K-IFRS 도입에 따른 자산재평가의 공시효과와 정보적 가치에 대한 결정요인

김경순(제1저자) ( Kyung Soon Kim ),이진훤(교신저자) ( Jin Hwon Lee ),조장연(공동저자) ( Jang Youn Cho ) 한국회계학회 2015 회계학연구 Vol.40 No.3

본 연구는 K-IFRS 도입에 따른 자산재평가의 정보적 가치를 분석하기 위해 자산재평가 공시일 전, 후의 초과수익률반응을 조사하고, 재평가 공시효과에 영향을 미치는 결정요인을 분석하였다. 특히 본 연구는 다음과 같은 측면에 초점을 두었다. 첫째, 재평가 공시종류(실시공시, 결과공시)와 재평가대상자산(토지와 감가상각자산)에 따라 투자자들이 자산재평가의 정보적 가치를 차별적으로 인식하는지를 분석한다. 둘째, 재평가차익(재평가금액-장부금액)과 비기대재평가차익(재평가금액-공시지가)의 크기에 따라 투자자들이 자산재평가의 정보적 가치를 상이하게 인식하는지를 분석한다. 셋째, 경영자의 이익조정행태에 따라 자산재평가의 공시효과가 차별적인지를 분석한다. 실증분석을 위해 본 연구에서는 2009년 4월 1일부터 2011년 12월 31일까지 재평가 공시가 존재하는 기업을 대상으로 재평가 공시일 전, 후 규모조정 초과수익률을 측정한 후 누적초과수익률에 대한 결정요인을 회귀분석으로 분석하였다. 분석 결과를 요약하면 다음과 같다. 첫째, 재평가에 대한 공시효과는 주로 재평가 실시공시에서 발생하였다. 특히 토지만 재평가한 기업은 재평가 실시공시 시점에 양의 누적초과수익률을 보였지만 감가상각 자산을 포함하여 재평가한 기업은 유의한 주가반응을 보이지 않았다. 둘째, 재평가차익에 대한 주가반응은 유의하지 않았고, 비기대재평가차익(재평가금액-공시지가)은 결과공시 시점의 누적초과수익률과 음의 관계를 나타냈다. 셋째, 이익조정행태가 큰 기업이 자산재평가를 실시할 경우 재평가 공시시점의 누적초과수익률이 감소하였다.전체적으로 K-IFRS에 따른 재평가에 대한 공시효과는 토지에 대한 재평가에서 유효하게 발생하였다. 또한 투자자들이 경영자의 재평가동기와 공정가치평가의 정보적 가치를 재평가차익의 속성과 이익의 질에 따라 차별적으로 해석하고 있음을 발견하였다. 본 연구는 최근 K-IFRS의 시행에 따른 공정가치평가의 유용성을 자산재평가의 공시효과를 이용해 평가하였다는 점과 재평가의 정보적 가치에 영향을 미치는 결정요인을 시장반응을 이용하여 검증하였다는 점에서 의의가 있다. This study analyzes the informativeness of the asset revaluation announcement in accordance with K-IFRS. Korean regulations regarding asset revaluations are categorized into those dealing with ``plan`` announcements and ``result`` announcements. Therefore, the informativeness of asset revaluations are analyzed by using the changes in stock prices, with such uniquely Korean characteristics as plan and asset announcements in mind. In addition, various determinants which could impact the announcement effect of asset revaluations are analyzed. The specific research focus of this study is as follows; first, to determine whether investors discriminately recognize the informativeness of asset revaluations by their type. Second, to determine whether investors differently recognize the informativeness of asset revaluations by the characteristics innate to revaluation margins. Third, to determine whether the announcement effect of asset revaluations differs by earnings management. For an empirical analysis, this study use 233 samples from 2009~2011 whose revaluation announcements still exist and analyzed their size-adjusted abnormal returns from 11 days before & after the announcement date. Also, for 210 of those samples, a regression analysis is performed on the determinants of the changes in the stock prices around the revaluation announcement dates. The analytic results of this study can be summarized as follows; first, the changes in the stock prices 11 days before & after the revaluation plan announcement date show a statistically significant positive value, whereas the changes in the stock prices 11 days before & after the revaluation result announcement show none. Also, the announcement effect of the revaluation plan take place only for those companies which revaluated their lands, whereas the revaluation announcementscontaining depreciable assets do not show any significant changes in stock prices. These results suggest that investors discriminately recognize the informativeness of managers`` signals and fair valuations by revaluation assets`` types. Second, those firms with significant abnormal asset revaluation gain or loss (revaluation value - market value) showed less changes in the stock prices than those without. They suggest that investors recognize the asset revaluations as opportunistic behaviors if the revaluations take place when they are significantly larger than their market values. Third, the changes in stock prices according to asset revaluations are smaller when the level of earnings management is larger. This suggests that investors negatively recognize the asset revaluations of those companies with large earnings managements. Overall, the announcement effect of the asset revaluations in accordance with K-IFRS is statistically significant in land revaluations. Also, it was discovered that investors discriminately interpret the managers`` motives for revaluation plan and the informativeness of fair valuations according to the characteristics innate to revaluation margins and earnings quality. This study is significant in that it verifies the informativeness of asset revaluations in accordance with the latest K-IFRS.

