자발적 공시의 질이 타인자본비용에 미치는 영향 = The Effect of Voluntary Disclosure Quality on the Cost of Debt

다국어 초록 (Multilingual Abstract)

Zhang(2005) refers to disclosure window as a period in which manager`s information ability is the highest. To focus on the effects of disclosures made during the disclosure window, Zhang(2005) use the negative of the change in the combo measure from the beginning to the end of the disclosure window as her measure of disclosure quality. Zhang(2005) develop the combo measure that is the sum of the standardized analyst forecast dispersion and the standardized mean forecast errors squared. Using Zhang(2005)`s disclosure quality measure, this research examines the effect of firm`s voluntary disclosure quality on the cost of debt financing. The measure of firm`s cost of debt in this research is their senior debt ratings assigned by various major bond-rating firms, KIS, Moody`s, etc. The various major bond-rating firms assigns bond(CP) ratings of Korean firms on a scale of twenty(twelve) grades from AAA(A1) to D(D). This research code these ratings for bond such that AAA(the best rating) corresponds with 20 and D(the worst rating) with 1 to facilitate our empirical analyses. Also This study code these ratings for CP such that A1(the best rating) corresponds with 12 and D(the worst rating) with 1 to facilitate our empirical analyses. Another measure of firm`s cost of debt in this study is the ratio of after-tax interest to interest-bearing debt. This study draw an initial sample of firms listed on the Korea Stock Exchange for ten years from 2001 to 2010. This study obtain data on bonds(CPs) by searching through KIS-value database. This study also get data on analysts` EPS forecasting by searching through FN-Guide database. Among these, non-financial firms that sastisfy all of the following criteria are selected:(1) fiscal-year ending December 31, (2) availability of finacial statements from TS 2000 or KIS-Value databases To test hypothesis of the effect of firms` voluntary disclosure quality on the cost of debt financing, This study carry out ordinary least squares(OLS) regressions and an ordered-logit(OL) regression analyses. Using both OLS and OL estimation methods on a large sample of firms from the period of 2001-2010, This research find strong evidence that firms with higher(poorer) disclosure quality have higher(lower) debt ratings and lower(higher) ratios of after-tax interest expense to interest-bearing debt. This finding demonstrates that firms with low debt ratings provide less precise and less accurate information disclosure than firms with high debt ratings. Another finding in this study also shows that firms with high after-tax interest expense provide less precise and less accurate information disclosure than firms with low after-tax interest expense. These findings are consistent with several alternative specifications of the voluntary disclosure quality and cost of debt metrics. These empirical findings offer the new insights into corporate disclosure behavior that higher disclosure quality reduces information risk arising from investors` estimates of the parameters of an asset`s return or payoff distribution, where information risk is captured by voluntary disclosure quality. This study make two main contributions. First, the evidence documented in our study highlights the consistency with theories that show a role of information risk in asset pricing. In other words, This research show that firms with poor voluntary disclosure quality have higher costs of debt capital than do firms with high voluntary disclosure quality. This research also introduce new measure for estimating the voluntary disclosure quality. To date, there is almost no documented empirical evidence on the relation between voluntary disclosure quality and capital market. This research expect that the measure of voluntary disclosure quality introduced in our research give the cornerstone of relevant research. However, this study is not without limitations. First, the empirical proxy introduced in this study for the theoretical construct such as voluntary disclosure quality is relatively new and subject to further examination and validation. In particular, change in the sum of forecast dispersion and forecast errors as proxy for voluntary disclosure quality may contain large amount of information that is not directly related to disclosures and The controls of this reseaech may not be complete. Second, whether the information environment and the change there of measured during the defined disclosure window are representative of firms` general information environment is also subject to further examination. Finally, managerial disclosure decision is a complex process and the empirical models of this research may not capture all of the relevant factors.