실제 이익조정이 장기 경영성과에 미치는 영향

김지홍 ( Jee Hong Kim ),배지헌 ( Ji Hun Bae ),고재민 ( Jai Min Goh ) 한국회계학회 2009 회계학연구 Vol.34 No.4

Roychowdhury(2006)가 영업현금흐름, 제조원가, 재량적비용 등 영업 활동 전반에 대한 실제 이익조정(Real earnings management) 측정 모형을 제안한 이후, 이를 활용한 후속 연구들이 활발히 이루어지고 있다. 이 모형은 그동안 개별적인 경영 활동만을 대상으로 해왔던 실제 이익조정의 지평을 넓혔다는 중요한 공헌점을 지니고 있지만, 반면 잠재적으로 측정오차가 포함될 수 있다는 문제점 또한 내포하고 있다. 만약 실제 이익조정 측정치가 평균적으로 실제 이익조정이 아닌 경영자의 사적 정보를 반영한다면, 기업의 경영성과는 오히려 개선될 수 있다. 본 연구는 Roychowdhury(2006)의 추정 모형을 통해 도출된 실제 이익조정 측정치가 사후의 장기 경영성과와 어떤 관계가 있는지 살펴보았다. 실증분석 결과는 다음과 같다. 첫째, 실제 이익조정은 장기 영업성과 및 주가성과에 부정적영향을 미치고 있다. 즉 실제 이익조정 기업은 차기뿐만 아니라 그 이후의 영업성과 역시 악화되는 사실을 관찰하였고, 그 정도는 기간이 장기화될수록 더욱 심화되었다. 또한 주식시장에서는 이러한 실제 이익조정이 영업성과에 미치는 부정적 영향을 인지하고 있는 것을 발견하였다. 둘째, 이익조정의 유인에 따라 이익 구간을 나누어 살펴본 분석에서 상향의 이익조정 구간에서는 장기 영업성과가 감소하였고, 반대로 하향의 이익조정 구간에서는 증가하였다. 주가성과의 경우 상향의 이익조정 구간에서만 유의하게 나타나 주식시장이 상향의 실제 이익조정에 대해 부정적으로 인지하고 있음을 알 수 있다. 셋째, 실제 이익조정을 이용한 차익거래에서 초과이익을 얻을 수 있다는 사실을 확인하였다. 이는 주식시장에서 실제 이익조정을 많이 한 기업은 과대평가되어 있고 적게 한 기업은 과소 평가되어 있다는 것을 의미한다. 본 연구는 Roychowdhury(2006)의 실제 이익조정 모형을 개선하였고, 이를 활용하여 실제이익조정이 기업성과에 미치는 장기 영향을 검증하였다는 점에서 의의가 있다. 또한 본 연구 결과는 Roychowdhury(2006)의 실제 이익조정 측정치가 경영자의 사적 정보를 전달하기보다는 평균적으로 이익조정을 반영하고 있다는 실증적 근거를 제공하고 있다. Since Roychowdhury (2006) developed estimation models for real earnings management, such as abnormal cash flow from operation (ACFO), abnormal production cost (APC), and abnormal discretionary expenses (ADE), several researches have been conducted using his estimation models. Although his models have contributed to studies on real earnings management in terms of helping researchers overcome the limitations of previous studies that were only able to capture individual operating activities, these models are still vulnerable to measurement error problems. It is argued that managers tend to relax their credit policy to boost sales and they reduce research and development (R&D) expenses to improve accounting numbers. However, similar to discretionary accruals, managers` activities considered to be real earnings management may deliver their private information (Subramanyam 1996). A manager who is aware that a customer whose operating performance will improve in a later period does not restrain the employee from selling products on credit. In addition, a manager who enhances the efficiency of their R&D process can achieve the same level with a smaller budget. Namely, Roychowdhury`s (2006) metrics may have positive as well as negative meaning. The former is related to private information, whereas the latter is associated with managers` opportunistic earnings management. If Roychowdhury`s (2006) metrics as to real earnings management embrace managers` private information instead of earnings management, it will be related to even an higher operating performance in succeeding period. This study investigates whether Roychowdhury`s (2006) measurement is negatively associated with a firm`s performance. Negative relationship can serve as the evidence that the measurement captures opportunistic earnings management on average. The followings are the empirical results of the study. First, real earnings management has a negative effect on long-term operating performance and stock performance. In other words, current real earnings management impairs not only the very next period`s but also the later period`s performances. We also find that stock price reflects this negative impact of real earnings management on long-term performance. Furthermore, this negative impact is more serious in long-term periods than in short-term periods, consistent with Graham et al. (2005). Unlike accruals-based earnings management, real earnings management distorts managers` operating decisions damaging actual performance. Although discretionary accruals are reversed in next period without a longer effect, the negative impact of real earnings management accelerates with the lapse of time. Second, upward (downward) earnings management has a negative (positive) impact on long-term operating performance. We analyze the differential impact with the direction of real earnings management. We define the earnings management brackets that are suspected to have different earnings management incentives: upward, downward, and unclear. While long-term operating performance decreases with upward real earnings management bracket, it increases with downward real earnings management bracket. Stock price declines only with upward earnings management bracket, showing that investors are more sensitive to bad news. Third, we find that investors can obtain abnormal profit with hedge portfolio based on real earnings management. It implies that firms with larger real earnings management are overvalued because real earnings management brings about mispricing in stock market. This study has some contributions. First, we try to mitigate measurement error problem in Roychowdhury`s (2006) model. In addition to his estimation models, we add the return on asset (ROA) variable to control a firm`s performance like performance-matched discretionary accruals model (Kothari et al. 2005). Although Roychowdhury (2006) included net income as a control variable in the regressions, we cannot control operating performance with his model. It is because the proxy for the real earnings management is independent variable in our analysis. Thus, we eliminate the correlation between real earnings management and firm performance in the estimation stage to minimize the measurement error. Second, we examine the gradual long-term impact of real earnings management on firm`s operating performance with the modified real earnings management model. Our finding suggests that his model contains not managers` private information but opportunistic earnings management on average. Third, we find that upward and downward real earnings management have differential impacts on the long term performance. While upward real earnings management aggravates future performance, it gets better with downward real earnings management. Our detailed analysis furthers the result of earlier studies.

