재량발생액과 통제변수; CFO와 ROA의 영향을 중심으로

이장건 ( Jang-gun Lee ) 한국회계학회 2016 회계저널 Vol.25 No.4

재량발생액은 회계분야에서 기업의 이익조정 현상을 분석하는 측정치로 자주 사용된다. 또한 회계투명성 또는 신뢰성, 감사품질의 측정치로 사용되기도 한다. 그런데, 국내 재량발생액 연구에서 통제변수는 일관된 결과를 보이지 못하는 경우가 발생하고, 연구자 또한 통제변수는 관심변수가 아니므로 구체적 언급을 하지 않는 경우도 있다. 본 연구는 국내 재량발생액 연구에서 자주 사용되는 통제변수에 초점을 맞추어 분석하였다. 먼저, 문헌검토를 통해 국내 재량발생액 연구에서 통제변수가 어떠한 결과를 보였는지를 분석하였다. 58편의 선행연구에 대한 문헌검토 결과, 손실여부, 전기발생액, 기업규모, 부채비율, 대주주지분율, 외국인지분율, 성장기회, 대형감사법인여부가 통제변수로 주로 사용되고 있었다. 재량발생액에 음(-)의 영향을 미칠 것으로 예상되는 통제변수(손실여부, 전기발생액, 외국인지분율, 대형감사법인여부) 중 손실여부는 50%, 전기발생액은 30.5%, 외국인지분율은 8.2%, 대형감사법인여부는 14%가 유의한 음(-)의 계수 값을 보였다. 재량발생액에 양(+)의 영향을 미칠 것으로 예상되는 통제변수(부채비율, 성장기회) 중 부채비율은 17.7%, 성장기회는 43.1%가 유의한 양(+)의 계수 값을 보였다. 문헌검토 결과, 통제변수는 선행연구의 예상과 다른 결과를 보이는 경우가 많았는데, 본 연구는 [이익 . 영업활동으로인한현금흐름 = 발생액]의 관계에 의거, 새로운 시각에서 통제변수를 해석해 보았다. 즉, 통제변수가 발생액과 함수관계를 갖는 이익 및 영업활동으로인한현금흐름을 대리하는 변수로서 역할을 할 것으로 예상하고, 이를 분석하였다. 1995년부터 2013년까지 비금융업에 속하는 12월 결산 유가증권시장 6,061 기업-년 표본과 코스닥시장 5,437 기업-년표본을 분석한 결과, 본 연구의 주장대로 통제변수가 이익 또는 영업활동으로인한현금흐름을 대리하여 체계적인 부호의 변화를 보이며 재량발생액에 영향을 미치는 것으로 나타났다. 이는 통제변수가 이익 또는 영업활동으로인한현금흐름을 대리하는 변수에 불과함을 의미하고, 문헌검토 결과에서 통제변수가 선행연구의 예상과 다른 결과를 보인 원인일 수 있다. 또한, 이익조정 유인에 근거해서 사용하는 선행연구의 통제변수가 이익조정 유인을 포착하고 있는가에 대한 의문을 제기할 수 있음을 의미한다. Discretionary accruals are often used as a measure to analyze the phenomenon of earnings management in the accounting field. Also sometimes they are used as a measure of accounting transparency and audit quality. Like this, discretion accruals play an important role in the accounting studies. Nevertheless, it is difficult to find a literature research on discretionary accruals in Korea. Therefore, the first purpose of this study is to review the literature on discretionary accrual researches in Korea. Especially, this study focuses on the control variables that are frequently used in the discretion accrual studies. This study reviewed 58 domestic previous researches that designed the regression model of the discretionary accruals as dependent variable. According to the literature review, the debt ratio and firm size was the most commonly used as control variables. Previous studies mainly used loss dummy variable if net income is negative, previous accruals, firm size, debt ratio, the ration of the largest shareholder ownership, the ratio of the foreign ownership, growth opportunities and big4 dummy variable if audit firm is big4 as the control variables. According to the general theory, loss dummy variable, previous accruals, the ratio of the foreign ownership, big4 dummy variable are expected to affect discretionary accruals negatively. But, 50% of the loss dummy variable, 30.5% of the previous accruals, 8.2% of the ratio of the foreign ownership and 14% of the big4 dummy variable affected discretionary accruals negatively in the review of the literature researches of this study. Also, according to the general theory, debt ratio and growth opportunities are expected to affect discretionary accruals positively. But, 17.7% of the debt ratio and 43.1% of the growth opportunities affected discretionary accruals positively in the review of the literature researches of this study. In other words, the general theory has shown a significant difference with the empirical results. Therefore, the second purpose of this study was to find the reason of the difference between the general theory and the empirical results. This study tries to find the reason of the difference in the relationship of [earnings . cash flows from operations = total accruals]. Because discretionary accruals estimating model like modified Jones model(Dechow et al. 1995) have low R2, much portions of the total accruals remain the discretionary accruals. So, earnings and cash flows from operations can effect discretionary accruals like total accruals. Eventually, we can infer that control variables like loss dummy variables, previous accruals, firm size, debt ratio, the ration of the largest shareholder ownership, the ratio of the foreign ownership, growth opportunities and big4 dummy variable would surrogate earnings and cash flows from operations to affect discretionary accruals. For empirical tests, this study investigates if the regression model of discretionary accruals as dependent variables excludes cash flows from operations or earnings as independent variables, cash flows from operations or earnings are proxied by other control variables like loss dummy variables, previous accruals, firm size, debt ratio, the ration of the largest shareholder ownership, the ratio of the foreign ownership, growth opportunities and big4 dummy variable. Discretionary accruals were estimated using the cross-sectional modified Jones model(Dechow et al. 1995), ROA model(Kothari et al. 2005) and CFO model(Rees et al. 1996). The sample consisted of 6,061 firm-year samples in KOSPI and 5,437 firm-year samples in KOSDAQ from 1995 to 2013. This study can be summarized as follows: First, when the regression model of discretionary accruals as dependent variables excludes cash flows from operations as independent variables, cash flows from operations are proxied by control variables. Second, when regression model of discretionary accruals as dependent variables excludes earnings as independent variables, earnings are proxied by control variables. Like the suggestion of this study, control variables have shown systematic changes in regression coefficient sign to surrogate cash flows from operations or earnings. This means that it is doubtful that control variables that used on the basis of earnings management incentives are to control the earnings management incentives. The results of this study might provide the starting point of the discussion of whether it is reasonable to use the cash flows from operations or earnings as independent variables in the regression model of the discretionary accruals, whether it is reasonable to use the cash flows from operations or earnings as independent variables to estimate the discretionary accruals. In addition, the survey of the Graham et al.(2005) that CEO manages earnings by using discretionary expense like research and development expense and advertising expense can be the evidence that academic researches of the earnings management(i.e. discretionary accruals) differ from practices.

