458개 기업의 회계 및 재무자료에서 총 3,695기업-년도의 관측치를분석하였다. 분석결과 기업들이 거액의 비영업발생액을 보고한 경우에는 이익의 지속성이 현저히 저하되었고, 이러한 이익지속성의 저하를 자본시장 참여자들은 주가에 제대로 반영하지 못한다는 점을 확인할 수 있었다.

영어초록

Various forms of evidence of capital market anomalies have been suggested recently. One of well-known anomalies in accounting literature is the accrual anomaly reported by Sloan (1996). According to the study, although the accruals has lower persistence than cash flow, it seems that the investors are not able to appreciate the implication of accruals on future earnings. After the salient study of Sloan(1996), many studies repeatedly confirmed that investors did not fully appreciate the implications of accruals on future earnings (Collins and Hribar 2000, Thomas and Zhang 2002; Ali et al. 2001; Fairfield et al. 2003; Richardson et al. 2005; Kang 2007).
In those studies which investigated the ‘accrual anomaly’, they looked at only the current portion of accruals. When we define the accruals as the difference between net income and cash flows from operation, it include accruals from non-operating activities as well as accruals from operating activities. Non-operating accruals include the gains(or losses) from investment or financial activities such as gains(or losses) on valuation or disposition of assets. However, Sloan(1996) measured accruals as changes in current assets and liabilities and depreciation, so non-operating accruals were left out. Similar methods were used in subsequent studies which investigated the accrual anomaly.
However, this study posits that the accrual anomaly is not limited to current accruals and we expect that non-current accruals may also lead to anomalous pricing as current accruals.
We expect that accruals anomaly is not limited only to operating accruals, non-operating accruals also could be mispriced.
In this study, we try to find empirical evidence of non-operating accruals anomaly. In fact, this issue of mispricing of non-operating accruals was indirectly dealt with by Xie (2001).
He thought that accruals anomaly was related to opportunistic earnings management and verified that normal part of accruals was free from mispricing and only the abnormal part of accruals was related to mispricing. However, the Jones (1991) type model he used for dividing normal and abnormal accruals, classifies non-operating accruals as abnormal accruals (Bernard and Skinner 1996). Therefore non-operating part of abnormal accruals may also be related to anomalous response of market.
However this issue was not paid direct attention before Dechow and Ge (2006) reported that the capital market failed in fully appreciating the implication of special items on future earnings when the reported earnings contains large negative accruals, namely transitory special items. When the firm recognizes large negative special items due to conservative accounting selection during restructuring, withdrawal or reduction of business, it seems that the capital market over-value the persistence of special items.
We try to find evidence of this thought. We analyzed the 3,695 firm-year observations of 458 firms of accounting and financial data from 1997 to 2005. According to the results, although the earnings persistence is significantly lowered by the inclusion of transitory nonoperating items, and the capital market participants are unable to appreciate the implication of low earnings persistence of non-operating accruals on the stock price. Given that nonoperating items is reported on the face of financial statement as separate items, it is more intriguing that such transitory nature of non-current accruals are not reflected in the stock prices. It seems that the reason of accrual anomaly can’t be explain with opacity of accounting information but with intelligence of market participants

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