이익의 불투명성과 금융위기 기간 중의 주식수익률 = Earnings Opacity and Stock Returns Over the Korean Financial Crisis Period

다국어 초록 (Multilingual Abstract)

Despite the considerable emphasis on the improvement of corporate accounting transparency in the media as well as in academia after the 1997 Korean financial crisis, there has been little evidence demonstrating the positive role of transparent accounting information in the Korean financial market. This study examines the relation between levels of corporate earnings opacity and stock returns over the Korean financial crisis period with 616 companies listed on the Korean Stock Exchange during the crisis. The test period that I focus on is the Korean financial crisis of 1997. In general, firms that provide opaque accounting information produce information risk. For these firms, investors demand a higher return in compensation for risk. During the financial crisis, however, since overall expected stock returns dropped, it is less likely that investors would be compensated with a higher return for their investment in the companies with opaque accounting information. Then, investors would probably have made withdrawal decisions from those investments, or they would not have made new investments in those companies. Consequently, if information risk induced by opaque accounting information was linked to investors` decisions to pull out, companies with more severe opacity levels should have suffered more during the financial crisis, ceteris paribus. Besides, the 1997 Korean financial crisis exposed a number of inherent problems of Korean firms in corporate governance and accounting transparency that were not watched seriously during the prior economic growth period, and hence investors could react more sensitively to corporate opacity levels of accounting information over the crisis period. As such, opacity levels of accounting information are expected to affect stock returns more prominently during a financial crisis than in a normal economic period. Following Bhattacharya et al.(2003), I estimate levels of corporate earnings opacity as the average of the rankings measuring earnings aggressiveness, loss avoidance, and earnings smoothing, using data from the 5-year period preceding the 1997 Korean financial crisis. Panel B(Pearson Correlations between Elements of Earnings Opacity) of Table 2 reports that the three component elements capture similar attributes in firm-level earnings opacity. The result of the univariate analysis as provided in Table 3 (Pearson Correlations Between Variables) reveals that levels of corporate earnings opacity are negatively associated with crisis-period stock returns. Finally, the result of the multivariate regression analysis as presented in the final column of Table 5 (Regression of Crisis-period Holding Returns on Earnings Opacity and Control Variables) shows that the coefficient on earnings opacity(EO) is also negative and significant, indicating that companies with more severe levels of earnings opacity suffered more during the financial crisis after controlling for confounding factors documented in prior studies. This finding is robust enough to employ an alternative data period in estimating corporate-level earnings opacity, alternative measures of earnings opacity, and alternative numbers of industry indicator variables.

참고문헌 (Reference)

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