발생액의 질이 재무분석가의 이익예측오차에 미치는 영향 : 본질적 및 재량적 발생액의 질의 구성요소를 중심으로

박종일,신상이 한국공인회계사회 2018 회계·세무와 감사 연구 Vol.60 No.2

본 연구는 발생액의 질이 재무분석가의 이익예측의 정확성과 편의로 측정되는 이익예측오차에 어떠한 영향을 미치는지 실증적으로 분석하였다. 특히 본 연구는 낮은 발생액의 질과 재무분석가의 이익예측오차와의 관계가 양(+)의 관계가 있는지를 발생액의 질에 대해 Francis et al.(2005)이 제안한 총발생액의 질(AQ)뿐 아니라 그 구성의 원천에 따라 본질적 발생액의 질(InnateAQ)과 재량적 발생액의 질(DiscAQ)로 나누어 살펴보았다. 나아가 추가분석에서는 앞서의 관계가 시장유형(KOSPI vs. KOSDAQ)에 따라, 또는 새로운 회계기준인 IFRS 도입 전후기간에 따라 다른지에 대해서도 알아보았다. 이를 위해 본 연구는 금융업을 제외한 12월 결산법인인 상장기업을 대상으로, 분석기간은 2004년부터 2016년까지 8,304개 기업/연 자료를 최종표본으로 분석하였다. 본 연구의 실증결과는 첫째, 재무분석가의 이익예측오차에 영향을 주는 일정 변수뿐 아니라 재량적 발생액을 통제한 후 분석하여도 발생액의 질이 낮을수록 재무분석가의 이익예측의 정확성은 떨어지고, 또한 낙관적 편의의 성향을 보이는 것으로 나타났다. 둘째, 일정 변수를 통제한 후 분석하여도 발생액의 질의 두 구성요소인 본질적 발생액의 질이 낮거나 재량적 발생액의 질이 낮은 경우 모두 재무분석가의 이익예측의 정확성이 낮고, 낙관적 편의 성향이 있는 것으로 나타났다. 이러한 결과는 총발생액의 질뿐 아니라 그 원천인 기업이 처한 사업위험과 관련한 본질적 발생액의 질 또는 경영자의 기회주의적인 동기가 포함된 재량적 발생액의 질이 낮을 때 이익의 질은 낮아져 정보위험은 높기 때문에 재무분석가의 이익예측오차는 이러한 정보의 불확실성에 기인하여 증가될 수 있음을 시사해 준다. 이러한 결과는 관심변수를 10분위의 순위등급변수로 측정한 경우 외에도 소수의 순위등급변수나 원 변수로 측정한 경우 모두 일치된 결과였다. 셋째, 추가분석으로 전체표본을 다시 시장유형에 따라 나누어 분석한 경우는 별다른 차별적인 반응이 나타나지 않은 반면에, IFRS 의무도입 전후기간으로 나누어 분석하면 총발생액의 질과 이익예측오차 간에 양(+)의 관계는 앞서의 결과와 차이가 없으나, IFRS 이전기간에서는 재량적 발생액의 질과 이익예측오차 간에 양(+)의 관계가 더 뚜렷하게 나타난 반면에, IFRS 이후기간에서는 본질적 발생액의 질과 이익예측오차에 양(+)의 관계가 더 뚜렷하게 나타났다. 이는 재무분석가의 이익예측오차와 발생액의 질의 구성요소와의 관계는 새로운 회계기준의 도입 전후기간에 따라 차별화된 반응이 있음을 의미하며, 새로운 정보환경의 변화에 따라 발생액의 질의 두 구성요소가 재무분석가의 이익예측오차에 미치는 효과는 달라질 수 있음을 보여준다. 이상을 종합하면, 본 연구는 발생액의 질이 낮을 때 재무분석가들이 제공하는 이익예측 정보에서 오차가 증가됨을 총발생액의 질과 그 구성의 원천별로 정보위험성이 높다는 것을 국내 상장기업에 대해 보여주었다는데 의미가 있다. 아울러 본 연구의 추가분석 결과에서는 발생액의 질의 원천별로 재무분석가의 이익예측오차와의 양(+)의 관계가 IFRS 의무도입 전후기간에 따라 차별적인 반응이 있음을 보여주고 있어 발생액의 질을 다룬 관련연구에도 새로운 실증적 증거를 제공할 것으로 예상된다. 따라서 본 연구의 결과는 학계뿐만 아니라 기업의 이익의 질에 관심이 있 ... This study investigates the relation between accruals quality and analyst’s earnings forecast errors measured as forecasting accuracy and bias. Specifically, this study distinguishes accruals quality driven by economic fundamentals (innate AQ) versus management discretion (discretionary AQ) following Francis et al. (2005) and investigates whether accruals quality differently depending on the source of accruals quality affect analyst’s earnings forecast errors. In the additional analysis, we partition the sample into KOSPI versus KOSDAQ listed firms and test whether the relation between accruals quality and analyst’s earnings forecast errors is different for market type (KOSPI versus KOSDAQ samples). Further, we test whether the relation between accruals quality and analyst’s earnings forecast errors has changed since the adoption of IFRS (pre-IFRS versus post-IFRS adoption period). Prior research develops measures of accruals quality and demonstrates that these measures identify firms with greater information asymmetry between managers and investors. Specifically, Dechow and Dichev (2002) regress working capital accruals on cash flows from operations in the prior, current, and following period and argue that accruals that do not map into cash flows are low quality accruals. Further, Francis et al. (2005) decompose the accruals quality measure developed in Dechow and Dichev (2002) and McNichols (2002) into innate and discretionary accruals quality. They characterize measurement error in accruals due to inherent features of a firm’s business model and operating environment as innate accruals quality. By contrast, discretionary accruals quality reflects managerial accounting discretion and error. Then, Francis et al. (2005) find that the coefficient on discretionary accruals quality is smaller in magnitude and weaker in statistical significance than that of innate accruals quality in regressions with estimated cost of capital as the dependent variable. Based on these results, they conclude that investors place greater weight on accruals that reflect intrinsic features of the firm’s business model than on accruals that reflect a combination of noise, opportunistic choices and management’s attempts to make earnings more informative. And Francis et al. (2005) conclude that accruals quality is a priced risk factor. Extending this line of research, we examine whether financial analysts produce higher forecast errors for lower accruals quality (hereafter AQ), such as total AQ as well as both components of AQ (InnateAQ versus DiscAQ). For analysis, we follow Francis et al. (2005) to estimate total AQ and we decompose the AQ into its innate and discretionary factors as a proxy of information risk for earnings quality. A greater AQ value indicates that the mapping of accruals to cash flow is more volatile and this in turn suggests potential low-quality financial reporting in accounting. Thus, a firm with a greater (smaller) AQ value is associated with a poorer (better) quality of accounting information. Our sample covers KOSPI and KOSDAQ listed firms with available data in non-financial industries with fiscal year-end based on the dependent variable (interest variable) from 2004 to 2016 (from 2003 to 2015). This procedure yields 8,304 firm-year observations with available data of AQ and analyst’ earnings forecast over the sample period 2004 through 2016. The empirical findings of this study are following. First, after controlling for several factors as well as discretionary accruals that affect analyst’ forecast errors, we find that a positive relation between analyst’ forecast error and total AQ, indicating that poorer AQ is associated with less accurate analyst’ earnings forecasts, more optimistically biased forecasts. Second, when we also disaggregate the AQ into innate versus discretionary component, we find that a positive relation between analyst’ earnings forecast error and both components of AQ (Inn...

