이익의 질과 현금흐름이 회사채 신용등급 결정에 미치는 영향력 분석 (The Effect of Cash Flow and Earnings Quality on Corporate Bonds’ Credit Grading)

서지정보

· 발행기관 : 한국금융학회
· 수록지 정보 : 금융연구 / 22권 / 3호 / 77 ~ 102페이지
· 저자명 : 박영규

초록

본 연구에서는 재량적발생액과 회사채신용등급과의 관계를 재검토하였다. 기존논문의 문제점을 보완하기 위해서 당기순이익 대신에 영업현금흐름을 포함하여 재량적발생액과 회사채신용등급과의 관계를 분석하였다. 실증분석을 통해서 다음의 결과를 발견하였다. 먼저, 재량적발생액과 신용등급간의 유의한 관계를 발견할 수 없었고, 반면에 현금흐름은 신용등급과 유의한 양(+)의 관계를 발견했다. 또한 재량적발생액과 영업현금흐름이 함께 포함된 모형에서는 현금흐름과 재량적발생액 모두 신용등급과 양(+)의 관계가 나타났다. 이는 신용등급을 평가함에 있어서 재량적발생액만을 고려하지 않고 당기순이익의 일부로써 고려하고 있음을 보여준다. 추가적으로 기존의 모형을 적용하여 신용등급변화와 재량적발생액의 관계를 검증하였으나 유의한 관계는 발견하지 못하였다.

영어초록

Previous studies in Korea have showed the mixed results of the relation between corporate bonds’ grade and discretionary accruals. Kim, Wee, and Jeon(2006) find that the discretionary accruals of the better grade group are significantly lower relative to those of the worse grade group and the discretionary accruals have significantly negative relation to corporate bonds grade. This empirical results suggest that discretionary accruals are negative relation with corporate bonds’ grade. Choe and Na(2006) find that the discretionary accruals of firms with upward changes of bond grades or with no changes of bond grades are higher than those with downward changes of bond grades. The result of Choe and Na(2006) is contradictory to that of Kim, Wee, and Jeon(2006).
The discretionary accruals are not included in the list of rating factors by Korea Investors Service(KIS), which is one of rating agency in Korea. This paper questions whether the impact of discretionary accruals on rating corporate bond grade exists or not. The aim of this study is to find whether credit rating agency consider discretionary accruals as the factor of rating the corporate bonds’ credit grade.
To get clear empirical results, this study strengthens the research methodologies and corrects the mistake of previous research.
First, some variables(DTAC, CFO, and LEV) are used as industry- adjusted values to control industry effect.
The second, I decompose net income(NI) into cash-flow from operation(CFO) and discretionary accruals(DTAC) and correct Kim, Wee, and Jeon(2006)’s credit rating model which includes both NI and DTAC. The decomposition of NI is important because both inclusion of NI and DTAC causes the misunderstanding of the coefficient of DTAC.

NI = CFO + DTAC + NDTAC
Y = b0 + b1*NI + b2*DTAC + e
Y = b0 + b1*(CFO + DTAC +NDTAC) + b2*DTAC + e
= b0 + b1*CFO + (b1+b2)*DTAC + b1*NDTAC + e

According to above equations, the coefficient of DTAC is not b2 but (b1+b2). Therefore CFO is included in the regression models instead of NI because CFO has no discretionary accruals.
The major findings of this study are as follows.
First, there is no relation between corporate bonds’ credit grade and the level of discretionary accruals. It is inconsistent with previous results that showed the significant relation between them.
Second, bond rating agency does not consider the discretionary accruals as the factor to evaluate bonds’ grade but only net income including it.
Third, the level of discretionary accruals does not predict the movement of corporate bonds’ credit grade.
This empirical results show that bonds credit rating agency does not use the discretionary accruals on rating the corporate bonds’ credit grade.

참고자료

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