학술연구 : 코스닥 및 거래소 상장기업의 설비투자의 주가관련성에 관한 연구

오웅락 ( Oung Rak O ),김이배 ( Yi Bae Kim ),김재준 ( Jae Jun Kim ) 한국중소기업학회 2007 기업가정신과 벤처연구 Vol.10 No.1

실무의견서 검토를 통한 비상장주식의 공정가치 평가에 관한 연구

오웅락 ( Oung Rak O ),김이배 ( Yi Bae Kim ) 한국회계학회 2009 회계저널 Vol.18 No.1

상속세법상 비상장주식 평가방법의 개선방안에 관한 연구

오웅락 ( Oung Rak O ),전규안 ( Kyu An Jeon ),이용규 ( Yongkyu Lee ) 한국회계학회 2004 회계학연구 Vol.29 No.4

본 연구의 목적은 상속세및증여세법(이하 ``상속세법``)상 비상장주식 평가방법의 문제점을 인식하고, 그 대안으로 김권중(2001)의 초과이익평가모형(이하 ``산업평균프리미엄모형``)을 활용한 개선안들의 적용가능성을 검증하는 것이다. 이를 검증하기 위해 본 연구는 1998년부터 2002년까지의 5년을 연구기간으로 이 기간동안 신규 등록된 331개의 코스닥등록기업을 표본으로 사용하여 산업평균프리미엄모형, Ohlson모형 및 상속세법에 의한 추정주가의 예측오차율을 비교·분석하였다. 상속세법 및 다른 평가모형과 산업평균프리미엄모형에 의한 평가방법의 추정오차율을 비교·분석한 결과, 상속세법과 Ohlson모형에 의한 추정주가는 실제 주가보다 현저히 높게 평가되는 것으로 나타났으나 산업평균프리미엄모형의 추정주가는 실제 주가와 유사한 것으로 나타났다. 또한 절대오차율간의 차이분석에서도 산업평균프리미엄모형의 오차율이 가장 작은 것으로 나타나는바, 상속세법상 평가방법의 문제점을 해결할 수 있는 대안으로 산업평균프리미엄모형을 활용할 수 있을 것이다. 또한 산업평균프리미엄모형을 이용하여 적용가능성을 높인 개선방안들은 등록프리미엄을 고려할지라도 상속세법상 평가방법과 다른 모형에 비해서 진실된 기업가치에 가장 근접한 것으로 나타났다. Because problems of the valuation method for unlisted stocks in the inheritance and gift tax law (Tax Method) have been recognized, the possibility of using the Value-to-book premium model (VB premium model) for valuing unlisted stock is examined. For this study, 331 samples for the 5-year period from 1998 to 2002 have been selected and multiple regression and the Wilcoxon signed rank test have been adopted as the research methods. We calculate the mean and absolute prediction error of Valuation models and compare each valuation model. Valuation models are the VB premium model, the Ohlson model and the Tax Method. The VB premium model is based on ABM of Kwon-Jung Kim (2001) and in the VB premium model, the value of a stock is determined as the book value of equity, VB premium and firm-specific VB premium. The empirical results are as follows. The adjusted R2 of VB premium model is higher than adjusted R2 of the Ohlson model and the Tax Method, and the coefficient on book value of equity, VB premium and firm-specific VB premium are significantly positive except for the fiscal year 1998. To prove the VB premium model to be the best method, we analyze the prediction error of each valuation model. The mean prediction error of the Ohlson model and Tax Method is significantly more than zero. On the other hand, the mean prediction error of the VB premium model is not significantly different from zero. Also, the mean absolute prediction error of the VB premium model is less than the mean absolute prediction error of the Ohlson model and the Tax Method. Even if we consider the list premium, the VB premium model is more accurate than the others. The contributions of this research is as follows. First, the VB premium model need not forecast future profits, so it has a higher possibility of application. Second, this research differs from previous research in using pre-listed KOSDAQ firms instead of using a sample of listed stocks. Finally, we analyze the prediction error of the VB premium model by dividing firm size to remove size effect.