< 연구논문 > : 이익의 질이 회계정보를 이용한 가치평가에 미치는 차별적 효과: 이익특성변수들 간의 비교

김경순 ( Kyung Soon Kim ),이진훤(교신저자) ( Jin Hwon Lee ) 한국회계학회 2016 회계저널 Vol.25 No.2

본 연구는 회계이익의 품질이 개별기업의 고유정보위험을 대리할 수 있다는 선행연구에 기초하여, 다양한 이익특성변수들이 회계정보를 이용한 가치평가의 유용성(가치관련성)에 미치는 효과를 분석한다. 특히 한국주식시장에서 다양한 이익특성변수들 중 어떤 이익특성변수가 회계정보를 이용한 가치평가와 민감한 관계를 갖는지를 분석함으로써 투자자들이 정보위험으로 인한 가치평가 오류 가능성을 축소시킬 수 있는 효과적인 도구를 찾는데 초점을 맞추었다. 이를 위해 2003년부터 2012년까지 유가증권시장과 코스닥시장에 상장된 11,243개의 기업-연도 표본을 대상으로 Ohlson(1995)의 단순모형을 이용하여 가치관련성의 강도를 측정한다. 그 다음에 발생액의 질, 이익지속성, 예측가능성, 이익유연화, 재무투명성, 적시성, 보수성, 재량적 발생액의 절대값 등 여덟 가지 이익특성변수들을 계산하여 가치관련성에 미치는 효과를 조사한다. 본 연구의 결과를 요약하면 다음과 같다. 첫째, 긍정적인 이익특성을 갖는 기업에서 회계정보의 가치관련성은 증가하였다. 이는 투자자들이 정보위험을 감소시키기 위해 이익의 질이 높은 기업일수록 회계정보를 주식가치 평가에 더 많이 반영하고 있음을 의미하고 있다. 둘째, 여덟 가지 이익특성변수 중 발생액의 질이 가치관련성과 가장 민감한 관계를 나타냈다. 이는 Francis et al.(2004)의 연구와 유사한 결과로써 한국주식시장에서도 발생액의 질이 개별기업의 정보위험(대리인 위험)을 포착할 수 있는 유용한 대리변수일 가능성을 시사하고 있다. 셋째, 기업의 사업구조와 영업환경에 의해 발생한 선천적 위험요인(innate risk factor)을 통제하고 분석한 결과, 여전히 발생액의 질과 이익유연화가 가치관련성에 긍정적인 효과를 발생시켰다. 이는 Ohlson 모형을 이용한 가치평가의 유용성은 이익특성에 내재된 재량적 요인(discretionary factor)에 의해 영향을 받을 수 있음을 제시하는 결과이며 동시에 이익특성에 내재된 경영자의 재량적 요인이 정보위험을 측정하는 중요한 요소가 될 수 있음을 시사하고 있다. We examine the association between various attributes of accounting earnings and value relevance. Based on the result of prior research that earnings quality can predict firm-specific information risk, we test if it is also observed in Korean stock market. Specifically, we analyze that which variable is sensitively related in value relevance among various earnings attributes. Our research contributes to find effective tool for minimizing valuation error caused by information risk. In detail, this research focus on as in below. First, we determine the relation of value relevance with measurement perspective and firm-specific information risk caused by information asymmetry between manager and external investors. In particular, we compare which earnings attributes effect more to value relevance reflecting information risk in a similar way of Francis et al.(2004) which analyzed the relation between earnings attributes and cost of equity capital. We estimated value relevance and earnings attributes using the similar way used in Frankel et al.(2006) and Francis et al.(2004) each. Earnings attributes are usually categorized as (1) accounting-based and (2) market-based. We refer to accrual quality, persistence, predictability, smoothness and discretionary accrual as accounting-based. These attributes measured time-series and cross-sectional analysis using accounting information only. We refer to financial transparency, timeliness and conservatism as market-based. These attributes take stock return or prices as the reference construct; consequently, measures of these attributes are based on the estimated relation between accounting earnings and stock prices or returns. In fact, the purpose of this research is that which earnings attributes effectively reflect information risk that exists between manager and external investors comparing the earnings attributes`s sensitivity to value relevance. Secondly, we investigate whether discretionary factor can be used in estimating the manager`s agency risk by analysing the discretionary factor`s effect to value relevance. The earnings attributes we considered are jointly determined by innate factors, such as firms business models and operating environments, and by management`s discretionary reporting. However, information risk is observed by discretionary factor of earnings attributes since it is usually occurred by manager`s opportunistic motive. Therefore, we analyze the incremental effect of