The Impact of Reporting Quality on Crash Risks in the Korean Stock Market

( Jin Hwon Lee ),( Jang Youn Cho ),( Chae Chang Im ) 한국회계학회 2014 회계학연구 Vol.39 No.2

This paper examines the determinants of a stock crash and aims to find whether reporting transparency has any effect on an extreme stock crash. More specifically, it delves into the quest of whether reporting transparency, as one of the determinants, has any effect on a stock crash in the Korean stock market. To analyze this possible relation, we employ companies with a stock crash record from 2006 to 2011 and use accruals quality, innate accruals quality and discretionary accruals quality as proxies for transparency. Furthermore, we adopt the proportional hazard model (Cox 1972) and PWP model (Prentice et al. 1981) for our analysis. The result conveys that accruals quality, innate accruals quality and discretionary accruals quality have a significant negative relation with stock crash risk. This indicates that the lower the accruals quality, the more likelihood of stock crash risk and that these variables can be used as indicators that can predict the possibility of crash risk. We also study whether the monitoring effect, estimated by institutional investors` trading ratio, affects transparency and crash risk. The result reveals the differences in innate accruals quality and discretionary quality under the monitoring of institutional investors. Moreover, greater involvement of institutional investors in transactions leads to a weak influence of innate accruals quality as well as a strong influence of discretionary accruals quality on a stock crash. In contrast, less involvement of institutional investors in market transactions reveals a weak relation between innate accruals quality and stock crash risk and no significant relation between discretionary accruals quality and stock crash. We conclude that the monitoring by institutional investors enhances discretionary accruals quality. However, when investors misinterpret the managers` opportunistic behavior, the possibility of stock crash risk can increase. In addition, firms that receive relatively less interest from institutional investors are more likely to not make use of their accounting information effectively.

발생액의 질의 회계정보 유용성

손성규,고재민,백혜원 한국회계정보학회 2009 회계정보연구 Vol.27 No.2

The objective of this study is to investigate whether accruals quality, an alternative measure of accounting information quality, has an information content in the capital market. Traditionally discretionary accruals are used as a proxy of accounting information quality. However, discretionary accruals might imply earnings management or deliver managers' private information. Thus the discretionary accruals could cause a measurement