외환위기 및 분식회계사건이 벤처 및 비벤처 상장기업의 이익조정에 미치는 영향

오웅락 ( Oung Rak O ),권구일 ( Ku Il Kwon ) 한국중소기업학회 2008 기업가정신과 벤처연구 Vol.11 No.3

포괄손익보고의 타당성 검증에 관한 연구

오웅락(Oung Rak O),김이배(Yi Bae Kim),송혁준(Hyuck Jun Song) 한국경영학회 2005 經營學硏究 Vol.34 No.1

In 1997, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Standards No. 130 (SFAS 130), Reporting Comprehensive Income. For fiscal years beginning after December 15, 1997, SFAS 130 requires the disclosure of both net income and a more ‘comprehensive’measure of income. Comprehensive income includes four items recorded as owners’equity under previous FASB pronouncements: adjustments to unrealized gains and losses on available-for-sale marketable securities (SFAS 115), foreign currency translation adjustments (SFAS 52), minimum required pension liability adjustments (SFAS 87), and changes in the market values of certain futures contracts qualifying as hedges (SFAS 80). The International Accounting Standards Board is presently considering a similar requirement. Under those accounting changes in comprehensive income reporting, the Korean Accounting Standards Board is also presently considering reporting comprehensive income. Statement of Korean accounting Standards 16 will mandate comprehensive income disclosures in financial statement. However, research evidence on its usefulness in Korea is not documented and is worth investigating even before reporting comprehensive income is mandated by Statement of Korean Accounting Standards No 16. It is questionable whether this new accounting regulation of comprehensive reporting is more value-relevant. By examining comprehensive income reporting made before this new accounting rule and comparing the explanatory power of comprehensive income and current net income, we try to evaluate the effects and efficacy of Statement of Korean accounting Standards 16 in enhancing the value-relevance of accounting information. The primary objective of this study is to examine the validity of new comprehensive income reporting based on Statement of Korean Accounting Standards No 16. we also investigate whether other comprehensive income items reported in comprehensive income statement are more value-relevant than other comprehensive income items currently reported as a part of equity section according to the current Korean Accounting Standards. If new accounting regulation for comprehensive income is more suitable, we expect to find that other comprehensive income reporting have more explanatory power on stock prices than the current income.Our empirical results show that other comprehensive income items have significant relations with stock prices, however the explanatory power of comprehensive income separately reported in comprehensive income statement is lower than that of comprehensive income items as a part of equity items but for unrealized holding losses on available -for-sale securities, which suggests that unrealized holding losses are better to be reported in income statement from the viewpoint of conservatism.Overall, we find no evidence that other comprehensive incomes on comprehensive income statement is more strongly associated with market value and has more explanatory power than that on equity section in compared with net income on current income statement. Moreover, the only component of other comprehensive income that improves the association between income and prices through comprehensive income statement is the unrealized holding gains on available-for-sale securities. In general, our results do not support the claim that comprehensive income is a better measure of firm performance than net income.Conclusively, our results implies that the regulation for other comprehensive incomes to be reported in notes of the statement of changes in stockholders’equity in statement of Korean accounting Standards 16 can be regarded to be more valid and suitable during introductory period of comprehensive income reporting. Therefore, further research after actual comprehensive income reporting should be performed for practical implication of other comprehensive income reporting through comprehensive income statement or the statement of changes in stockholders’e

Ohlson 모형의 LID가정의 타당성에 대한 검토

이종천 ( Jong Cheon Lee ),오웅락 ( Oung Rak O ),김이배 ( Yi Bae Kim ) 한국회계학회 2008 會計學硏究 Vol.33 No.2

