기본변수의 미래이익 예측력과 재무분석가의 이익예측 효율성 = The Predictability of Fundamental Variables on Future Earnings and Analysts’ Forecast Efficiency

국문 초록 (Abstract)

본 연구는 재무분석가들이 미래이익 변화에 대한 기본변수의 정보성을 이익예측치에 효율적으로 반영하는지 분석하였다. 기업가치의 결정과정에서 핵심적인 미래이익의 예측과 관련하여 재무제표상의 기본변수들이 유용한 정보성을 갖는다고 보고되어 왔다. 미래이익의 예측과 관련하여 재무분석가들이 재무제표 정보를 활용하는 것으로 알려져 있지만, 이러한 과정에 여러 편의도 존재하고 있다. 따라서 재무분석가들이 기본변수에 대해 효율적으로 반응하는지 살펴볼 필요가 있다. 이에 본 연구는 Penman and Zhang(2006)이 제안한 기본변수를 이용하여 미래이익 증가성향을 나타내는 종합지표값을 측정하고, 재무분석가 이익예측에 대해 포트폴리오분석 및 회귀분석을 실시하였다.
실증분석 결과, 종합지표값이 커질수록 당기이익 대비 재무분석가의 이익예측치가 증가할 확률이 높게 나타났지만, 기본변수의 미래이익 증감에 대한 정보성을 충분히 반영하지는 못하였다. 구체적으로 재무분석가들은 미래이익이 증가할 가능성이 높은 기업에 대해서는 과소 예측하고, 미래이익이 감소할 가능성이 높은 기업에 대해서는 과대 예측하는 경향을 보였다. 또한 재무분석가의 과소 및 과대예측 편의의 크기를 비교한 분석에서는 미래이익이 증가할 가능성이 높은 기업에 대한 과소예측이 더 크게 나타났다. 이는 기본변수가 함의하는 미래이익의 증가 혹은 감소 성향을 재무분석가가 이익예측치에 반영하는 데 있어 효율적이지 못한 것으로 해석할 수 있다. 본 연구는 기본변수에 대한 시장의 반응을 주식시장의 가치평가에서 재무분석가 이익예측으로 확장하였다는 점에서 학술적 공헌도를 지닌다. 본 연구의 결과는 재무분석가들의 이익예측치가 기본변수의 미래이익 변화 예측력을 반영하고는 있지만, 그 정도가 충분하지 않다는 것을 실증적으로 보여준다. 따라서 재무분석가들은 기본변수의 정보성을 심도 있게 해석하여 그들의 예측치에 적극적으로 반영할 필요가 있다고 제안한다.

다국어 초록 (Multilingual Abstract)

We investigate whether the analysts fully incorporate the informativeness of fundamental variables into their earnings forecast. It has been documented that financial analysts tend to misforecast earnings, while they use financial statements which provide significant information on the change in future earnings. In this regard, we examine whether analysts’ forecasts are efficient to the earnings predictability of fundamental variables. In this study, we employ a summary score (AFS) for 6 variables developed by Penman and Zhang(2006) as a fundamental variable. By using a series of regression analyses and portfolio tests, we find that analysts are more likely to predict future earnings increase for firms with higher AFS. However, analysts’ forecasts do not fully reflect the information implied by fundamental variables for future earnings increase. Specifically, analysts’ forecasts are more optimistic (pessimistic) for firms with low (high) AFS, leading to a tendency of mean-centralized earnings forecasts. Moreover, the extent of analysts’ forecast bias is greater for firms with high AFS in which analysts’ forecasts tend to be understated. These evidences indicate that analysts underreact to the predictability of fundamental variables. Finally, we suggest that analysts should weigh more on the implication of a fundamental variable and take it into consideration when they assess the future earnings of target firms.

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