error problem. Dechow and Dichev(2002) argued that discretionary accruals which are realized into future cash flows cannot be a outcome of earnings management but a signal of future performance. In this perspective, accruals quality measured with cash flows of previous, current, and next period is considered to overcome the measurement error of discretionary accruals. The superior accounting information would accompany bigger stock price reaction by its predictability and precision, and smaller trading volume reaction by mitigating the heterogeneity among investors. In order to test an information content, we examine if stock price reaction is bigger and trading volume reaction is smaller as accruals quality increases. In addition, we compare an information content of accruals quality with that of discretionary accruals. This will enable us to recognize which measure is more effective in judging quality of accounting information in the capital market. Our empirical results are as follows. First, the higher the accruals quality, the bigger the stock price reaction with the same unexpected earnings. Second, the higher the accruals quality, the smaller the trading volume reaction with the same stock price change. Third, stock price reacts more and trading volume reacts less in superior accounting information assessed by accruals quality than discretionary accruals. Our findings show that accruals quality is a significant measure of accounting information quality. Furthermore, it could be a better proxy of accounting information quality than discretionary accruals in the capital market. Therefore, we suggest that researchers should use accruals quality in valuing quality of accounting information. 본 연구의 목적은 발생액의 질(accruals quality)이 회계정보의 질을 평가하는 측정치(proxy)로 적정한지를 검증하는 것이다. 즉 발생액의 질이 자본시장에서 어떻게 평가 받는지를 분석함으로써, 정보유용성이 있는지를 살펴보는 것이다. 전통적인 측정치인 재량적발생액이 사적 정보의 전달과 이익조정의 수단이라는 양면성을 가지고 있기 때문에, 재량적발생액의 크기만으로 회계정보의 품질을 평가하는 것은 논란의 여지가 있다. Dechow and Dichev(2002)는 재량적발생액이라도 실제로 현금으로 실현되는지 여부에 따라 회계정보의 질을 평가함으로써, 재량적발생액이 갖는 측정 오차를 극복하고자 하였다. 양질의 회계정보는 이익 공시 시점에서 높은 예측 가능성(predictability)과 정확성(precision)으로 주가 반응은 클 것이며, 회계정보 해석의 이질성(heterogeneity)을 완화시켜 거래량 반응은 작을 것이다. 따라서 발생액의 질에 따라 회계이익이 주가수익률에 미치는 영향과 주가 변동이 주식 거래량에 미치는 영향이 어떻게 달라지는지를 살펴보았다. 또한 회계정보의 질에 대한 전통적인 측정치인 재량적발생액과 발생액의 질에 대해 주가 반응과 거래량 반응을 비교함으로써, 회계정보의 질을 평가하는 데 있어 어떤 측정치가 시장에서 더 유효한지를 검증하였다. 실증 분석 결과는 다음과 같다. 첫째, 같은 비기대이익 수준이라 하더라도 발생액의 질이 높은 기업은 주가 반응이 더 크게 나타났다. 둘째, 주가 변동의 정도가 같더라도 발생액의 질이 높은 기업은 거래량 반응이 더 작다는 사실을 확인하였다. 셋째, 재량적발생액보다 발생액의 질로 평가한 양질의 회계정보에서 주가 반응은 더 크고 거래량 반응은 더 작다는 사실을 관찰하였다. 이는 발생액의 질은 자본시장에서 회계정보의 질을 평가하는 유효한 측정치로 인정 받고 있으며, 재량적발생액보다 더 의미 있는 측정치로 평가 받고 있음을 의미한다. 따라서 향후 자본시장 연구에서 회계정보의 질을 평가할 때는 재량적발생액 뿐 아니라, 발생액의 질을 적극적으로 도입하는 것이 필요하다고 제안한다.

