파생증권 발행으로 인한 이해관계자 확대가 회계의 보수성 증가를 초래하는가? : ELS연계기업을 중심으로

홍영도 ( Youngdo Hong ),김갑순 ( Kapsoon Kim ) 한국회계학회 2016 회계저널 Vol.25 No.5

저금리 시대가 도래함에 따라 중위험·중수익 파생증권인 ELS 증권이 빠르게 성장하고 있다. 개별주식과 연계된 파생증권인 ELS가 발행됨에 따라 기업가치에 영향을 주는 재무제표 및 기업의 정보에 관심을 갖는 이해관계자의 폭이 확대되었다. 본 연구는 2006년부터 2014년까지 15,245개 기업·연도 표본과 ELS증권이 발행된 368개 기업·연도의 표본을 대상으로 하여 ELS 발행기업의 회계보수성을 분석하여 다음과 같은 결과를 확인하였다. 첫째, 기업의 주식이 기초자산으로 연계된 ELS가 발행된 기업은 ELS가 발행되지 않은 기업에 비하여 회계의 보수성이 유의하게 증가하였다. 이는 재무제표가 잘못 작성되어 ELS가 발행된 기업의 주가가 하락할 경우 손실을 입은 투자자의 범위가 확대되기 때문에 ELS가 발행된 기업의 경영진은 높아진 소송가능성에 대비하고 또한 투자자들의 손실을 미리 방지하기 위하여 보다 보수적으로 회계처리를 하는 것으로 해석된다. 둘째, ELS가 발행된 기업을 대상으로 하여 분석한 결과, ELS 발행횟수가 증가할수록 회계의 보수성이 더 증가함을 확인하였다. 이는 해당 기업의 주식이 연계된 ELS의 발행횟수가 증가할수록 기업의 주가등락에 따른 이해관계자들이 더 늘어남에 따라 기업은 잘못된 회계처리로 인한 주가하락을 방지하기 위하여 보다 보수적인 회계처리를 하는 것으로 해석된다. Jennings and Starks(1986)은 파생증권은 시장의 투명성을 높인다고 하였으며 Watts(2003, 2008)는 보수주의회계는 정보비대칭을 완화하는 수단이 된다고 하였다. 본 연구는 우리나라에서 보편화된 파생상품인 ELS가 보수주의회계를 통하여 시장투명성에 공헌하는지를 살펴본 연구라는데 의의가 있다. Since the issue of Equity linked security(ELS) was legally allowed in 2004, Korean equity linked security market has been rapidly growing due to the relatively low interest rate in the financial circumstance. If the firm``s stock price is linked with ELS, the range of the interested parties is extended including the investors and the issuers of ELS and the new comers of the interested parties will help to reduce the information asymmetry between firms and investors and increase the efficiency of the financial market. In terms of firms`` managers, the new-added number of watch dogs on the firms`` financial statement will increase the possibility of litigation, which would drive the firms`` managers to takce the posture of the accounting conservatism. If the stock price dropped sharply, the value of ELS would also plummet. To prevent the ELS investors`` loss in th future, firms will try to inform the investors of any possible loss as soon as possible by recognizing any probable losses in financial statement when the bad news or the economic loss incurred. The early recognition of loss will prevent the big bath in accounting which would result in stock price crash meaning much loss for ELS investors. With the reason, we assumed that the firms linked with ELS would report the financial statements in more conservative ways. For empirical analyses, this study hand-collects the data of firms with ELS from Korean Securities Depository from 2006 when the firm`` stock linked ELS was initially issued to 2014. We analyzed the accounting conservatism of the firms with ELS using 368 firm-year samples of the firms with ELS and 15,245 control samples. We measure accounting conservatism by using C-ScoreKW of Khan and Watts(2009) model and C-ScorePZ and Q-ScorePZ of Penman and Zhang(2002) model. Prior to the study of the relationship analysis between firms with ELS and accounting conservatism of the firms, we considered the endogenous problem between the two and self-selection bias problem. To solve the problem we adopted the two stage treatment effect model introduced by Heckman(1979) and Maddala(1983). In the model, we used negative conditional skewness, down-to-up volatility, market value and the stock price return of the previous year as the instrument variables which affect on the choice of ELS firms In the main analysis, we found that three conservatism proxies(C-ScoreKW, C-ScorePZ and Q-ScorePZ) of the firms with ELS are significantly higher than those of the firms without ELS. This result suggests that when ELS is issued, the firms`` managers will be more conservative because they try to cope with the increased possibility of litigation and to prevent possible loss of ELS investors. Another assumption is that the more issued of ELS the firms are, the more conservative in the accounting because with the increase of the issue of ELS, the interest party will enlarge and the firms`` managers get more pressure for the future litigation aroused by any possible accounting scandal and earning management. Prior to the study we adopted two sls regression to solve endogenous problem between the times of ELS issue and the accounting conservatism. And we also used three accounting conservatism; C-ScoreKW of Khan and Watts(2009) model and C-ScorePZ and Q-ScorePZ of Penman and Zhang(2002) model. Our study on the 2nd assumption shows that the firms`` accounting conservatism increased with the times of issuing ELS in the year. We interpret the managers are more cautious on reporting the financial statements when they have the more interest parties which means the more watch dogs are monitoring the financial statements. Jennings and Starks(1986) showed the derivatives securities increase the transparency of market and Watts(2003, 2008) supported the accounting conservatism is one of the instruments to reduce the information asymmetry between the firms and the investors. Our findings suggest that firms reflect the extended range of the interested parties like the ELS issuers and the ELS investors while reporting financial statement, which prevent the possible loss of the ELS investors. And the conservative attitude of the firms`` manager would be beneficial to the ELS investor as well as the stock investors. Our findings also suggest that the firms with the derivatives increase transparency through accounting conservatism because the stock investors and ELS investors can be aware of the firms economic loss early which indicates that equity linked security will work positively for the market transparency in Korea. Our study is the first analysis on the relations between the derivatives and accounting conservatism. And we recommend these kinds of new environments be considered when we study accounting conservatism and other accounting characteristics. And further studies can be investigated on the relations between the derivatives and other accounting variables like earning response coefficients, capital costs or the relations between the derivatives and financial market factors like returns, trading volumes and volatility.

