회사채 신용등급의 이익조정 통제효과 (Controlling Effects of Corporate Bonds Grading System on Earnings Management)

서지정보

· 발행기관 : 한국증권학회
· 수록지 정보 : Asia-Pacific Journal of Financial Studies / 35권 / 5호 / 45 ~ 74페이지
· 저자명 : 김문태, 위준복, 전성일

초록

본 연구의 목적은 회사채 신용등급과 이익조정의 관계를 밝히는 데 있다. 신용평가기관이 경영자의 이익조정을 기회주의적 동기로 인식한다면, 이를 호의적으로 평가하지 않는 결과, 신용등급이 양호한 기업의 이익조정 정도가 상대적으로 낮을 것으로 기대된다. 이를 검증하기 위하여, 당해 년(t기)의 신용등급에 직전 년(t-1기)의 이익조정 정도를 대응하였다. 이익조정 정도는 수정Jones 모형(1995)과 Yoon and Miller 모형(2002)으로 추정한 재량적발생액을 대용하였다. 연구대상 표본으로, 1995년도부터 2002년도까지 금융업을 제외한 12월말 결산 상장기업 중에서, 신용등급을 부여받은 998개 기업별-연도별 횡단자료를 활용하였다.
주요 분석결과는 다음과 같다. 첫째, 상관분석에서 신용등급과 재량적발생액은 유의한 음(-)의상관관계를 보였으며, 단변량 차이분석에서 신용등급이 양호한 집단일수록 이익조정 정도가 유의하게 낮게 나타났다. 둘째, 선형회귀분석과 로짓분석에서 신용등급에 대하여 이익조정변수는 유의한 음(-)의 설명력을 나타내었다. 연구결과를 통하여, 신용등급이 양호(불량)한 기업일수록 영업실적이 우수(불량)하고 이익조정 정도가 낮은(높은) 것을 알 수 있었다.
본 연구는 신용등급이 양호하게 부여된 기업일수록 이익조정 정도가 낮은 사실을 밝혀내어, 회사채 발행기업이 보다 건실한 이익을 보고하도록 유도하는 데 공헌할 것이다. 또 이익조정에대한 신용평가기관의 감독기능과 객관적 평가기능을 강화하는 합리적 근거를 제시할 것이다.

영어초록

Recent corporate accounting scandals such as Enron, World Com, Tyco and SK (Korea) have raised an important issue of the reliability of financial information supplied by listed firms. The Sarbanes-Oxley Act (2002) suggested that these scandals were caused by firms’ opportunistic management of the corporate earnings. Several studies found that such earnings management strategy would impair the quality of the reported earnings.
Therefore, some special systems or rules should be in place to regulate improper earnings management cases. As reported earnings play an important role in deciding the corporate bonds’ credit rating, we should consider if the earning numbers are reliable. This study aims to analyze whether the corporate bonds credit rating system has any controlling effect on managers’ attempt to manipulate thier earnings figures since a firm’s credit rate is crucial part of information based on which investors evaluate the firm’s financial conditions.
In Korea, all the firms that intend to issue corporate bonds must file their credit grades.
Authorized credit rating agencies generally evaluate the bonds and grade them A, B, C or D according to the issuer’s financial healthiness. In order to get better grades, managers make all the possible efforts such as adjusting their performances and financial conditions.
They may even make use of their discretion of choice among accounting alternatives to meet investors’ expectation. Manager’s discretion will be sometimes expressed through adjusted earnings, which may distort firms’ true value or mislead stake-holders.
The main concern of this study is whether corporate bond credit rating system would decrease managers’ opportunistic earnings manipulation cases. As investors rely on credit rating information when making an investment decision, the credit rating agencies should supply them with accurate information. If produced information is unreliable or wrong, the credit rating agencies might be faced with severe sanctions from the market. Therefore, we expect that the credit rating agencies have a strong incentive to discourage managers’ dishonest attempts to exaggerate their earnings.
The main hypothesis of this study is whether the bond credit rating system would successfully discourage managers from attempting to change their earnings report to get better ratings. The study expects the credit rating system would be an effective way to do so.
For testing the hypothesis, the research models include credit grades (GRADE) and discretionary accruals as main independent variables. The discretionary accruals are estimated by using the modified Jones model (1995, DAJ) and the Yoon and Miller model (2002, DAY). And other control variables included in the models are net income (NI), debt ratio (DEBT), firm size (SIZE), foreign investors’ ratio (FOR) and audit opinion (AUD).
The main test methods used in this study are correlation analysis, two-sample independent t-test, multiple linear regression and logit regression analysis. The test sample consists of 998 firm-year data, selected from the Korea Stock Exchange (KSE) listed companies during 1995~2002.
The major findings of the study are as follows: First, the correlation coefficient between GRADE and DA is -0.110, which is negatively significant at under 1% level (p < 0.001). This means the more the manager manipulates the earnings, the worse the credit grade is likely to be given by the rating agency. Secondly, both DAJ and DAY of the better GRADE group are significantly lower relative to those of the worse GRADE group. The t statistics and z statistics show significant results at under 1% level (p < 0.001), which implies that the firms classified as a more risky group report their earnings upward. Thirdly, regression models show that DAJ and DAY have significantly negative effects on the credit grade, which is consistent with the hypothesis.
It can be inferred from the result that earnings management negatively acts on credit grades. Finally, with the additional analysis on how the earnings management affects the changes of credit grades, both DAJ and DAY have significantly negative relation to GRADE.
According to the overall results of this study, we can arrive at the conclusion that the corporate bond credit rating system would effectively dampen the managers’ tendencies to manipulate earnings.

참고자료

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