회계발생액 이상현상과 그 원인 - 성장성 가설을 중심으로 - = A Study on the reason of the accrual anomaly based growth theory

국문 초록 (Abstract)

Sloan(1996)은 자본시장 이상현상과 또 다른 발생액에 기저를 둔 이상현상을 발견하고, 이러한 이상현상의 원인이 자본시장 투자자가 발생액에 포함된 정보의 해석과정에서 발생액에 대한 이해부족과 이로 인한 회계정보에 대한 오류적 해석에 의해 발생된다고 주장하였다. 그러나 발생액 이상현상과 관련된 일부 연구는 Sloan(1996)의 오도가격 가설과 상이한 내용을 주장하고 있다. 대표적인 연구는 자본시장 효율성에 기초한 성장가설로 발생액 이상현상을 발생액에 포함된 기업의 성장가능성에 대한 자본시장의 합리적 반응으로 해석하고 있다. 따라서 본 연구는 발생액 이상현상과 기업성장성의 관련성을 실증적으로 분석하고자 한다. 특히, 본 연구는 주식수익률 변동에 대한 자연스러운 설명가능성으로 발생액에 포함된 성장성 정보의 역할에 대해 주목한다. 본 연구는 이러한 성장가설의 검증하기 위해 2000년부터 2008년까지 한국자본시장을 대상의 상장법인을 표본으로 하여 실증 분석하였다. 회귀분석 결과는 본 연구가설을 지지하는 실증증거를 제시하였는데, 이는 자본시장이 회계발생액에 포함된 이익지속성에 대한 오도로 인해 반응하는 것이 아니라 발생액에 포함된 성장성 정보에 반응하고 있음을 의미한다.

다국어 초록 (Multilingual Abstract)

To our knowledge, Sloan (1996) is the first author to document the accrual anomaly. He argues that investors do not correctly appreciate the information embedded in accruals, since they fixate on current earnings. Several recent papers also propose alternative explanations for the accrual anomaly that are different from Sloan’s (1996) earnings fixation hypothesis. The another explanation is a growth factor hypothesis based on the market efficiency, which predicts that the accrual anomaly arises from the compensation for a potential growth factor that is not included in the existing asset pricing models. This paper draws a natural link between growth effects and the accrual anomaly. In this paper, I investigate whether accrual anomalies and growth capture different forms of the same underlying pattern in stock returns. I assess the role of growth in explaining cross sectional variation in stock returns associated with the interactions of accrual indicators. Empirical results of this paper confirm the presence of the accrual anomaly in Korea over the period from 2000 to 2008. The regression tests provide evidence that is consistent with growth hypothesis. Results of tests strongly suggest that the accruals-based anomalies are distinct from the asset-growth-based anomalies. Overall, our results suggest that investors should view accruals-based anomaly and asset growth-based anomaly as two different types of strategies.

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