The effect of accounting accruals on the market reaction to a stock split: A comparison between pure and opportunistic stock splits

( Kyung Soon Kim ),( Jin Hwon Lee ),( Seun Young Park ) 한국회계학회 2015 會計學硏究 Vol.40 No.4

Using stock splits from 2000 through 2012 in the Korean stock market, this paper examines whether managers use accounting accruals to signal private information and the discretionary component of accruals is a useful proxy for the firm``s information risk. Louis and Robinson(2005) find that managers report significantly positive discretionary accruals prior to stock split and that the market positively prices the pre-split abnormal accruals at the split announcement data, suggesting that the market construes the pre-split abnormal accrual as a signal of managerial optimism. Based on their study, we investigate whether discretionary accruals can be used as tools to reveal private information in the Korean stock market by analyzing the association between the market reaction of stock split and the pre-split discretionary accruals. In addition, Kim et al.(2012) suggest that splitters with subsequent corporate events may have more opportunistic motives to maximize the effects of other corporate events. Consistent with their study, we also analyse whether the accruals quality is an effective proxy for information risk of firms that split stocks as a manipulation tool. Based on our analysis, we find no evidence that discretionary accruals are correlated with the market returns of all the firms that split stocks with and without subsequent corporate events. This result implies that the Korean stock market may perceive the abnormal accruals more as a manager``s opportunistic behavior rather than as a means of signaling favorable private information conveyed by manager. On the other hand, only among the firms that split stocks with subsequent corporate events, the positive market reaction to a stock split announcement is decreased for firms that have higher volatility of the abnormal accruals (i.e., low accruals quality) before the split. Specifically, we estimate the innate and discretionary components of accruals quality as suggested in Francis et al.(2005) and examine the effect of the opportunistic stock split (namely, splitters followed by other corporate events) on the abnormal returns depending on the innate and discretionary accruals quality separately. The result shows that it is the discretionary accruals quality that is related to information risk. Interestingly, such association between market reaction of opportunistic stock split and pre-split discretionary accruals quality is mainly observed in optimistic market environment. This paper is meaningful in a sense that we shed light on the association between discretionary accruals(or discretionary accruals quality) and the market response by using stock split in emerging markets such as that in Korea.

이익 조정 여부에 따른 발생액 이상 현상의 차이

김지홍 ( Jee Hong Kim ),고재민 ( Jai Min Goh ),김상일 ( Sang Il Kim ) 한국회계학회 2008 회계학연구 Vol.33 No.3

기존의 연구들은 발생액이 현금흐름에 비해 이익 지속성이 떨어짐에도 투자자들은 이러한 차이를 구분하지 못한다는 사실을 보여 주고 있다. 이처럼 자본시장이 발생액의 이익지속성에 대해서 과대평가하는 사실을 발생액 이상 현상이라 부르고 있다. 선행연구에서는 이와 같은 발생액 이상 현상의 가장 주된 원인으로 경영자의 이익 조정 행위를 꼽고 있다. 본 연구는 Mishkin test를 활용하여 발생액 이상 현상이 기회주의적 이익 조정에 기인하는지 검증하는 것을 목적으로 한다. 이익을 조정한 기업과 조정하지 않은 기업을 구분하여 이익 조정 기업에서 발생액 이상 현상이 더 크게 나타난다면, 자본시장이 기업의 이익 조정 행위를 가치 평가에 제대로 반영하지 못하여 발생액 이상 현상이 나타난다는 사실을 실증하는 것이다. 반대로 이익을 조정한 기업에서 발생액 이상 현상이 작게 나타난다면, 시장은 기업의 이익 조정을 효율적으로 인지하고 있으며 기능적 고착화가 발생액 이상 현상의 원인이 아님을 보여주는 것이다. 실증 분석 결과는 다음과 같다. 첫째, 전체 기업 집단에서 발생액 이상 현상은 선행연구와 일관되게 나타나고 있다. 둘째, 이익을 조정한 기업은 이익을 조정하지 않은 기업에 비해 이익 지속성이 낮게 나타났으며, 그 차이는 발생액이나 재량적발생액 항목에서 유의하다. 셋째, 발생액 이상 현상은 이익을 조정하지 않은 기업에서만 발견할 수 있고, 오히려 이익을 조정한 기업에서는 발생액 이상 현상을 관찰할 수 없었다. 본 연구는 발생액 이상 현상의 원인으로 지목되는 경영자의 기회주의적 이익 조정 여부를 명시적으로 구분하여 분석하였고, 그 결과 선행연구의 주장과는 달리 발생액 이상 현상이 이익조정의 산물이 아닐 수 있음을 보여 주었다. 따라서 발생액 이상 현상의 주된 원인으로 인정받고 있는 이익 조정에 대한 시장 비효율성의 주장에 보다 신중한 접근이 필요하다는 시사점을 제공한다. Researchers have opposite perspectives for discretionary accrual. Some support its positive aspect in that it can deliver managers` private information for future performance, having a signalling effect. On the contrary, others doubt it since it reflect managers` opportunistic earnings management. It has been the most popular metric measuring earnings management in a lot of earnings management study. Thus, discretionary accrual is still controversial among researchers. Specifically, some have a positive eye on discretionary accrual due to its additional explanation on earnings persistence, while others a negative eye because of its relatively lower explanation power than cash flow or non-discretionary accrual. In addition, some justify information content of discretionary accrual in that it explains stock returns significantly, while others belittle since the capital market overvalues it due to unawareness of earnings management. These differential perspectives are caused by earnings management. Chan et al. (2006) argued that discretionary accrual can be a leading indicator of future business if only manager does not manage earnings. Therefore, the objective of this study is to examine whether there is a difference between earnings managed firms and non-earnings managed firms after classifying earnings managed firms. Earnings management has not been clearly considered in prior studies, because they treated all firms into one portfolio. But in order to synthesize different opinions that seem to be contradictory, we attempt to divide all firms into two groups, earnings managed firms and non-earnings managed firms. After that, we investigate whether earnings persistence and market reaction are different in each group. If difference is found, we can show that discretionary accrual carries managers` private information in non-earnings managed firms, while it indicates managers` opportunistic activity in earnings managed firms. These synthetic study is carried out in two aspect, earnings persistence and market reaction. First, discretionary accrual with earnings managed firms would be able to explain future earnings relatively less, while it can account for future earnings better in non-earnings managed firms. Second, we try to investigate how the capital market evaluates each earnings persistence in two groups. Prior empirical studies have shown that market participants do not catch that the accrual is less accountable for earnings persistence than cash flow. Accruals anomaly is such a phenomenon that the stock market overvalues accrual related to earnings persistence. Studies examining accruals anomaly attributed it to market inefficiency for earnings management and functional fixation is widely regarded as a hidden driver of market mispricing. Similarly, if market cannot recognize earnings management, accruals anomaly in earnings managed firms would be bigger than in non-earnings managed firms. But if market is efficient enough, it can identify earnings managed firms and there are no accruals anomaly or it would be much smaller in earnings managed firms. This can enable us to test market inefficiency for earnings management which has been ascribed to accruals anomaly. Empirical results indicate three findings. First, accruals anomaly for total accrual and discretionary accrual is consistent with prior studies. Market overvalues earnings persistence of total accrual, non-discretionary accrual, and discretionary accrual. But Korean stock market differs from US in that undervaluing for cash flow is not significant. Second, non-earnings managed firms show more strong earnings persistence. And this is significant for both total accrual and discretionary accrual. Third, accruals anomaly exists only for non-earnings managed firms. That is, non-earnings managed firms drive market mispricing and the market has an insight into earnings management. We can synthesize opposite perspectives of prior studies through these results. First, the higher earnings persistence in non-earnings managed firms implies that its discretionary accrual has managers` private information. However, the lower earnings persistence in earnings managed firms indicates that managers abuse it to exaggerate their performance. Second, discretionary accrual in earnings managed firms cannot account for stock returns, while that in non-earnings managed firms is associated significantly. This means that market can recognize the meaning of discretionary accrual whether it is the result of earnings management. Third, a lot of researchers have conjectured that market imperfection or functional fixation is responsible for accruals anomaly. But these results are inconsistent with prior studies in that the accruals anomaly is not caused by earnings management. Therefore, we suggest that researchers should be more careful in asserting that market inefficiency for earnings management is the main cause for accruals anomaly.