기부금 지출이 기업가치에 미치는 영향

김상일(Sang Il Kim),최원욱(Won Wook Choi),배지헌(Ji Hun Bae) 한국경영학회 2009 經營學硏究 Vol.38 No.6

We address a basic question of corporate charitable contribution’s effect: Does it really contribute to firm’s profit maximization or shareholder value creation? Or does it just represent a drain on resources by opportunistic managers? If the capital market expects the expenditure creates the positive relation with consumers and subsequent sales increases, firm’s charitable contributions would increase the firm’s value in the capital market. On the contrary, if the capital market perceives the expenditure is more for the manager’s private gain than for the benefit of all shareholders, firm’s charitable contributions would decrease the firm’s value. Using the sample of charitable contributions by public companies from 2001 through 2006, we empirically test whether charitable contributions enhance the market value of the firm. We extend our analysis to the effects of non-tax-deductible contributions on the firm value. We hypothesize that the positive effect of charitable contributions on the firm value would decline if the amount of contributions becomes excessive. The Korean corporate tax law provides the guideline regarding how much is the excessive contribution. The tax law prescribes the limit on tax deductibility of charitable contributions up to 5%~75% of pre- tax income, proportions depending on the characteristics of donees. We use the amount of contribution above that limit, non-tax-deductible contribution, as the proxy for excessive contribution. Non-tax-deductible contributions could have negative impact on the firm value but only because the expenditure is excessive but also the amount does not save the tax and thus further decreases the firm’s cash flows. Still many firms in Korea report that they have paid more charitable contributions than their tax-deduction limit. A potential reason why firms would pay such excessive contributions would be that the contributions can be made for the private benefit or personal reputation of managers or large shareholders. Excessive charitable contribution could be an indicator of agency problem between managers, large shareholders and minority shareholders. Thus, we expect that the capital market perception of charitable contributions could be different between the amount within the limit and above the limit. The effects of non-tax-deductible contributions on the firm value would depend on the degree of firm’s ownerships by largest shareholders. If the firms owned by large shareholders spend excessive amounts of charitable contributions, the market would tend to perceive that the contributions are more for the private gains of managers or large shareholders than for the benefit of all investors including minority shareholders. Thus, the positive relation between charitable contributions and firm value would decline further when the firms owned by largest shareholders spend excessive amount of contributions. The effects of non-tax-deductible contributions on the firm value would also depend on the degree of firm’s ownerships by foreign investors. The effects of foreign investors on the firm’s spending pattern are not straightforward. Foreign investors may be less knowledgable of managers’behavior than domestic investors and thus they may not monitor managers as effectively as domestic investors do. On the other hand, foreign investors may have more experiences of monitoring managers in international capital markets and thus would exercise more effective monitoring on the managers’behavior and prevent any excessive spending intended for the managers’private gains. We expect that the latter effect dominates in Korean capital market and the firms owned more by foreign investors would spend charitable contributions more effectively. Thus we hypothesize that the capital market values the excessive charitable contributions positively if they are spent by the firms owned foreign investors. The market perceives the charitable contributions would be paid after tight monitoring of managers’