기본변수의 정보성과 이익발표 후 잔류현상 (Informativeness of Fundamental Variables and Post-Earnings-Announcement Drift)

서지정보

· 발행기관 : 한국회계학회
· 수록지 정보 : 회계학연구 / 38권 / 1호 / 355 ~ 390페이지
· 저자명 : 나종길, 신희정

초록

이익발표 후 잔류현상은 비기대이익과 이익공시후의 초과수익률이 체계적인 관계를 가지는 현상으로서 효율적 시장가설에 대한 대표적인 이례현상이다. 이러한 이례현상은 현재이익의 미래이익에 대한 정보성에 대하여 자본시장이 과소반응하는 것과 관련된다고 선행연구에서 보고되었다. 한편 Lev and Thiagarajan(1993) 등 기본분석(fundamental analysis) 연구들은 재무제표상의 기본변수들이 미래의 회계이익과 기업가치에 대한 정보성을 나타내지만 자본시장참가자들은 이러한 정보성에 효율적이지 못한 것으로 보고하였다. 이처럼 기본변수의 정보성에 자본시장참가자들이 효율적이지 못하다면 이익발표 후 잔류현상도 이러한 기본변수의 정보성에 따라 차이가 있을 것으로 예측된다.
실증분석 결과, Lev and Thiagarajan(1993)이 제시한 기본변수들의 정보성에 따라 이익발표 후 잔류현상은 체계적인 차이가 있는 것으로 나타났다. 즉, 기본변수들이 미래이익 증가(감소)성향을 나타내는 기업일수록 이익발표 후 잔류현상은 양(음)의 방향으로 더욱 크게 나타나고 있다. 이익발표 후 잔류현상의 크기에 대한 기본변수들의 이러한 영향은 비기대이익의 영향과는 독립적으로 존재하였으며, 비기대이익의 정보성과 기본변수들의 정보성을 결합한 헷지포트폴리오는 단순히 비기대이익의 정보성에 근거한 헷지포트폴리오보다 높은 초과수익률을 보이는 것으로 나타났다. 본 연구는 기본변수의 정보성에 따라 이익발표 후 잔류현상의 크기에 체계적인 차이가 있음을 제시하는 최초의 연구로서 의미가 있다고 사료된다.

영어초록

The purpose of this study is to examine the cross-sectional differences in the magnitude of the post-earnings-announcement drift based on the fundamental variables.
The motivation of this study is based on two literatures about firm valuation: post- earnings-announcement drift and fundamental analysis. Post-earnings- announcement drift is a phenomenon where stock prices continue to move in the direction of the earnings surprises up to a year after the earnings is publicly known. It has been argued that the drift arises from investors' under-reaction to future earnings implications of current earnings news. The literature of fundamental analysis reported that a set of variables in the financial statements has information contents about future earnings and firm value. However, market investors appear to respond inefficiently to the future earnings implications of these fundamental variables in valuation process. In other words, the market investors appear to underreact to future earnings implications embedded in both earnings surprises and fundamental variables. It is conjectured that if the market underreacts to both types of future earnings implications, the drift's strength is different for different combination of the earnings surprises and fundamental variables. It is expected that drift is stronger when the firms with the positive(negative) earnings surprise show the financial statements with higher likelihood of earnings increases(decreases).
For the analysis, we employ 6 variables among 12 fundamental variables that are reported to be useful in predicting future earnings changes by Lev and Thiagarajan (1993). First, we examine whether these fundamental variables have information contents about future earnings changes. Secondly, we investigate whether the magnitude of drift is predictably different depending on the earnings surprise and fundamental variables. For this analysis, we employ both regression analysis and portfolio analysis.
Empirical results are as follows. Firstly, regression analysis indicates that the fundamental variables have an incremental explanatory power to future earnings, relative to current earnings. Also, future earnings changes are positively associated with an “aggregate fundamental score” which is the combined message in the fundamental variables. Secondly, as reported in prior studies, abnormal stock returns are predictable based on the magnitude and sign of the unexpected earnings. Regression analysis indicates a significantly positive association between abnormal returns and the unexpected earnings, even after controlling other firm-specific characteristics that have been reported to affect the magnitude of the drift. Also, the magnitude of the drift is significantly associated with the likelihood of earnings increases as reflected in the fundamental variables. The “aggregate fundamental scores” are found to predict future returns above and beyond those predicted by unexpected earnings. The drift appears to be magnified when a large positive(negative) unexpected earnings are accompanied by a higher(lower) likelihood of earnings increases as manifested in the fundamental variables. A hedge portfolio trading strategy that exploits informativeness of both unexpected earnings and fundamental generates abnormal returns in excess of those based on either unexpected earnings or fundamental variables.
It appears that the market investors do not efficiently respond to the future earnings implications embedded in not only the current earnings but also the fundamental variables.

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