회계이익 구성요소의 추가적 정보가치가 주식수익률에 미치는 영향

신현대,Shin, Hyun-Dai 한국정보기술전략혁신학회 2004 情報學硏究 Vol.7 No.3

This study examines the relation between accruals components of earnings and stock return. Earnings are decomposed into four components: discretionary accruals, nondiscretionary accruals, nondiscretionary income and cash flow from operations. Because reported earnings in financial statement consist of cash flow from operations plus total accruals. We decompose total accruals into a discretionary accruals and a nondiscretionary accruals separately. This paper examines the incremental informational content of discretionary accruals and nondiscretionary accruals components of net income by regressing return on earnings' components in multivariate models. The empirical analysis is conducted on a sample of 1,580 firm-years comprising 158 firms during 1991-2003. discretionary accruals are obtained by decomposing total accruals into discretionary and nondiscretionary accruals conponents, using a pooled variation of the Jones model(1991). These findings suggest that the discretionary accruals(measured using a variation the Jones model) is priced by the stock market. Specifically, the discretionary accruals and cash flow from operations are positively associated with the stock return, and also nondiscretionary income, discretionary accruals are positively associated with the stock return. While this result is consistent with the market prices the discretionary accruals because it captures value-relevant information. Additional test report evidence consistent with nondiscretionary accruals conveying information about the stock return.

도산위험과 재량적 발생액이 미래 현금흐름 및 주가수익률의 관련성에 미치는 영향

심상규 한국회계정보학회 2014 회계정보연구 Vol.32 No.4

Managerial discretion could enhance earnings' informativeness by allowing communication of private information. On the other hands, managers manage income opportunistically and creating distortions in reported earnings. Therefore, the quality of discretionary accruals depends on the enticements of management's discretionary accounting choice. Prior study documents that discretionary accruals, on average, incremental information content on future cash flows and stock returns. Nevertheless, the firms with higher bankruptcy risk may have the strong incentives to choice opportunistic accounting because they face on financial distress such as the rise of cost by debt contract violation and the falling of stock price. A consequence of this is that discretionary accruals of the firms with higher bankruptcy risk may not map into realized future cash flows and weaken the information content on stock returns. This study investigates whether the bankruptcy risk weaken the association of discretionary accruals to one-year ahead cash flows and stock returns. The sample consists of 5,812 firm-year observations based on firms listed in the Korea Stock Exchange from 2000 to 2010. The estimation of discretionary accruals follows the approach used in studies by Peasnell, Pope and Young(2005). They use a cross-sectional version of modified Jones model and focus on working capital accruals rather than total accruals. The bankruptcy risk measure is calculated by the model which has reestimated the bankruptcy probability model estimated by prior study. The results of this study can be summarized as follows: First, I finds a significant negative association between interactive variable of bankruptcy risk with discretionary accruals and one-year ahead operating cash flows. As a robustness test, this study also examines the effect of bankruptcy risk on the association between discretionary accruals and one-year ahead operating cash flows by dividing the total sample into firms with high and low bankruptcy risk. The coefficient of discretionary accruals for the ninth risk decile are bigger and that for the lowest risk decile are smaller than for overall sample. This result means that the explanatory power of discretionary accruals for future cash flow is a declining function of bankruptcy risk. Second, this study finds a insignificant negative association between interactive variable of bankruptcy risk with discretionary accruals and stock return. In additional analysis of bankruptcy risk level, The coefficient of discretionary accruals for the second risk decile is significant positive and that for the other risk decile is insignificant positive. This shows that investors do not efficiently incorporate bankruptcy risk in the pricing of discretionary accruals. 본 논문은 한국거래소 상장기업을 대상으로 기업의 도산위험이 재량적 발생액과 미래 현금흐름 또는 주가수익률의 관련성에 영향을 미치는지를 검증하였다. 이를 위하여, 재량적 발생액은 수정 Jones모형을 이용하되 총 발생액 대신 운전자본 발생액을 사용하여 추정하고, 기업의 도산위험은 전성빈과 김영일(2001)이 제시한 도산예측모형에 대해 연구기간 자료를 사용하여 재추정한 모형으로 측정하였다. 표본기업은 2000년부터 2010년까지 일정요건을 충족하는 5,812개(기업/연)를 대상으로 하였다. 본 연구는 도산위험이 높은 기업의 경우 부실징후와 감리지적 등 불리한 정보를 숨기기 위해 인위적인 이익조정의 가능성이 높아 그들이 계상한 재량적 발생액은 정보가치가 감소하게 된다. 따라서 기업의 도산위험이 높을수록 재량적 발생액과 미래 현금흐름 또는 주가수익률의 관련성은 감소할 것으로 예상하였다. 실증분석 결과는 다음과 같다. 첫째, 미래 현금흐름에 대해 재량적 발생액은 양(+)의 관계를 보였지만 도산위험과 재량적 발생액의 상호작용변수는 음(-)의 관계를 나타냈다. 이는 재량적 발생액이 미래 현금흐름과 밀접한 관계를 갖지만 도산위험이 높은 기업의 경우 경영자의 기회주의적 회계선택으로 인해 재량적 발생액은 미래 현금흐름과의 관련성이 감소함을 의미한다. 둘째, 주가수익률에 대해 재량적 발생액은 양(+)의 관계를 나타냈으나 도산위험과 재량적 발생액의 상호작용변수는 유의한 관련성이 발견되지 않았다. 이 결과는 투자자들이 재량적 발생액을 의사결정에서 긍정적인 정보로 평가하지만 그 과정에서 도산위험을 합리적으로 반영하지 않고 있음을 의미하는 것이다. 즉, 우리나라 주식시장 투자자들은 기업의 도산위험이 재량적 발생액의 정보유용성을 감소시키는 요인임에도 불구하고 그것을 효과적으로 반영하지 않는다는 사실을 발견하였다.

