자발적 공시의 질이 타인자본비용에 미치는 영향 (The Effect of Voluntary Disclosure Quality on the Cost of Debt)

서지정보

· 발행기관 : 한국회계학회
· 수록지 정보 : 회계저널 / 22권 / 3호 / 369 ~ 397페이지
· 저자명 : 황국재, 김기범

초록

Zhang(2005)은 경영자가 시장을 가이드 할 수 있는 정보능력이 극대화되는 기간 즉, 공시윈도우(disclosure window)를 설정한 뒤, 이 기간 재무분석가의 이익예측분산 및 이익예측오차의 변화를 활용하여 자발적 공시의 질을 측정하였다. 본 연구는 이러한 Zhang(2005)의 측정치를 이용하여 자발적 공시의 질이 타인자본비용에 미치는 영향을 살펴보았다. 실증분석을 위해 2001년부터 2010년까지 회사채 및 기업어음을 발행하고 분석에 필요한 재무자료 및 재무분석가 이익예측자료를 구할 수 있는 12월 결산 비금융 상장기업을 표본으로 선정하였다. 한편, 타인자본비용은 국내 및 국외 유수의 신용평가기관이 산정한 회사채 및 기업어음의 신용등급 그리고 세후타인자본비용을 이용하여 측정하였다. 신용평가기관의 회사채(기업어음) 신용평가등급이 최우량 등급인 경우 타인자본비용에 20(12)의 값을 부여하고, 상환불능등급채권등급인 경우 1의 값을 부여하였다. 세후타인자본비용은 세후이자비용을 장․단기부채의 평균값으로 나누어 계산하였다.
실증연구 결과 선행연구에서 타인자본비용에 유의적 영향을 미치는 것으로 검증된 변수의 영향을 통제한 후에도, 자발적 공시의 질은 타인자본비용에 유의한 음(-)의 영향을 미치는 것으로 나타났다. 이러한 실증분석 결과는 경영자가 적극적으로 공시의 질을 높여 정보비대칭을 감소시킬 경우 투자자들이 해당기업에 낮은 위험프리미엄을 적용하며, 이로 인해 타인자본비용이 낮아진 것으로 해석될 수 있다. 자발적 공시의 질 측정의 타당성 검증 그리고 연구결과의 강건성을 높이기 위한 추가분석에서도 일관된 결과가 나타났다.
본 연구는 기업의 정보위험의 대용치인 자발적 공시의 질이 타인자본비용에 미치는 영향을 살펴보았다는 점에서 의의가 있다. 공시는 다양한 경로와 방법으로 수행되기 때문에 공시의 질을 계량화 하는 것은 현실적으로 매우 어렵다. 이로 인해 자발적 공시의 질과 자본시장의 관련성에 대한 연구는 미진한 편이다. 본 연구를 통해 소개된 Zhang(2005)의 자발적 공시의 질 측정치가 향후 관련 연구에 의미 있는 초석이 될 수 있기를 기대한다.

영어초록

Zhang(2005) refers to disclosure window as a period in which manager’s information ability is the highest. To focus on the effects of disclosures made during the disclosure window, Zhang(2005) use the negative of the change in the combo measure from the beginning to the end of the disclosure window as her measure of disclosure quality. Zhang(2005) develop the combo measure that is the sum of the standardized analyst forecast dispersion and the standardized mean forecast errors squared.
Using Zhang(2005)’s disclosure quality measure, this research examines the effect of firm’s voluntary disclosure quality on the cost of debt financing. The measure of firm’s cost of debt in this research is their senior debt ratings assigned by various major bond-rating firms, KIS, Moody’s, etc. The various major bond-rating firms assigns bond(CP) ratings of Korean firms on a scale of twenty(twelve) grades from AAA(A1) to D(D). This research code these ratings for bond such that AAA(the best rating) corresponds with 20 and D(the worst rating) with 1 to facilitate our empirical analyses. Also This study code these ratings for CP such that A1(the best rating) corresponds with 12 and D(the worst rating) with 1 to facilitate our empirical analyses. Another measure of firm’s cost of debt in this study is the ratio of after-tax interest to interest-bearing debt.
This study draw an initial sample of firms listed on the Korea Stock Exchange for ten years from 2001 to 2010. This study obtain data on bonds(CPs) by searching through KIS-value database. This study also get data on analysts’ EPS forecasting by searching through FN-Guide database. Among these, non-financial firms that sastisfy all of the following criteria are selected:(1) fiscal-year ending December 31, (2) availability of finacial statements from TS 2000 or KIS-Value databasesTo test hypothesis of the effect of firms’ voluntary disclosure quality on the cost of debt financing, This study carry out ordinary least squares(OLS) regressions and an ordered-logit(OL) regression analyses. Using both OLS and OL estimation methods on a large sample of firms from the period of 2001-2010, This research find strong evidence that firms with higher(poorer) disclosure quality have higher(lower) debt ratings and lower(higher) ratios of after-tax interest expense to interest-bearing debt. This finding demonstrates that firms with low debt ratings provide less precise and less accurate information disclosure than firms with high debt ratings. Another finding in this study also shows that firms with high after-tax interest expense provide less precise and less accurate information disclosure than firms with low after-tax interest expense. These findings are consistent with several alternative specifications of the voluntary disclosure quality and cost of debt metrics.
These empirical findings offer the new insights into corporate disclosure behavior that higher disclosure quality reduces information risk arising from investors’ estimates of the parameters of an asset’s return or payoff distribution, where information risk is captured by voluntary disclosure quality. This study make two main contributions. First, the evidence documented in our study highlights the consistency with theories that show a role of information risk in asset pricing. In other words, This research show that firms with poor voluntary disclosure quality have higher costs of debt capital than do firms with high voluntary disclosure quality. This research also introduce new measure for estimating the voluntary disclosure quality.
To date, there is almost no documented empirical evidence on the relation between voluntary disclosure quality and capital market. This research expect that the measure of voluntary disclosure quality introduced in our research give the cornerstone of relevant research.
However, this study is not without limitations. First, the empirical proxy introduced in this study for the theoretical construct such as voluntary disclosure quality is relatively new and subject to further examination and validation. In particular, change in the sum of forecast dispersion and forecast errors as proxy for voluntary disclosure quality may contain large amount of information that is not directly related to disclosures and The controls of this reseaech may not be complete. Second, whether the information environment and the change there of measured during the defined disclosure window are representative of firms’ general information environment is also subject to further examination. Finally, managerial disclosure decision is a complex process and the empirical models of this research may not capture all of the relevant factors.

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