발생액의 질과 가치투자전략

권수영,박수연,송영효 한국회계정보학회 2014 회계정보연구 Vol.32 No.3

This study shows that the strategy of taking a long position in high B/M stocks (value stocks) with high accruals quality, which indicates that their earnings reflect the fundamental value of the firm better, and taking a short position in low B/M stocks (glamour stocks), whose earnings do not reflect fundamental value appropriately, results in additional abnormal return. Specifically, we examine whether the value investing strategy complemented with the utilization of accruals quality significantly improves the investment performance. Furthermore, we test whether the effect of accruals quality on the investment performance was driven by other economic forces in the multivariate regression analysis. We also split the sample based on the sources of accruals quality such as innate component of accruals quality and discretionary component of accruals quality. The sample period is from 1995 to 2006. The sample firms include all December fiscal year-end firms listed on Korea Stock Exchange other than bank & finance industries. The primary results of empirical tests can be summarized as follows: First, we confirm that stocks with high B/M ratios are more likely to have value premium, consistent with prior studies. Second, abnormal returns from the joint consideration of B/M ratios and accruals quality are greater than those from the consideration of B/M ratios only. This implies that both the value investing strategy and the strategy based on accruals quality fetches additional information content compared to each strategy. Third, the significant relation between B/M ratios and accruals quality remains significant even after controlling for firm size, beta, and other control variables when abnormal returns are size-adjusted. Fourth, the value investing strategy based on discretionary component of accruals quality results in the realized returns higher than the strategy based on innate component of accruals quality. This study differs from prior studies in the value investing line of research in that this study empirically links accruals quality to the value investing strategy. Therefore, this paper provides meaningful and practical implications that consideration of accruals quality can improve value investing strategy, and also provide feasible tactical guidance to such strategy. 본 연구는 B/M이 높은 가치주 중에서도 발생액의 질이 높아서 기업의 실질적인 가치를 가장 잘 반영하는 이익을 보고하는 기업들을 매입하고 B/M이 낮은 성장주 중에서도 기업의 실질적인 가치를 제대로 반영하지 못하는 기업들을 매도하는 전략을 통해 높은 추가수익률을 달성함을 보여주고 있다. 구체적으로, 가치투자전략과 회계이익의 질을 동시에 활용할 때 투자성과를 현저하게 높이는지 여부를 분석하고, 발생액의 질이 투자성과에 미치는 영향이 다른 경제적 요인에 의해 이루어진 것인지 여부를 다변량 회귀식 분석을 통해 확인한다. 더 나아가서 발생액의 원천에 따라 투자성과가 미래현금흐름의 불확실성을 나타내는 본질적 발생액의 질(innate component of accruals quality)과 경영자의 재량적 판단을 나타내는 재량적 발생액의 질(discretionary component of accruals quality)에 의해 결정되는지 여부를 검증한다. 본 연구는 1995년부터 2006년까지의 기간에 한국거래소의 유가증권시장에 상장된 12월 결산 비금융기업 표본을 대상으로 하고 있으며, 다음과 같은 주요 실증분석 결과를 얻었다. 첫째, 가치투자전략에 따라 B/M 비율이 높은 가치주일수록 초과수익률이 높게 나타나 선행연구에서와 동일하게 가치프리미엄이 존재함을 확인하였다. 둘째, B/M 비율과 발생액의 질을 동시에 고려한 포트폴리오의 초과수익률을 살펴본 결과, B/M 비율만을 이용한 포트폴리오 보다 더 높은 수익률을 나타내었다. 이는 가치투자전략과 발생액의 질을 고려한 전략은 서로 다른 추가적인 정보를 제시하는 것으로 보인다. 셋째, 규모조정초과수익률을 종속변수로 놓고 B/M, 발생액의 질, 기업규모, 개별기업의 베타 등을 독립변수로 하는 회귀분석을 통하여 살펴본 결과, 규모조정초과수익률에 영향을 미칠 수 있는 여러 변수들을 통제한 후에도 B/M과 발생액의 질은 유의한 상관관계를 가지는 것으로 나타났다. 넷째, 발생액의 질을 기업의 기본여건 및 기업본연의 불확실성과 관련된 본질적 발생액의 질과 경영자의 재량적 회계선택과 연관된 재량적 발생액의 질로 구분하여 가치투자전략을 실행하였을 때, 재량적 발생액의 질을 고려한 가치투자전략이 본질적 발생액의 질을 고려한 가치투자전략보다 더 높은 수익률을 실현했다. 이는 발생액의 질을 고려한 투자성과는 경영자의 재량적 판단에 의한 부분에 의해 결정되는 것으로 해석할 수 있다. 본 연구는 가치투자전략과 발생액의 질로 측정한 이익의 질을 연계하여 살펴본 논문이라는 점에서 이전의 선행연구와 차별점을 갖는다. 기업의 발생액의 질을 고려한 가치투자전략의 성과를 실증적으로 보여줌으로써 발생액의 질 더 나아가서 회계정보의 질을 고려한 투자전략을 실증적으로 입증했다는데 그 의의가 있다. 따라서 가치투자전략을 수행함에 있어서 발생액의 질을 동시에 고려하는 것이 실질적인 투자전략에 도움이 되고, 실행 가능한 전략을 제시하였다는 점에서 시사하는 바가 크다고 할 수 있다.

발생액의 질이 미래이익에 대한 주가 정보성에 미치는 영향

권수영(Soo Young Kwon),기은선(Eun Sun Ki),서호준(Ho Jun Seo) 한국경영학회 2012 經營學硏究 Vol.41 No.1