이익조정기업과 조세회피기업의 이익지속성과 이익의 시장반응에 관한 연구

홍영도 ( Youngdo Hong ),김갑순 ( Kansoon Kim ) 한국회계학회 2016 회계저널 Vol.25 No.1

지금까지는 회계이익과 세무이익의 양(+)의 차이가 양(+)의 이익조정으로 인식되어 왔었다. 본 연구는 양(+)의 BTD가 큰 기업을 조세회피기업과 이익조정기업으로 구분하여 이들 기업의 이익지속성의 차이와 시장반응을 분석하였다. 분석결과 이익조정기업의 경우 세전이익의 이익지속성과 발생액의 이익지속성은 다른 기업보다도 낮았으나, 조세회피기업의 경우 세전이익의 이익지속성과 발생액의 이익지속성이 다른 기업들과 큰 차이가 없었다. 즉 양(+)의 BTD가 큰 기업이다 하더라도 조세회피기업은 다른 기업들과 같은 수준의 이익지속성이 유지되고 있는데 이는 조세정책당국이 경제활성화를 위하여 시행하고 있는 조세감면제도를 기업이 적절히 활용하면 일회성이 아닌 지속적인 절세가 가능하기 때문에 조세회피기업의 이익지속성이 유지되는 것으로 추정된다. 또한 이익조정기업과 조세회피기업의 이익에 대한 시장반응을 검증한 결과 이익조정기업의 세전이익과 발생액에 대하여 시장이 과대평가하는 것으로 나타났는데 이는 발생액 과대반응현상에 기인한 것으로 해석된다. 그리고 시장이 조세회피기업의 세전이익도 과대평가하는 것으로 나타났는데 그 이유는 투자자들이 기업의 세무정보를 정확하게 인지하지 못하고 투자를 하고 있는데 기인하거나 또는 투자자들이 기업의 미래를 낙관적으로 예측하는 성장기업의 특성을 조세회피기업이 가지고 있는 것에 기인한 것으로 추정된다. 본 연구는 추가분석을 통하여 성장기업의 이익지속성에 대하여 시장이 과잉반응하고 있고 조세회피기업에 성장기업이 많이 분포되어 있음을 확인하였다. 본 연구는 BTD가 주로 이익조정 측정치 중심으로 연구가 이루어지고 있지만 앞으로의BTD연구에서는 조세회피적 측정치로서의 성격도 고려되어야 하고 투자자들이 재무제표의 정보를 보다 적정하게 활용할 수 있도록 이익조정정보나 세무정보가 재무제표에 보다 충분하고 명료하게 공시 되도록 제도가 개선되어야 함을 시사한다. BTD has been studied in terms of earning management proxy, but tax avoidance could be the reason of high BTD. This study partitioned LPBTD group into three subsample groups; Earning management firms (EM firms), Tax Avoider firms (TV firms) and Base firms. we defined EM firms for the firms with higher abnormal accruals than median firm measured by modified Jones model and TV firms with higher abnormal tax-avoidance than median firm measured by Desai and Dharmapala(2006)``s method. First. using Blaylock et al.(2012)``s method, we investigated the earnings and accruals persistence of EM firms and TV firms. Our study exhibited the persistency of earnings and accruals of EM firms is less than that of other firms within LPBTD samples and whole samples. This result explains that the earnings and accruals of Korean EM firms are not consistent in the following year due to the mean revert property of managed accruals. As for TV firms, the persistency of earnings and accruals is higher than other firms among LPBTD samples and not significantly different from other firms among whole sample firms, which explains the tax avoidance of Korean firms is relatively consistent year over year and tax avoidance does not d eteriorate the persistence of earnings. This results are different from Blaylock et al.(2012)’s result which reported that the earnings and accruals persistence of US tax avoidance firms is lower than other firms. we conjecture Korean government tax policy is focused on boosting economic development and if the firms utilize this Korean tax system and get the tax benefit and they can maintain low effective tax rate year over year. Second, We checked the market response of the earnings and accruals of EM firms and TV firms with three methods; unexpected earning response coefficient model, hedge portfolio return test on accruals and mishikin test on market expectation of next year``s earning persistence. We checked the Earning Response Coefficients of EM firms and TV firms and found market overvalued abnormal earnings of both EM firms and TV firms. And we find significant hedge returns in period t+1 in EM firms through the accruals portfolio test. The results show that if we would sell the stocks