공시의 질이 부채조달비용에 미치는 영향 (Effect of Disclosure Quality on Cost of Debt)

서지정보

· 발행기관 : 한국경영학회
· 수록지 정보 : 경영학연구 / 40권 / 3호 / 803 ~ 830페이지
· 저자명 : 양동훈, 이상철, 윤종철

초록

This paper examines the effect of firms’ disclosure quality on cost of debt financing. We conjecture that poor quality of disclosure decrease information asymmetry between managers and market participants, thereby reducing cost of debt capital. Francis et al.(2005) argue that accruals quality (i.e., disclosure quality) tells investors about mapping of accounting earnings into cash flow. Relatively poor disclosure quality weakens this mapping, and therefore, increases information risk. Accordingly, firms with more information risk will have higher costs of capital.
Disclosure quality is difficult to measure because it is not directly observable. Disclosure measures used in prior research include analysts’ evaluations of firms’ disclosure practices by the Association for Investment Management and Research (AIMR) (e.g., Lang and Lundholm 1996; Botosan Plumlee 2002), a disclosure index created by the researcher (e.g., Singhvi and Desai 1971; Botosan 1997), and an indirect measure of disclosure quality combining three correlated variables of institutional holdings, low bid-ask spread, and high analysts following that are associated high disclosure quality (Lee et al. 2006). Among these approaches, we use the Lee et al.(2006)’s measure to estimate a proxy for disclosure quality. In doing so, we perform a factor analysis on foreign investors’ holdings, analysts following, audit quality,number of shareholders, and listing status to create one variable (i.e., common factor) for disclosure quality. The major benefit of using a common factor, as maintained by Lee et al.
(2006), is that it will be less subject to random measurement errors.
Our measure of firms’ cost of debt is their senior debt ratings assigned by Korea Investors Service (KIS), one of the Korean major bond-rating firms. KIS assigns bond ratings of Korean firms on a scale of twenty grades from AAA to D. Following Ahmed et al.(2002), we code these ratings such that AAA corresponds with 20 (the best rating) and D (the worst rating) with 1to facilitate our empirical analyses. We also use the ratio of interest to interest-bearing debt for a robustness check of main results. Prior studies has found that firm’s debt ratings are closely associated with its eventual payoff of interest and principal obligations.
We draw an initial sample of firms listed on the Korea Stock Exchange for five years from 2003 to 2007. We obtain data on bonds by searching through FnGuide and KIS-Value databases.
Among these, non-financial firms that satisfy all of the following criteria are selected: (1)fiscal-year ending December 31, (2) listed since 5-year before each sample year, and (3)availability of relevant financial data including daily and monthly stock returns. This sample selection procedure yields an final sample of 589 firm-year observations.
To test our hypothesis of the effect of firms’ disclosure quality on cost of debt financing, we carry out OLS regressions and an ordered- logit regression analyses. We find that firms with poorer disclosure quality have lower debt ratings and higher ratios of interest expense to interest-bearing debt. This results are consistent with several alternative specifications of the disclosure quality and cost of debt metrics. Our empirical findings confirm the notion that greater disclosure reduces information risk arising from investors’ estimates of the parameters of an asset (i.e., bonds)’s return or payoff distribution, where information risk is captured by disclosure quality.
Our paper makes two contributions. First, consistent with theories that demonstrate a role of information risk in asset pricing, we show that firms with poor disclosure quality have higher costs of debt capital than do firms with good quality. Second, we provide support for using a parsimonious variable measured by factor analysis on a set of variables that are correlated each other but are significantly associated with disclosure quality.

영어초록

This paper examines the effect of firms’ disclosure quality on cost of debt financing. We conjecture that poor quality of disclosure decrease information asymmetry between managers and market participants, thereby reducing cost of debt capital. Francis et al.(2005) argue that accruals quality (i.e., disclosure quality) tells investors about mapping of accounting earnings into cash flow. Relatively poor disclosure quality weakens this mapping, and therefore, increases information risk. Accordingly, firms with more information risk will have higher costs of capital.
Disclosure quality is difficult to measure because it is not directly observable. Disclosure measures used in prior research include analysts’ evaluations of firms’ disclosure practices by the Association for Investment Management and Research (AIMR) (e.g., Lang and Lundholm 1996; Botosan Plumlee 2002), a disclosure index created by the researcher (e.g., Singhvi and Desai 1971; Botosan 1997), and an indirect measure of disclosure quality combining three correlated variables of institutional holdings, low bid-ask spread, and high analysts following that are associated high disclosure quality (Lee et al. 2006). Among these approaches, we use the Lee et al.(2006)’s measure to estimate a proxy for disclosure quality. In doing so, we perform a factor analysis on foreign investors’ holdings, analysts following, audit quality,number of shareholders, and listing status to create one variable (i.e., common factor) for disclosure quality. The major benefit of using a common factor, as maintained by Lee et al.
(2006), is that it will be less subject to random measurement errors.
Our measure of firms’ cost of debt is their senior debt ratings assigned by Korea Investors Service (KIS), one of the Korean major bond-rating firms. KIS assigns bond ratings of Korean firms on a scale of twenty grades from AAA to D. Following Ahmed et al.(2002), we code these ratings such that AAA corresponds with 20 (the best rating) and D (the worst rating) with 1to facilitate our empirical analyses. We also use the ratio of interest to interest-bearing debt for a robustness check of main results. Prior studies has found that firm’s debt ratings are closely associated with its eventual payoff of interest and principal obligations.
We draw an initial sample of firms listed on the Korea Stock Exchange for five years from 2003 to 2007. We obtain data on bonds by searching through FnGuide and KIS-Value databases.
Among these, non-financial firms that satisfy all of the following criteria are selected: (1)fiscal-year ending December 31, (2) listed since 5-year before each sample year, and (3)availability of relevant financial data including daily and monthly stock returns. This sample selection procedure yields an final sample of 589 firm-year observations.
To test our hypothesis of the effect of firms’ disclosure quality on cost of debt financing, we carry out OLS regressions and an ordered- logit regression analyses. We find that firms with poorer disclosure quality have lower debt ratings and higher ratios of interest expense to interest-bearing debt. This results are consistent with several alternative specifications of the disclosure quality and cost of debt metrics. Our empirical findings confirm the notion that greater disclosure reduces information risk arising from investors’ estimates of the parameters of an asset (i.e., bonds)’s return or payoff distribution, where information risk is captured by disclosure quality.
Our paper makes two contributions. First, consistent with theories that demonstrate a role of information risk in asset pricing, we show that firms with poor disclosure quality have higher costs of debt capital than do firms with good quality. Second, we provide support for using a parsimonious variable measured by factor analysis on a set of variables that are correlated each other but are significantly associated with disclosure quality.

참고자료

· 없음