In this paper we examine the association between accruals quality and the informativeness of stock prices. We measure accruals quality by the standard deviation of residuals of current accruals which were not converted into operating cash flows in the prior period, current period and the following period. We measure stock price informativeness of future earnings by the future earnings response coefficient (FERC), which is the association between current period stock returns and future earnings. Accruals quality captures the information risk about future cash flows and, as a result, future earnings. There are prior studies which documented the evidence that accruals quality was priced by investors and poor accruals quality is associated with high cost of capital (Francis et al., 2005; Chen, Dhaliwal and Trombley, 2008; Kim and Qi, 2010). Kim and Qi (2010) also report that accounting quality and stock returns of firms with poor accruals quality are more vulnerable to future market condition changes. These results lead to the expectation that stock price would be more informative about future earnings for firms with high accruals quality due to the lower information risk. We focus on the accrual component of earnings for two reasons. First, the accrual component of earnings is subject to greater uncertainty than is the cash flow component. Second, accruals quality is the measure of information risk associated with a key accounting number- earnings since accruals quality tells investors about the mapping of accounting earnings into cash flows. We test that a firm`s accruals quality can bring the future forward by revealing information in the current period that changes expectations about future earnings. We also investigate whether the pricing of accruals quality differs depending on the source of accruals quality. Innate accruals quality is driven by the firm`s business model and operating environment, while discretionary accruals quality is subject to management interventions. Since discretionary accrual choices reflect both opportunism and performance measurement, we predict distinct price informativeness, i.e., lower average price informativeness for discretionary accruals quality than for innate accruals quality. We analyze all the firms listed on Korea Stock Exchange and KOSDAQ for the period 1997~2007. We find that there is a significantly positive relation between a firm`s accruals quality and the amount of future earnings news reflected in the current annual return. Higher accruals qualities are associated with a greater future ERC. We also find that both innate accruals and discretionary accruals are positively related to the amount of future earnings news reflected in current returns. Furthermore, there was significant difference between innate accruals and discretionary accruals in the magnitude of FERC. It appears that the acrruals quality matters, not the source of accruals. Our findings remain significant after controlling for factors known to influence the earnings response coefficient in a simple regression of returns on current earnings, namely, size, presence of loss, growth, and earnings volatility. This paper has several contributions to the accounting literature. First, we document that high accruals quality allows investors to better predict future earnings. This is adds to the accruals literature where prior studies focused on accruals anomaly, information risk, or cost of capital. Second, this study shows that the usefulness of accruals in predicting future cash flows varies with the accruals quality, while prior studies only show that accruals provide useful information about future cash flows (Dechow, 1994; Dechow et al., 1998; Barth et al., 2001). Third, this study is the first attempt to examine whether investors take into information risk imbedded in account accruals quality and utilize such knowledge in their investments in anticipation of future earnings. We expect more studies by utilizing the noti

The Impact of Reporting Quality on Crash Risks in the Korean Stock Market

이진훤,조장연,임채창 한국회계학회 2014 회계학연구 Vol.39 No.2

This paper examines the determinants of a stock crash and aims to find whether reporting transparency has any effect on an extreme stock crash. More specifically, it delves into the quest of whether reporting transparency, as one of the determinants, has any effect on a stock crash in the Korean stock market. To analyze this possible relation, we employ companies with a stock crash record from 2006 to 2011 and use accruals quality, innate accruals quality and discretionary accruals quality as proxies for transparency. Furthermore, we adopt the proportional hazard model (Cox 1972) and PWP model (Prentice et al. 1981) for our analysis. The result conveys that accruals quality, innate accruals quality and discretionary accruals quality have a significant negative relation with stock crash risk. This indicates that the lower the accruals quality, the more likelihood of stock crash risk and that these variables can be used as indicators that can predict the possibility of crash risk. We also study whether the monitoring effect, estimated by institutional investors' trading ratio, affects transparency and crash risk. The result reveals the differences in innate accruals quality and discretionary quality under the monitoring of institutional investors. Moreover, greater involvement of institutional investors in transactions leads to a weak influence of innate accruals quality as well as a strong influence of discretionary accruals quality on a stock crash. In contrast, less involvement of institutional investors in market transactions reveals a weak relation between innate accruals quality and stock crash risk and no significant relation between discretionary accruals quality and stock crash. We conclude that the monitoring by institutional investors enhances discretionary accruals quality. However, when investors misinterpret the managers’ opportunistic behavior, the possibility of stock crash risk can increase. In addition, firms that receive relatively less interest from institutional investors are more likely to not make use of their accounting information effectively.