of high-accrual EM firms and buy low-accrual EM firm, then one year after we could get significant profits but it is impossible in the case of TV firms. This results are consistent with investors’ accrual anomaly and the insignificant hedge returns in TA firms means market overestimates accruals of EM firms but not TV firms. Applying the Mishikin (1983) methodology, we also investigated the investors`` assessments of the persistence of earnings and accruals of EM firms and TV firms among Korean LPBTD firms. the result shows that investors overestimate the persistence of earnings and accruals of EM firms, which explains high book-tax different firms driven by earning management could be overestimated by investors due to accruals anomaly, in consistency with Sloan(1996) and Hanlon(2005). According to our test, the persistence of TV firms`` earnings is also overestimated by investors but the overestimation is from cash flow side not from accrual side, which implicates that the cause of overestimation of TV firms’ earnings persistence is different from EM firms``. It could not be accruals anomaly because high book-tax different firms driven by tax avoidance have relatively low abnormal accruals. Our further study exhibits that TV firms`` sales growth is relatively higher than those of other firms and investors tend to overestimate the future performance of the growing firms due to the optimistic future prospect of the growing firms which is in consistency with Lakonishok et al.(1994)``s result. Our further study shows that the earnings`` persistence of the firms of top 20% high sales growth is overestimated by the investors. We also think that the overestimation of the persistence of earnings for TV firms can be resulted from investor``s misunderstanding of BTD which is not fully disclosed in the financial statements. With this result, We can interpret the reason of overvaluation of earning consistency for TV firms is different from the reason for EM firms of which overestimation of earning comes from market accrual anomaly. We assume that Korean tax policies are focused on the economic growth and fast growing TV firms get the government tax benefit. And the characteristics of high growth firms might be reflected in the estimation of earning consistency for TV firms by investors. Overall, Our study distinguished TA firms’ earning property from other LPBTD firms’ and the consistence of TA firms’ earning could be attributable to Korean government tax policy which keeps supporting economic development. Our study may contributes three aspects. First, We analysed Korean high positive book-tax different firms by segmenting three sub-samples according to the cause of high BTD first time in korea. Second, We found the earning and accruals consistency of TV firms is not significantly different from the consistency of other firms whereas that of EM firms is significantly lower. Third, the earning persistency for tax-avoidance firms is overestimated by investor’s optimistic expectation of future performance not by accrual anomaly. This study implicates the information of earning management and tax should be reported properly and sufficiently in the financial statements to help investors understand financial performance of the firms.