재량적 회계처리방법 선택과 CEO 현금보상

박재영,이동녕 한국회계정보학회 2009 회계정보연구 Vol.27 No.1

For firms which registered in Korea Exchange, this study:(1) examines the effect of discretionary accruals on CEO compensation, where discretionary accruals are substitutes for the total effect of accounting choices on income;(2) investigates if accounting choices have an effect on compensation by testing the relation among compensation, accounting income before discretionary accruals and discretionary accruals;and (3) also investigates if the level of discretionary accruals is related with the incentives presented by compensation plans. The results show that positive discretionary accruals increase CEO compensation by the use of management's opportunism, while negative discretionary accruals decrease cash compensation. Also, the results show the effect of positive discretionary accruals on compensation varies with the three circumstances of the firm. This study has shown:(1) significantly increased explanatory power from decomposing income into its three components;(2) the coefficient on non-discretionary accruals is greater than the coefficient on discretionary accruals, but less than that on cash flow from operations;(3) the coefficient on positive discretionary accruals is greater than the coefficient on negative discretionary accruals;and (4) the coefficient on both positive and negative discretionary accruals varies with the circumstances of the firm. Additionally, this study shows that the relationship between compensation and reported income generally increases with the level of discretionary accruals. 본 연구는 증권선물거래소에 상장되어 있는 거래소 기업을 대상으로 하여 첫째, 이익에 대한 회계선택의 누적적 효과에 대용치로 재량적 발생액을 사용하여 경영자보상에 대한 재량적 회계선택의 누적적 효과를 검증하고자 하였고, 둘째, 재량적 발생 전의 이익, 재량적 발생, 그리고 경영자보상간의 관련성을 조사하여 재량적 회계선택이 경영자보상에 영향을 미치는지를 분석하고자 하였으며, 셋째, 재량적 발생액의 수준이 보상계획에 의해 제공되는 인센티브와 관련되어 있는지를 조사하고자 하였다. 분석결과, 경영자가 양(+)의 재량적 발생액을 기회주의적으로 이용하여 경영자 자신의 보상을 증가시킬 수 있다는 것을 검증하였고, 반면에 음(-)의 재량적 발생액은 보상과 낮은 효과를 가지는 것으로 나타났다. 또한, 세 가지 기업 상황에 따라 재량적 발생액과 최고경영자 현금보상에 대한 양(+)의 재량적 발생효과는 재량적 발생액이 최고경영자 현금보상의 증가와 관련이 있었다. 본 연구는 (1) 이익을 세 가지 요소로 분해함으로써 설명력을 크게 증가시키고, (2) 비재량적 발생액의 회귀계수는 재량적 발생액의 회귀계수보다는 크지만, 영업활동으로 인한 현금흐름의 회귀계수보다는 작으며, (3) 양(+)의 재량적 발생액에 대한 회귀계수는 음(-)의 재량적 발생액에 대한 회귀계수보다 크며, (4) 양(+)과 음(-)의 재량적 발생액에 대한 회귀계수는 기업의 상황에 따라 다양하다는 것을 나타내고 있다. 부수적으로, 최고경영자 현금보상과 보고된 회계이익의 관계는 재량적 발생액 수준에 따라 증가된다는 것을 검증하였다.