속성별 발생액의 질이 기업 간 재무제표 비교가능성 정도에 미치는 차별적 효과

오광욱 한국회계정보학회 2015 회계정보연구 Vol.33 No.4

The study examines the association between accruals quality and financial statement comparability. Specifically, the study tests the differential effects by attributes of accruals quality (following Francis et al. (2011)) on financial statement comparability. Also, the study examines whether firms with analysts followings show differential effect of accruals quality on financial statement comparability. Tests using multivariate model include 9,417 firm-year samples covered from 2002~2013 listed in KSE(Korea Stock Exchange) and KOSDAQ(Korea Securities Dealers Automated Quotation). Followings are findings of the study: first, the study finds that firms with poor accruals quality have less comparable information in their financial statement. Second, the effects by innate accruals (fundamental information) on financial statement comparability are more pronounced than those by discretionary component of accruals quality. Third, the study observes that the effects of accruals quality on comparability are weaker in firms which are followed by financial analysts than in firms which are not followed by financial analysts. This study contributes to extant literature by suggesting implication in interpreting the differential impacts by attributes of accruals on comparability of financial statement. Also, finding of the study suggests that financial analysts play a role in mitigating the effects of information risk on comparability of financial information because they consider comparability of information of peer group in their forecasts. 본 연구는 발생의 질(accruals quality)과 재무제표의 비교가능성(financial statement comparability) 간의 관련성을 검증한다. 특히, 발생액의 질의 원천을 개별 기업의 본질적 요인에 의한 발생액(innate accruals quality)과 경영자의 재량적 요인에 의한 발생액의 질(discretionary accruals quality)로 구분하여, 속성별 발생액의 질과 재무제표의 비교가능성에 관계에 차별적 관련성을 가지는지 검증한다. 2002년부터 2013년까지(12년간) 거래소 및 코스닥 시장에 상장된 9,417 기업-년 표본을 이용하여 분석한 실증 결과는 다음과 같았다. 첫째, Francis et al. (2005)의 방식에 의해 측정한 발생액의 질은 기업 간 재무제표의 비교가능성 정도를 떨어뜨리는 것으로 나타났다. 둘째, 본원적 요인에 의한 발생액의 질이 경영자의 재량성에 기인한 발생액의 질보다 기업 간 재무제표 비교가능성에 미치는 부정적 효과가 유의하게 더 큰 것으로 나타났다. 이는 개별 기업의 본연적 정보 위험(fundamental information risk)을 의미하는 고유영업활동으로부터의 본원적 발생액(innate accruals quality)이 기업 간 재무정보의 비교가능성을 더 크게 훼손하고 있음을 의미한다. 추가 분석으로, 복수 증권사의 분석 보고서 대상이 되는 기업과 그렇지 않은 기업 표본으로 나누어 동일한 분석을 수행하였다. 실증 결과, 복수 기관의 분석 대상인 기업인 경우 분석 대상이 아닌 기업에 비해 발생액의 질(innate and discretionary accruals quality)이 재무제표 비교가능성을 훼손하는 정도가 유의하게 약하게 나타났다. 이는 재무분석가가 개별 기업의 발생액 속성을 인지하고, 비교가 용이한 기업들을 분석하기 때문인 것으로 판단된다.

