현금흐름의 지속성 및 가치관련성

다국어 초록 (Multilingual Abstract)

This paper examines whether components of operating cash flows affect differentially persistence on future earnings and whether market participants and credit rating agencies evaluate their implications properly. Prior research has treated the cash component as homogenous. However, Roychowdhury(2006) shows that real earnings management activities affect operating cash flows. We decompose the cash component into two parts: abnormal operating cash flows related to real earnings management and normal operating cash flows, based on the abnormal cash flows measures developed by Roychowdhury(2006). We find that normal cash flows is more persistent than the abnormal cash flows. We investigate whether investors understand the implications of the differential persistence of the two components of operating cash flows. We find that stock prices act as if investors fixate on earnings, failing to correctly distinguish between the different levels of persistence of the abnormal and normal cash flows, indicating that investors misunderstand potential real earnings management. Furthermore, we examine whether credit rating agencies fully incorporate the information in normal cash flows and abnormal cash flows about future performance into their ratings. We find that rating agencies underestimate the abnormal cash flows relative to their actual persistence.

本文以实证方法研究了盈余中现金流成分的持续性及其价值关联性。具体包括三个研究问题：问题一，采用真实活动盈余管理实证模型[Roychodhury（2006）模型]验证现金流成分(正常/异常经营现金流)之间的持续性是否存在差异；问题二，验证韩国证券市场的价格是否充分反应了正常与异常经营现金流之间的持续性差异；问题三，验证韩国公司债信用评价机关的信用等级是否充分反应了正常与异常经营现金流之间的持续性差异。研究结果发现，正常经营现金流的持续性要高于异常经营现金流的持续性，但，韩国证券市场的价格并没有对正常与异常经营现金流之间的持续性差异作出合理的反映。这说明投资者容易对会计利润进行“功能锁定”，即存在所谓的“应计异象”。而且，韩国公司债信用评价机关也低估了异常经营现金流的持续性，从而产生对异常经营现金流的定价过低的现象，但对正常经营现金流并不存在定价过高/过低的现象。