본 연구의 목적은 배당할인모형에서 도출된 잔여이익모형인 LID 잔여이익모형, EOB잔여이익모형과 Reg 잔여이익모형을 비교하여 LID 잔여이익모형의 LID 가정에 대한 타당성을 실증적으로 검증하고, 기업가치 평가모형으로서 LID 잔여이익모형의 타당성을 평가하고자 한다. 이와 함께 또한 보다 더 적합한 기업가치평가를 위하여 고려되어야 할 방향을 제시하고자 한다. 본 연구의 분석결과는 다음과 같다. 첫째, 배당할인모형에 기초한 잔여이익모형인 LID 잔여이익모형, EOB 잔여이익모형과 Reg 잔여이익모형에 의한 예측오차를 비교한 결과 EOB 잔여이익모형이 실제 주식가치에 가장 근접한 것으로 나타났다. 둘째, 잔여이익 지속계수가 클수록 잔여이익이 기업가치에 미치는 영향이 클 것이라는 LID 잔여이익모형의 논리와 달리잔여이익 지속계수의 크기와 지속계수의 기업가치에 미치는 양향이 무관한 것으로 나타났다. 셋째, LID 잔여이익모형과 달리 EOB 잔여이익모형에서 기업가치 예측오차가 자본비용에 의해 크게 개선되었다. 넷째, 절대오차율을 최소화하는 산업별 자본비용을 반영한 결과, EOB잔여이익모형의 경우 산업에 따라 절대오차율이 크게 낮아졌다. 본 연구는 LID 잔여이익모형의 LID 가정이 EOB 잔여이익모형의 가정과 제약보다 기업가치의 예측에 타당하지 않음과, LID 가정의 논리적 모순을 실증적으로 보여주었다는데 의의가 있다. 이는 LID 잔여이익모형이 보다 타당한 기업가치 평가모형이 되기 위해 LID 가정 수정되어야 함을 의미한다. 또한 자본비용 측정의 개선을 통해서 EOB 잔여이익모형이 LID 잔여이익모형보다 기업가치평가에 유용함을 보여주었다는데 의의가 있다. The objective of this study is to empirically examine the validity of LID assumption in two steps. First, we examine that LID assumption is the most valid one, by comparing the forecast errors among LID residual income model, EOB residual income model and Reg residual income model, which are based on the dividend discount model. Second, we examine the consistency of the real data with the implications of LID assumption. In addition, we want to suggest some directions toward more appropriate firm valuation. The sampling of this study was surveyed on the basis of the US firms of the period from 1997 to 2003, and the financial data were figured out from COMPUSTAT. The data of the stock prices and the earning forecasts were collected from IBES. Our main empirical results are as follows: First, Table 4 and 5 show that the signed percentage error and the absolute percentage error of EOB, whose medians are -0.44 and 0.46 respectively, are the least among the residual models. In other words, EOB residual income model is the most powerful in explaining the actual market value of stocks among the considered valuation models. This implies that LID assumption of LID model is less valid than the assumption of EOB model. Second, in Table 7, the magnitude of persistent coefficient of residual income turned out to be unrelated to the effect of persistent coefficient on firm values contrary to the logics of LID residual income model which assumes the positive linear relation between the magnitude of persistent coefficient and the effect of persistent coefficient on firm values. 5 portfolios out of 10 portfolios showed that the theoretical persistent coefficient is significantly different from the actual persistent coefficient estimated from Reg residual income model. The persistent coefficient of 3,219 samples out of 5,939 samples are out of the theoretical bounds of Ohlson model which are between 0 and 1. These results mean that LID assumption is not proper to the valuation of the firms. Third, Table 10 shows that firm value forecast errors drastically decrease by the cost of capital in case of EOB residual income model in comparison with LID residual income model. Finally, Table 11 shows that the absolute percentage errors become much lower depending on the kind of industry as a result of reflecting industrial cost of capital minimizing absolute percentage errors.