저품질의 회계이익이 비교가능할 수 있는가? 재량적발생액과 비교가능성의 관계 분석

최승욱 한국공인회계사회 2018 회계·세무와 감사 연구 Vol.60 No.2

선행연구는 높은 품질의 회계정보를 낮은 재량적발생액으로 대용한다. 비교가능한 이익이 고품질의 회계정보라면, 이러한 이익은 낮은 재량적발생액과 양의 관련이 있어야 할 것이다. 본 연구는 이러한 암묵적인 추론이 실증적으로 나타나는지에 대한 질문에서 시작한다. 면밀히 살펴보면, 둘 사이의 관계가 실제로 어떻게 나타날지 명확하지 않다. 만약 동일한 경제적 사건에 대해 유사한 크기의 재량적발생액을 인식하는 두 기업이라면 그 정의상 비교가능성이 높아질 것이다. 재량적발생액의 크기가 유사하다는 것은 두 기업이 특정 경제적 사건을 모두 높거나 낮은 수준의 재량적발생액으로 보고하였을 경우에 해당된다. 예를 들어, 두 기업 모두 매우 높은 수준의 재량적발생액을 보고하였다면, 비교가능성은 높아지지만 발생액의 품질은 낮아질 것이다. 즉, 비교가능성과 발생액의 품질이 서로 반대 방향으로 연관된다. 이러한 이유에서 비교가능성을 기존 회계품질과 동질적으로 인지하는데 어려움이 있다. 본 연구의 목적은 비교가능성과 회계품질의 대용치로서의 재량적발생액과의 관계를 실증조사 하는데 있다. 본 연구의 실증결과는 다음과 같다. 우선, 두 기업 간 재량적발생액 차이의 절대값이 작을수록 비교가능성이 높았다. 이는 서로 유사한 수준의 재량적발생액을 보고하는 기업 사이의 재무제표 비교가능성이 높음을 의미한다. 다음으로 이러한 재량적발생액의 차이를 세분하였다. 즉, (i) 두 기업 모두 0에 가까운 재량적발생액을 보고하여 높은 회계품질을 보고한 기업과, (ii) 두 기업이 모두 상향이익조정한 경우, (iii) 모두 하향이익조정한 경우를 구분하였다. 두 기업 간 재량적발생액의 차이가 큰 통제그룹과 비교하였을 때, 고품질 기업-쌍 (i)은 비교가능성이 유의하게 높았으며, 상향이익조정 기업-쌍 (ii)는 통제그룹과 비교가능성의 차이가 없었다. 반면, 하향이익조정 기업-쌍 (iii)은 통제그룹 및 (i), (ii)와 비교해 비교가능성이 유의하게 낮았다. 비교가능성 수준의 통계적 비교 결과, 고품질의 회계이익을 보고한 (i)의 기업-쌍이 가장 높은 비교가능성을 보였으며, (ii)와 (iii)의 순서를 보였다. 보다 흥미로운 발견은, 총발생액을 이용하여 측정한 경우 (i)의 고품질 기업-쌍 및 (ii)의 상향이익조정 기업-쌍도 비교가능성이 높았고, (iii)의 하향이익조정 기업-쌍만 비교가능성이 낮았다. 또한 총발생이나 재량적발생액 대신 성과대응재량적발생액을 이용한 경우 (i)의 고품질 기업-쌍은 여전히 비교가능성이 높았으나, (ii)와 (iii)의 저품질 기업-쌍은 모두 비교가능성이 낮았다. 이는 결국 재무제표 비교가능성은 발생액의 수준 자체보다는 이에 포함된 재량적발생액의 비중과 밀접한 관련이 있다는 것으로 해석된다. 또한 보다 정교한 측정치로 회계품질을 대용하면, 저품질의 회계이익은 상향 및 하향에 무관하게 비교가능하지 않음을 시사한다. 또한 경영자의 재량적 선택이 반영되지 않은 불가피한 발생액은 재량적발생액에 비해 상대적으로 재무제표 비교가능성을 제고하는 효과가 있는 것으로도 해석된다. 본 연구의 공헌점은 다음과 같다. 첫째, 비교가능성과 기타 회계품질 대용치간 관계를 비교한 연구는 거의 없으며 본 연구는 (재량적)발생액과 비교가능성의 관계를 제시하고 있다. 둘째, 추가분석으로 국제회계기준 도입 효과를 검증하였으며 본 연구의 결과는 도입 전과 ... If financial statements comparability is high a quality accounting information, it should be closely related to the other earnings quality proxies. For instance, since lower discretionary accruals are considered as a high quality earnings, comparable earnings are assumed to be positively associated with lower discretionary accruals. However, if both firm report higher level of discretionary accruals, the differences between those firms’ discretionary accruals are small thus their reported earnings are comparable. This implies that even though the two firms report higher discretionary accruals, their earnings could be comparable. Therefore, it is meaningful to investigate this contradictory prediction in empirical setting. This study hypothesizes and tests these arguments. The results show that the absolute value of discretionary accruals differences between the two firms are negatively related with comparability. Next, I divide the sample into (i) high quality earnings group, (ii) income increasing, and (iii) income decreasing group by discretionary accruals with differences between i-j firm pairs. Compared with a control group with a large difference in discretionary accruals between the two firms, the high-quality firm-pair (i.e., high quality earnings group) is highly comparable, however, the income increasing firm-pair are not differ from the control group. Furthermore, the income decreasing firm-pair shows significantly lower comparability than the control group. Comparing the levels of comparability, the firm-pairs of (i) which report high quality accounting earnings show the highest comparability, and (ii), (iii) followed next. In additional tests, the results are qualitatively similar when I use performance-matched discretionary accruals. Also, I find consistent result in both pre- and post-IFRS period. The results are consistent in the use of lead-lag regression. In summary, these empirical evidences suggest that if the proportion of discretionary accruals are relatively higher among total accruals, the likelihood of comparability is likely to decrease. In other words, the comparability of firms who upward their earnings by discretionary accruals is low. Thus, comparability may be high even in some cases, which is considered as a low quality accounting information in previous studies. This implies that the proportion of discretionary accruals included in the accruals other than the level of accruals itself is more closely related to the financial statements comparability. This paper contributes to the existing literature in several ways. First, even though there are various set of proxies of accounting quality, few studies investigate financial statement comparability with these accounting quality proxies. By extending these research stream, this study suggests the systematic relationship between accruals and comparability. Second, this study shows that the comparability of accounting information can be changed according to the manager 's choice of accounting alternatives. Finally, the evidence of this paper helps decision makers of firms, investors, auditors, and regulators to identify the characteristics of comparable accounting information.