discretionary factor from earnings attributes determining the relation of earnings attributes and value relevance after controlling the innate factor in operating activity. Drawing on 11,243 firms listed on KOSPI and KOSDAQ of KRX from 2003 to 2012, we examine the relationship between value relevance and earnings attributes. The results are as in below. First, accrual quality and earnings smoothness are positively associated with value relevance. Thus, the earnings attributes from accounting information can effect on investors`s pricing. Secondly, as a result, accrual quality has the most significant association with value relevance among the eight variables. It refers that accrual quality can be the useful proxy which shows firm`s information risk in Korean stock market. Thirdly, the relation between accrual quality and earnings smoothness also shows positive relationship in the test even after controlling the innate factors occurred by firm`s business models and operating environments. Furthermore, we analyze the effect on value relevance after categorizing accrual quality as factors occurred by manager`s discretion and innate factors in operating activity and we found that as discretionary accruals quality gets lower, valuation error used accounting information gets decreased. This result provides implication as follows. There are possibilities that information asymmetry could exist between manager and external investors. Moreover, manager provides biased accounting information using discretionary factor to get his private benefit. Thus, in case of using the model in pricing, there is a risk of investor`s adverse selection by information risk from accounting information. This research analyzes the effect of various earnings attributes to the pricing using accounting information and we believe that it will minimize the adverse selection risk in case of pricing with Ohlson model. Secondly, Francis et al.(2004) measured the estimator of ex ante cost of equity using analyst`s forecast data and studied the association between earnings quality and cost of equity. However, in Korean stock market, the analysts tend not to analyze many firms and provide long-term target price, and it may cause optimistic bias. Thus, it may be hard to analyze the earnings attributes effect with measurement of the ex ante cost of equity in Korean stock market as in Francis et al.(2004). Therefore, we do not investigate the direct relationship between earnings attributes and cost of equity as in the prior studies. Instead of that, we test it indirectly through the relationship between earnings attributes and value relevance. Through this way, our study measures the value relevance and earnings attributes, and we analyze the relation of all the listed firms. Even we test it indirectly, we believe that the result is meaningful regard to verifying that earnings quality can be a useful proxy of information risk. Thirdly, we also believe that this research provides earnings attributes that effect on pricing and which do not effect by comparing various earnings attributes to value relevance after controlling innate factors which occur in operating activity. We conclude that discretionary accruals quality has more pronounced value relevance than other attributes and this result is similar to Francis et al.(2004, 2005). That means discretionary accruals quality is helpful as the most proper proxy of information risk in Korean stock market. Thus, we believe that discretionary accruals quality is useful as an efficient proxy of information risk regarding to the relevant information risk study in Korean stock market.