학술연구 : 벤처기업의 비상장주식 평가방법에 관한 연구

송혁준 ( Hyuck Jun Song ),오웅락 ( Oung Rak O ) 한국중소기업학회 2007 기업가정신과 벤처연구 Vol.10 No.3

기업특성에 따른 기업가치평가모형의 적합성 차이에 관한 연구: 코스닥 일반기업과 벤처기업을 중심으로

이종천 ( Jong Cheon Lee ),오웅락 ( Oung Rak O ) 한국회계학회 2004 회계학연구 Vol.29 No.2

본 연구는 회계변수에 의해 기업가치를 평가하는 모형으로 제시된 Ohlson모형과 옵션모형을 기업특성이 상이한 코스닥 일반기업과 벤처기업의 가치평가에 적용함으로써 기업특성에 따라 기업가치평가모형의 적합성이 상이할 수 있는가를 실증적으로 검증하였다. 이에 대한 본 연구의 주요 연구결과는 다음과 같다. 첫째, 일반기업의 경우 Ohlson모형과 옵션모형 간 기업가치평가의 적합성에 차이가 없는 것으로 나타났다. 둘째, 새로운 수익모형으로의 전환가능성이 높은 벤처기업의 특성을 반영하는 부분선형옵션모형이 Ohlson모형보다 벤처기업의 가치평가에 더 적합한 것으로 나타났다. 셋째, 기업특성이 다른 일반기업과 벤처기업의 Ohlson모형 간 계수와 설명력에 많은 차이가 있음을 보여주고 있다. 이는 Ohlson모형에 의해 기업가치를 평가하는 경우 기업특성이 고려되어야 함을 의미하는 것으로 Ohlson모형에 의한 기업가치 관련연구에서 기업특성의 통제가 필요함을 시사하는 것이다. 기업특성에 따라 적합한 기업가치평가모형이 상이함을 실증적으로 보여줌으로써 기업가치평가에서 기업의 특성이 고려되어야 함을 실증적으로 보여준 본 연구의 의의는 기업가치 관련연구에 새로운 방향을 제시하였다는 것이다. 아울러 본 연구는 전통적 가치평가모형보다 실물옵션모형이 벤처기업의 가치평가에 적합하다는 주장의 타당성을 실증적으로 보여주었고, 벤처기업의 가치평가에서 옵션모형은 선형이 아닌 비선형이라는 Burgstahler와 Dichev (1997)의 연구결과를 확인하였다는 면에서도 의의가 있다. This paper empirically examines whether the explanatory power between the Ohlson model and the alternative equity valuation models, can depend on the characteristics of venture and non-venture firms. We expect that the option model can be more powerful in explaining the equity value than the Ohlson model in the case of venture firms which have more adaptation value than non-venture firms derived from the adaptation of existing resources to a superior alternative use. We compare the explanatory power among three valuation models: the Ohlson model, a linear option model and a non-linear option model. Which are respectively applied to 321 venture firms and 590 non-venture firms of KOSDAQ over the period 1999-2001 to confirm our expectation. Our findings are consistent with our expectations. First, we find that both models have no difference in their ability to explain the equity value of firms in the case of non-venture firms that can hardly discover alternative uses of existing resources. Second, we also find that the non-linear option model can explain the equity value better than the Ohlson model in the case of venture firms since the adaptation value has a large effect on equity value. This evidence empirically supports the proposition that the real option model should explain the equity value of venture firms better than the traditional DCF model. But there is no difference between the linear option model and the Ohlson model in the case of non-venture firms. This implies that the option model is not linear. Third, our results show that Ohlson models for venture firms and non-venture firms differ in terms of the coefficients and explanatory power of the models. This evidence suggests that a firm`s characteristics such as whether it is venture or non-venture should be considered when applying the Ohlson model to equity valuation. Fourth, we find that for the firms with negative earnings, price-earning coefficient is not significant and the price-book value coefficient of venture firms is greater than that of non-venture firms. Fifth, we find that the small non-venture firms are more favorably valued than the large non-venture firms.

이연법인세회계의 정보효과에 관한 실증적 연구

이종천 ( Jong Cheon Lee ),오웅락 ( Oung Rak O ) 한국회계학회 2002 회계학연구 Vol.27 No.4

본 연구의 목적은 이연법인세회계의 도입의 타당성 즉, 이연법인세회계가 회계정보의 유용성을 제고하는가를 실증적으로 검증하는 것이다. 단순이익자본화모형과 Ohlson모형을 이용하여 주당순이익, 이연법인세차·대, 주당초과이익 및 주당장부가치와 주가간의 관계를 회귀분석을 통하여 검증하였다. 단순이익자본화모형인 추가정보검증모형의 분석결과는 다음과 같다. 첫째, 이연법인세를 반영한 주당순이익이 미반영한 주당순이익보다 주가에 대한 높은 설명력을 갖는 것으로 나타났다. 이는 이연법인세회계의 도입에 의해 회계정보의 유용성이 제고됨을 보여주는 것으로 이연법인세회계의 도입이 타당함을 실증적으로 보여주었다. 둘째, 이연법인세차는 주가와 밀접한 양의 상관관계를 갖고 이연법인세대는 주가와 음의 상관관계를 갖는 것으로 검증되었는데 이 결과는 투자자가 이연법인세차를 자산으로서 인식하고 이연법인세대는 부채로서 인식한다는 것을 보여주었다. Ohlson모형을 사용한 분석 결과는 이연법인세회계의 도입 타당성을 직접적으로 지지하지 못하였다. 이는 초과이익과 장부가치가 상호 보완하여 기업가치를 측정하는 Ohlson모형의 특성에 기인하는 것으로 보인다. Ohlson모형을 사용한 분석 결과는 이연법인세회계의 도입 타당성을 직접적으로 지지 We examine whether the usefulness of accounting information is enhanced by the adoption of deferred taxes. Two models were employed to examine the issue: an earnings capitalization model regressing security prices on EPS(earnings per share), deferred tax liabilities and assets, and the Ohlson model regressing on book value of equity and residual earnings. We find that EPS including deferred taxes can explain the behavior of security prices better than EPS excluding deferred taxes. This result suggests that the inclusion of deferred taxes can be justified, since EPS including deferred taxes can provide more information to investors in evaluating the value of the firms. We find that the coefficients on deferred tax liabilities and deferred tax assets are positive and negative, respectively, supporting that deferred tax liabilities and deferred tax assets are duly recognized as liabilities and assets by investors. Finally, we cannot find a significant difference in the explanatory power of the two models depending on whether book value of equity and abnormal earnings are adjusted to deferred taxes or not. This result does not imply that the support of deferred taxes should be rejected, since we are unable to rule out the possibility that this result came from the internal characteristics of the Ohlson model.