이익의 질과 현금흐름이 회사채 신용등급 결정에 미치는 영향력 분석

박영규 ( Young Kyu Park ) 한국금융학회 2008 금융연구 Vol.22 No.3

본 연구에서는 재량적 발생 액과 회사채신용등급과의 관계를 재검토하였다. 기존논문의 문제점을 보완하기 위해서 당기 순이익 대신에 영업현금흐름을 포함하여 재량적발생액과 회사채신용등급과의 관계를 분석하였다. 실증분석을 통해서 다음의 결과를 발견하였다. 먼저, 재량적발생 액과 신용등급간의 유의한 관계를 발견할 수 없었고, 반면에 현금흐름은 신용등급과 유의한 양(+)의 관계를 발견했다. 또한 재량적발생액과 영업현금흐름이 함께 포함된 모형에서는 현금흐름과 재량적발생액 모두 신용등급과 양(+)의 관계가 나타났다. 이는 신용등급을 평가함에 있어서 재량적발생액만을 고려하지 않고 당기순이익의 일부로써 고려하고 있음을 보여준다. 추가적으로 기존의 모형을 적용하여 신용등급변화와 재량적발생액의 관계를 검증하였으나 유의한 관계는 발견하지 못하였다. Previous studies in Korea have showed the mixed results of the relation between corporate bonds` grade and discretionary accruals. Kim, Wee, and Jeon(2006) find that the discretionary accruals of the better grade group are significantly lower relative to those of the worse grade group and the discretionary accruals have significantly negative relation to corporate bonds grade. This empirical results suggest that discretionary accruals are negative relation with corporate bonds` grade. Choe and Na(2006) find that the discretionary accruals of firms with upward changes of bond grades or with no changes of bond grades are higher than those with downward changes of bond grades. The result of Choe and Na (2006) is contradictory to that of Kim, Wee, and Jeon (2006). The discretionary accruals are not included in the list of rating factors by Korea Investors Service (KIS), which is one of rating agency in Korea. This paper questions whether the impact of discretionary accruals on rating corporate bond grade exists or not. The aim of this study is to find whether credit rating agency consider discretionary accruals as the factor of rating the corporate bonds` credit grade. To get clear empirical results, this study strengthens the research methodologies and corrects the mistake of previous research. First, some variables (DTAC, CFO, and LEV) are used as industry-adjusted values to control industry effect. The second, I decompose net income(NI) into cash-flow from operation(CFO) and discretionary accruals(DTAC) and correct Kim, Wee, and Jeon(2006)`s credit rating model which includes both NI and DTAC. The decomposition of NI is important because both inclusion of NI and DTAC causes the misunderstanding of the coefficient of DTAC. NI=CFO+DTAC+NDTAC Y=b0+b1*NI+b2*DTAC+e Y=b0+b1*(CFO+DTAC+NDTAC)+b2*DTAC+e=b0+b1*CFO+(b1+b2)*DTAC+b1*NDTAC+e According to above equations, the coefficient of DTAC is not b2 but (b1+b2). Therefore CFO is included in the regression models instead of NI because CFO has no discretionary accruals. The major findings of this study are as follows. First, there is no relation between corporate bonds` credit grade and the level of discretionary accruals. It is inconsistent with previous results that showed the significant relation between them. Second, bond rating agency does not consider the discretionary accruals as the factor to evaluate bonds` grade but only net income including it. Third, the level of discretionary accruals does not predict the movement of corporate bonds` credit grade. This empirical results show that bonds credit rating agency does not use the discretionary accruals on rating the corporate bonds` credit grade.

