회계정보의 가치관련성에 대한 결정요인|RISS 상세보기

다국어 초록 (Multilingual Abstract)

This paper examines whether investors interpret value-related accounting information differently when assessing stock prices. The value relevance of accounting information has been considered an important area of accounting research since the introduction of capital market based accounting research by Ball and Brown (1968). Value relevance studies examine the usefulness of accounting information by considering the contemporaneous relationship between accounting information and the stock price. More specifically, these studies examine the usefulness of main items of financial statements by examining the size of R2 and the importance of regression coefficients from the information perspective (Barth et al. 1998; Collins et al. 1999; Francis and Schipper 1999). However, these studies typically assume market efficiency, firm characteristics and surrounding factors are assumed as independent when evaluating stock prices because these factors reflect idiosyncratic risks. Recently, inconsistent with the efficient market hypothesis (EMH), there have been frequent reports of market anomalies, and thus, there has been a need for examining the value relevance from the measurement perspective. If a market is not efficient, then there exist information asymmetry and different levels of rationality among investors, which in turn can lead to different results for the same piece of information(Black 1986; Merton 1987). For these reasons, this study analyzed relative usefulness of the accounting information through the relationship of between the value relevance of accounting information and various determinants(firm characteristics, ownership structure by the investor types and disclosure quality) from the measurement perspective without assumption of the efficient market. we calculated the quantitative measures(ACCRSQ) to evaluate the strength of the contemporaneous relationship between accounting information and stock prices by following the methodology of Frankel et al(2006). then We analyzed whether the value relevance of accounting information(ACCRSQ) would vary according to various determinants(firm characteristics, ownership structure by the investor types, disclosure quality). Additionally, total sample is divided into three types of industries-Low tech manufacturing, High tech manufacturing, Service industry- according to the influence of intangible asset, and differences between them on degree and determinants of value relevance are analysed. We analyzed the determinants to affect at the extent to which stock prices was reflected accounting information for 2,861 firm-year sample listed on Korean stock for the 2005-2009 period. In addition, for comparing the effects of the financial crisis on the value relevance of accounting information, we divided these firms into 1,643 pre-crisis (2005-2007) firms and 1,167 post-crisis (2008-2009) firms. we ran the fixed effects regression by including year dummies and the separate regression to control for heteroskedasticity by year. Specially, the separate regression model was interpret the results with the average coefficient for each year and Statistical Significance was verified by using Newey-West`s(1987) Adjusted statistics (Fama and Macbeth 1973; Barth et al. 2001; Frankel et al. 2006). The results of the study are summarized as follows. Firstly, on the analysis of the degree that firm characteristic factors affect the value relevance, when profitability, risk, firm size, and market synchronicity increase, the degree of that accounting information is reflected in stock price increase. On the other hand, the liquidity and growth possibility is higher, the value relevance of accounting information is lower. These show that investors decide differently the degree of accounting information reflected in stock price according to the firm characteristics because they interpret the relative importance between accounting information and non-accounting information differently by firm characteristics. Secondly, in the analysis of the relationship between the ownership structure by investor types and ACCRSQ, the ownership of institutional and foreign investors does not show the meaningful relationship with ACCRSQ, on the other hand, the ownership of small investors shows the negative relationship with ACCRSQ. This means that the trading of small investors increase, the value relevance of accounting information decease, because they could not use accounting information in an analytical manner. Thirdly, on the result of that the quality of disclosure and information asymmetry have an effect on value relevance, ACCRSQ shows a positive relationship with the absolute value of discretionary accruals. This can be interpreted that investors tend to increase the weight of that accounting information of the firm with less adverse selection costs is reflected in stock price. Finally, this study also analyse whether the value relevance of accounting information is different by industry type. In service industry, in which the value of intangible assets is not sufficiently reflected in accounting information, the value relevance of accounting information is lower than that of other industries, and determinants of the value relevance fluctuate considerably by the market condition of bull and bear markets. On the other hand, for the Low-tech manufacturing industry with less value of intangible asset, the value relevance of accounting information is the most high. In addition, the fluctuation of determinants of the value relevance is lowest in High-tech manufacturing industry. These show that the weight of intangible asset, not recognized in financial statement, is higher, the value relevance of accounting firm could be lower.

번역하기

참고문헌 (Reference)

1 박진우, "주식분할 후 변동성 증가와 거래행태의 변화" 한국증권학회 39 (39): 545-571, 2010

2 정석우, "재무분석가의 분석기업 결정과 예측특성에 영향을 미치는 요인" 한국회계학회 28 (28): 61-84, 2003

3 김지홍, "재무분석가수의 결정요인: IBES를 이용한 분석" 한국회계학회 28 (28): 31-54, 2003

4 최관, "경제위기가 회계정보의 가치관련성에 미친 영향" 한국회계학회 19 (19): 83-110, 2010

5 Kang. J. K, "Why is there a Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan" 46 : 3-28, 1997

6 Kwon. S. Y, "Usefulness of Accounting Information in Financial Marke" Shinyoungsa 2010

7 Brown. S, "Use of in Accounting Research: Measuring Changes in Value Relevance over the Last Four Decades" 28 : 83-115, 1999

8 Kim. O, "Trading volume and price reaction to public announcement" 29 : 302-321, 1991

9 Xie.H, "The mispricing of abnormal accruals" 76 : 357-373, 2001

10 Beaver.W, "The information content of annual earnings announcements" 6 : 67-92, 1968