원가효율성의 가치관련성에 관한 연구

전규안 ( Kyu An Jeon ),김재준 ( Jae Jun Kim ),오웅락 ( Oung Rak O ) 한국회계학회 2004 회계학연구 Vol.29 No.3

본 연구는 관리회계정보인 원가효율성이 재무회계정보가 제공할 수 없는 추가적인 정보를 갖고 있는지를 실증적으로 검증하는 것으로서, DEA모형을 통해 산출된 원가효율성 정보의 가치관련성을 검증하였다. 본 연구의 분석결과는 다음과 같다. 첫째, 원가효율성을 기준으로 효율적인 기업과 비효율적인 기업으로 구분한 후 이러한 기업특성이 주식가격에 영향을 미치는지 검증해 본 결과, 효율적인 기업의 초과이익 및 순자산가치가 비효율적인 기업의 회계정보보다 주식가치에 미치는 영향이 유의하게 큰 것으로 나타났다. 둘째, 원가효율성을 반영한 주가모형이 이를 미반영한 모형보다 주가 설명력이 높은지 분석한 결과 원가효율성을 반영한 모형이 미반영한 경우보다 주가에 대한 높은 설명력을 갖는 것으로 나타났다. 셋째, 기업위험이 동질적인 산업별로 기업을 구분하여 분석한 결과, 초과이익 및 순자산가치의 회귀계수는 산업별로 차이가 있는 것으로 나타났다. 본 연구는 원가효율성이 높은 기업이 낮은 기업에 비해 초과이익 및 순자산가치의 주가배수가 크다는 것을 보여줌으로써, 재무회계정보가 제공할 수 없는 추가적인 정보를 원가효율성이라는 관리회계정보가 제공하고 있음을 입증하였다는데 의의가 있다. This study examines whether cost efficiency information(managerial accounting information) provides more incremental information over financial accounting information and is relevant to firm value. Cost efficiency information is calculated by the DEA(Data Envelopment Analysis) model and we use the Ohlson model(1995) to test our conjecture. In the Ohlson model(1995), firm value is determined using abnormal earnings, book value and other information. We selected 628 Korea Stock Exchange listed firms as a sample and the sample period is three years from 1999 to 2001. We mainly adopt multiple regression as the research method to confirm our expectation. We use two regression models. One regression model is a basic model grounded typically on the Ohlson model(1995) and the other is an extended model reflecting cost efficiency information. Also, we use an industry-effect adjusted extended model. The main findings of this study are as follows; First, we examine whether the firm characteristics based on the degree of cost efficiency(high and low cost efficiency) affect stock prices and find that abnormal earnings and book values of high cost efficiency firms have a higher significant coefficient than those of low cost efficiency firms. This implies that firm value is relevant to cost efficiency information and we must include cost efficiency information in firm valuation model. Second, we find that the explanatory power of the model including the cost efficiency factor significantly increases compared with the model without the cost efficiency factor. Finally, the result of analysis based on the risk-controlling model shows that the coefficients of abnormal earnings and book values differ according to industry and the coefficient of the industry dummy variable of full sample firms is statistically significant. The above results are still effective even if we use other stock price measures, abnormal earnings proxies, net book value and DEA models etc. This study provides new evidence that managerial accounting information such as cost efficiency provides more information that financial accounting information may not provide to the market. The results of this study suggest that we must reflect managerial accounting information as well as abnormal earnings and net book value in the firm valuation.