재량적 발생액과 부채조달비용 간의 관계에 대한 실증적 증거

박종일 ( Jong Il Park ),윤소라 ( So Ra Yoon ) 한국회계학회 2014 회계학연구 Vol.39 No.3

본 논문의 목적은 재량적 발생액과 부채조달비용 간에 어떤 관계가 있는지를 규명하는데 있다. 선행연구들은 경영자가 기회주의적 이익조정 수단의 하나로 재량적 발생액( DA) 수준을 증가시키면 채권투자자들은 대출이자율을 증가시킬 것으로 예상하였다. 그러나 이러한 주장은 채권투자자들이 기업의 DA수준에 대하여 효과적인 탐지가 가능할 것이라는 전제가 있어야 한다. 따라서 채권투자자 관점의 논의이다. 하지만 이와 상반되게 경영자 관점에서는 DA와 부채조달비용 간에 유의한 음(-)의 관계가 나타나야만 경영자는 부채조달비용을 낮추기 위한 동기로 DA를 이용할 경제적 유인이 발생될 수 있다. 본 연구는 부채차입이자율 스프레드로 측정된 부채조달비용( YS)과 DA자체 변수 간에는 어떤 관계가 있는지를 살펴보는데 있어 이전 연구범위를 확장시켜 검증해 보았다. 본 연구에서는 두 변수 간의 관계에 대한 일반화 가능성을 제고하기 위하여 회사채를 발행한 기업뿐만 아니라 회사채를 발행하지 않은 기업에 대해서도 비교분석을 수행했다. 분석기간은 2001년부터 2011년까지이며, 표본은 금융업을 제외한 12월 결산법인으로 최종 10,479개 기업/연 자료가 분석에 이용되었다. 실증분석 결과에 따르면 첫째, 부A자체와 YS간에 1% 수준에서 유의한 음(-)의 관계가 있는 것으로 나타났다. 이 관계는 회사채를 발행한 기업들보다는 주로 회사채를 발행하지 않은 기업들에서 기인된 결과인 것으로 나타났다. 둘째, 선행연구와 달리 부채차입이자율 스프레드를 이용하여 분석하면 회사채를 발행한 기업의 경우 DA와 부채조달비용 간에는 대체로 유의한 관계가 나타나지 않았다. 셋째, Prevost et al.(2008)의 방법에 따라 DA와 비투자등급의 상호작용변수와 YS간의 관계를 살펴본 결과, 채권투자자들이 DA를 직접 탐지하지 못할 뿐 아니라, 비투자등급의 정보위험이 DA를 대리하는 매개변수의 역할을 한다는 Prevost et al.(2008)의 주장은 관찰되지 않았다. 따라서 본 연구결과는 상장기업의 경영자들이 부채차입시에 부채조달비용을 낮추기 위한 동기로 DA를 이용하려는 경제적 유인이 존재한다는 것을 실증적 증거로서 보여주었다는데 의의가 있다. 이와 더불어 본 연구의 발견은 관련연구에 추가적인 공헌을 할 것으로 기대된다. The purpose of this study is to examine the relationship between discretionary accruals and cost of debt financing. Earnings management studies are common in accounting literature. Theory and evidence indicate that managers` concerns over current performance motivate them to engage in boosting reported earnings. Analysis of earnings management often focuses on management`s use of discretionary accruals. Managers can exercise discretion over accrual choices that are allowed under GAAP in order to reach a desired level of earnings. This is, firms` management manages earnings because they have some incentives to do so. However, earnings management hides a true performance of a firm from debtholders and other external parties. Earnings management also distorts quality of reported earnings, and quality of accounting information impacts debtholders` estimates of future cash flows fromwhich debt repayments will be served. As a result, opportunistic earnings management activities increase information asymmetries between managers and outside investors with respect to a firm`s true underlying performance, which in turn increase information risk faced by outside investors. Especially, debtholders have contractually fixed claims such as periodic interest payments. They tend to focus on future cash flows to ensure a firm`s ability to pay interest and principal. In addition, unless debtholders can "see through" and undo earnings management, their resource allocation decisions are potentially affected in a negative way. In that regard, examining the effect of opportunistic earnings management in the debt market is important. Prior studies expected that debtholders increase interest rates on firm`s debts when managers increase discretionary accruals ( DA) for the purpose of opportunistic earnings management. This expectation is coming from debtholders` point of view, because it is based on the assumption that rational debtholders can effectively see through a firm`s level of discretionary accruals. Then, prior papers assert that rational debtholders are able to see through managers` attempts to opportunistically influence earnings perceptions and penalize firms for doing so by demanding a higher rate of return. However, from manager`s point of view, we should observe the negative relationship between discretionary accruals and cost of debt, so we will be able to explain the managers` economic motivation to decrease cost of debt using discretionary accruals. Prior researches provide inconsistent empirical evidence on this relationship. Prevost et al. (2008) cannot find a significant relationship between discretionary accruals and cost of debt measured by bond`s yield spreads, while Park et al. (2011) and Lee and Ko (2012) find a significantly positive association between these two variables. However, these prior studies have several limitations. For example, Park et al. (2011) focus on bond issuing firms only and Lee and Ko (2012) measure discretionary accruals taking absolute value of them. Therefore, this study is meaningful because it extends prior researches and examines the association between cost of debt ( YS) measured by borrowing`s yield spread and the level of discretionary accruals ( DA). This paper analyzes all samples including not only bond issuing firms but also bond unissuing firms, and KOSPI and KOSDAQ listed firms in order to generalize the test results. Sample periods are from 2001 to 2011, and totally 10,479 firm-year samples are used in this research. This paper finds the following results. First, there is a statistically significantly negative association between cost of debt and discretionary accruals at 1% level, even after controlling firms` credit ratings and other variables that can affect firm`s cost of debt. This result is consistent in full samples including KOSPI and KOSDAQ firms, and in each type of stock markets separately. Also, we find the same results no matter whether we use discretionary accruals in Dechow et al. (1995) or performance-adjusted discretionary accruals in Kothari et al. (2005). Meanwhile, this significantly negative association between two variables is coming from bond unissuing firms rather than bond issuing firms. Second, unlike the prior studies, we cannot find a statistically significant relation between cost of debt and discretionary accruals in bond issuing samples when we measure cost of debt using borrowing`s yield spread. This is an inconsistent result with Park et al. (2011). Third, following Prevost et al. (2008), we examine the association between cost of debt financing and interaction term of discretionary accruals and non-investment grade rating (i.e., high default risk firms), but we cannot find that the yield penalty for earnings management is significantly greater for non-investment grade rating, and moreover, debtholders cannot see through the information risk of increasing level of discretionary accruals and managers` attempts of opportunistic earnings management. As a result, we find inconsistent empirical test results with Park et al. (2011) and Lee and Ko (2012). Overall, these findings suggest that debtholders do not see through accrualsbased earnings management. In other words, this evidence suggests that debtholders do not perceive earningsmanagement as opportunistic behavior. Accounting information plays an important role in the capital allocation process. Accordingly, understanding the debt market consequences of earnings management is a relevant and an important issue. In summary, this research implements various analyses to generalize the test result. We includes bond issuing firms and bond unissuing firms, and KOSPI and KOSDAQ firms. We use bare value of discretionary accruals, not just degree of DA, and performance-adjusted DA. We also use a different measurement of cost of debt financing, which is borrowing`s yield spread. With these various approaches, we find that discretionary accruals are statistically significantly negatively associated with cost of debt financing. Therefore, it can support the fact that managers do have economic motivation of opportunistic attempt of earnings management using discretionary accruals in order to reduce cost of debt. This implies that debtholders cannot effectively detect increasing information risk of firms due to the earnings management and they do make a capital allocation decision functionally fixed to reported earnings, although managers increase reported earnings using discretionary accruals in order to reduce cost of debt. Therefore, this study provides several meaningful contributions because it can be an evidence of inefficient allocation of resources in the debt market due to managers` opportunistic attempts of earnings management. This research also contributes to provide useful information regarding earnings management to scholars, practitioners, accounting standard setters, and regulators alike. In addition, researchers who are interested in this area can also apply the discussion in this paper for future studies.

감사인 지정과 재량적발생액의 변화: 기업과 감사인의 역할

강선민 ( Sun Min Kang ),황인태 ( In Tae Hwang ) 한국회계학회 2007 會計學硏究 Vol.32 No.4

회계투명성 제고를 위한 기업지배구조가 정착되기 위해서는 기업과 감사인, 감독기관의 균형적 역할 수행이 전제되어야 한다. 본 연구는 감사인 지정의 경우 감사인의 선임형태가 달라지는 점에 착안하여 지정前·中·後기간의 재량적발생액 차이를 측정하여 회계투명성개선을 위하여 기업이 노력하여 이룬 효과와 감사인 효과가 각각 어느 정도인지를 검증하였다. 이를 위하여 1998년부터 2004년까지 감사인이 지정된 308개의 기업을 대상으로 총 1528개의 기업·연도표본에 대한 기간을 前, 中, 後로 세분하고, 이를 수정-Jones 모형으로 추정된 재량적발생액을 이용하여 기간별 paired t-검증과 회귀분석을 실시하였다. 분석결과 첫째, 선행연구와 유사하게 지정前기간과 비교하여 지정中기간의 재량적발생액은 감소하였다. 그러나 발생액은 감사인 지정2년전부터 감소하고 있었으며, 이는 발생액 감소액 모두를 감사인의 독립성 제고로 인한 것으로 결론내리기 어렵게 한다. 즉 기업은 감사인이 지정되기 전에 관련 규정에 따라 다음연도에 감사인이 지정될 것을 예상할 수 있다. 따라서 감사인 지정 전부터 기업 스스로 회계투명성제고를 위한 노력을 기울일 것이기 때문에 지정 前과 지정中기간사이의 재량적 발생액 감소는 기업과 감사인의 복합적인 효과로 볼 수 있다. 둘째, 이러한 복합적인 효과를 기업효과와 감사인효과로 구분하기 위하여 감사인의 수임형태가 자유수임으로 동일한 지정前기간과 지정後기간의 발생액의 차이를 기업효과로, 감사인의 수임형태가 서로 다른 지정中기간과 지정後기간의 발생액의 차이를 감사인효과로 나누어 분석을 실시하였다. 검증결과 지정後기간의 재량적 발생액은 지정前기간보다 현저히 감소하는 것으로 나타났다. 지정前기간과 지정後기간의 감사인 선임형태는 모두 자유수임으로 이러한 발생액의 차이는 지정제도로 인한 기업효과라 생각된다. 즉 감사인 지정제도를 통하여 시장의 감시를 의식한 기업의 투명회계에 대한 인식 변화로 회계투명성이 제고되었음을 의미한다. 셋째, 지정감사인의 독립성이 자유수임감사인보다 제고되는가를 파악하기 위하여 감사인의 선임형태가 다른 지정中기간(지정)과 지정後기간(자유수임)의 재량적 발생액의 차이를 분석하였다. 그 결과 지정後기간에 재량적발생액이 유의하게 증가하는 것으로 나타났으며 이는 자유선임 감사인에 비하여 지정감사인의 독립성이 제고되었음을 의미한다. 마지막으로, 위와 같은 연구결과가 감사인지정기업에 독특한 현상인지를 검증하기 위하여 통제기업을 선정하여 재량적발생액의 기간별 변화를 관찰하였다. 그 결과 통제기업의 재량적발생액은 그 자체가 갖는 본래의 특성상 반전되는 현상을 보였으나, 기간별 통계적 유의성은 발견되지 않았다. 우리는 회계투명성 제고를 위한 기업지배구조의 틀을 고려할 때 외부감사인의 역할도 중요하지만 회계정보의 1차적 생산자인 기업의 역할이 가장 중요하다는 것을 알고 있다. 본 연구는 감사인 지정제도를 통한 기업의 회계투명성 개선은 지정감사인의 독립성 제고에 추가하여 기업 스스로의 노력이 상호 작용하여 이루어진 결과임을 제시하고 있다. 이를 위하여 감사인의 수임형태가 확연히 구분되는 지정제도를 이용한 기간별 재량적발생액의 변화를 관찰하여 그 동안 간과되었던 회계투명성 제고에 있어 기업의 역할을 파악한데 가장 큰 공헌점을 갖는다. In order to establish corporate governance for the high accounting transparency, balanced role of corporations, auditors and government agency must set forth beforehand. Rezaee(2002) claims that high-quality financial reports, including reliable financial statements free of material misstatements caused by errors and fraud, can be achieved when there is a well-balanced functioning system of corporate governance. Corporate governance system is a supervisory system of board of directors, audit committee, top management team, internal auditors, external auditors and governing bodies. Even though a corporation that has provided their auditor with false accounting information should be held responsible primarily for accounting fraud, the public opinion including the press tends to place more responsibility on the auditor. On the other hand, auditors were not held responsible for accounting fraud or the court put them responsible for 30% at the most in most precedent cases relating to accounting fraud. Such fact produces evidence that the roles and responsibility of corporations are greater than those of auditors. Moreover, the recent cases have ruled that top management team of corporations that have committed accounting fraud should take more greater responsibility than auditors that could not find the matter of accounting fraud in their audit. Studies on accounting transparency have interpreted changes in transparency as effect on improving financial system or differences according to characteristics of auditors while overlooking the role of corporations with the primary responsibility for producing financial information. This might have been caused mainly by the fact in which it is impossible to divide roles of different bodies in reality. Thus, this research examines in what extent corporations and auditors have taken their roles in the quality of financial reports measured by discretionary accruals. In order to carry out this study, we analyze the effect of corporations and auditors in transparency using the auditor designation system in which the type of auditor appointment is different . This study proves the extent of effect of corporations and auditors on their effort to accomplish transparency by measuring discretionary accruals before, during and after the auditor designation while considering the fact that the type of appointment changes in case of designating auditors. To perform this analysis, we divided the periods of 1,528 corporation/year samples into before, during and after the designation on 308 corporations with designated auditors from 1998 to 2004. Then, we performed paired t-test and regression analysis using discretionary accruals estimated by modified Jones model. First, discretionary accruals decreased during auditor designation, which was consistent with the previous studies. However, the discretionary accruals had begun to decrease two years prior to the designation. Thus, it makes difficult to conclude that the improvement in auditor independence is solely responsible for the decrease in discretionary accruals. In other words, corporations could anticipate the auditor designation in the following year according to the related regulations before the designation. Thus, they would make an effort to accomplish transparency before the auditor designation. Consequently, the decrease in discretionary accruals between the periods before and during the designation can be considered as mixed effect of corporations and auditors. Second, we differentiated such mixed effect into the effect of corporations and auditors. We set the difference in discretionary accruals between the periods before and after the designation as the corporation effect in which the form of auditor appointment was identical as the unrestricted one. We defined the difference in discretionary accruals between the periods during and after the designation as the auditor effect in which the forms of auditor appointment were different from one another. As a result, the discretionary accruals after the designation significantly decreased compared to those prior to it. The auditor appointment before and after the designation periods were all unrestricted so that the difference in discretionary accruals is thought to be the effect of corporations caused by the auditor designation system. That is, changes in corporations` recognition on accounting transparency have been improved through the auditor designation system while becoming aware of supervision of the market. Third, we analyzed the difference in discretionary accruals before and after the designation period, in which the forms of appointment were different, to discover whether the independence of designated auditor improved as compared to the unrestricted auditor. As a result, the discretionary accruals significantly increased after the designation period that implies the independence of designated auditor improved as compared to the unrestricted auditor. Lastly, we observed the changes in discretionary accruals of controlled corporations to prove whether the aforementioned results were unique phenomena applying specifically to those corporations with designated auditors. As a result, the discretionary accruals of controlled corporations exhibited were reversed considering the essential characteristics of discretionary accruals themselves. However, no statistical similarity was discovered. We understand the role of corporations, the primary provider of financial information, is the most important in improving transparency considering the structure of corporate governance system even though the role of external auditor is also important. This research proposes the improvement in accounting transparency through the auditor designation system as a result of mixed effort between the improvement of independence of designated auditor and the effort of corporations. In order to prove this point, observing changes in discretionary accruals with respect to the auditor designation system, in which the forms of auditor appointment were clearly classified, contributed to understand the role of corporations in the improvement of transparency that has previously been overlooked.