발생액의 질이 기업소송에 미치는 영향-발생액의 질의 구성요소를 중심으로-

박종일,최관,조은혜 한국세무학회 2018 세무와 회계저널 Vol.19 No.2

This study examines the effect of financial reporting uncertainty that is proxied by accruals quality on a firm’s actual litigation risk. Previous studies define accruals quality as the extent to which accruals map into last-period, current-period, and next-period operating cash flow realizations (Dechow and Dichev, 2002;Francis et al., 2005). The more accruals are to be converted into operating cash flows, the easier to forecast firm’s future cash flows, therefore, decrease information uncertainty. On the contrary, the lower the accrual quality, the higher the uncertainty about company’s prospects. Managers are likely to disclose accounting information including financial errors or distortions of future cash flows for firms in high information uncertainty. Previous studies have considered accruals quality as a proxy variable for information asymmetry or information risk (Dechow and Dichev, 2002;Francis et al., 2005;Balakrishnan et al., 2012). As such, if investors make an investment in companies with low accrual quality, they are likely to confront financial uncertainty. They may face increasing possibility to file a lawsuit against the companies. Therefore, we expect that the occurrence of corporate lawsuits (Hypothesis 1) and amounts of litigation (Hypothesis 2) are higher for the firms with low accrual quality. We manually collect data about the existence of lawsuits and the amount of litigation from the footnotes of audit reports. We measure accruals quality (Total AQ) as the standard deviation of residuals from the regressions relating current accruals to cash flows (Francis et al. 2005). We also divide the Total AQ into two parts. One is the accruals quality driven by economic fundamentals (Innate AQ) and the other one driven by management discretion (Discretionary AQ). The sample of this paper consists of companies listed in the Korea Stock Exchange from 2001 to 2013. We restrict the sample firms for non-financial firms whose fiscal year ends in December. Final number of sample is 4,901 firm-year observations, of which 1,801 firm-year observations * Professor, School of Business, Chungbuk National University, parkjil@chungbuk.ac.kr, First Author ** Professor, School of Business, Sungkyunkwan University, kwanchoi@skku.edu, Co-author *** Ph. D., School of Business, Sungkyunkwan University, gracejo@skku.edu, Corresponding Author 208 세무와회계저널 / 제19권 제2호(2018. 4.) (36.7 percent of firms) are under litigation. The results of empirical analysis are summarized as follows. First, firms with lower accrual quality have higher possibility of facing lawsuits even after controlling other factors which could affect the occurrence of corporate lawsuits. Both innate accruals and discretionary accruals affect the increasing occurrence of corporate lawsuits. Second, firms with lower total accrual quality or discretionary accrual quality have a significantly higher amount of litigation. However, innate accrual quality is not significantly related to the amount of litigation. It implies that investors are not indifferent in making decisions depending on the source of accruals quality. They give greater weight to the accruals that reflect manager’s opportunistic behavior and information uncertainty but do not give serious consideration to the accruals of innate fundamentals. This means that discretionary accrual quality has more important effect on the amount of litigation than innate accrual quality. Third, when we divide full sample firms into sub-samples based on the type of Big 4/non-Big 4 auditors, the firms audited by Big 4 auditors face higher occurrence of litigation and amount of litigation. Fourth, the firms with speculative grade of credit ratings have stronger relations between accrual quality and litigation than the firms with investment grade. Fifth, firms observations in pre-IFRS period have more significant relations between accrual quality and litigation than ... 본 연구는 발생액의 질과 기업소송 간에 관련성이 있는지를 실증적으로 분석하고, 또한 앞서의관계가 감사인 규모, 신용위험의 고저 및 IFRS 도입 전후에 따라 차별적인지를 알아보았다. 전기발생액의 질이 낮은 기업일수록 피고로 한 소송의 발생가능성과 소송금액은 커질 것으로 예상된다. 분석을 위해 본 연구는 소송 자료를 수작업을 통해 수집하였고, 발생액의 질은 Francis et al. (2005)에 따라 총발생액의 질과 그 원천인 본질적 발생액의 질과 재량적 발생액의 질로 나누어 측정하였다. 분석기간은 종속변수를 기준으로 2001부터 2013까지이고, 표본은 12월 결산의 유가증권상장기업이다. 실증결과는 첫째, 전기 총발생액의 질 또는 그 구성요소가 낮을수록 당기에 피고로 계류된 기업소송의 발생가능성은 모두 높게 나타났다. 둘째, 전기 총발생액의 질 또는 재량적 발생액의 질이낮을수록 피소된 소송금액은 더 컸다. 하지만 본질적 발생액의 질은 소송금액과 유의한 관계를 보이지 않았다. 이는 본질적 발생액의 질은 정보의 불확실성만을 반영하나, 재량적 발생액의 질은 추가로 경영자의 기회주의적인 재량 역시 포함하므로, 재량적 발생액의 질이 낮을 때 소송금액은 더증가된다는 발견이다. 셋째, 전체표본을 다시 나누어 분석하면 앞서의 관계는 감사인 규모가 크거나, 신용위험이 높거나, 또는 IFRS 도입 이전기간일 때 더 뚜렷한 반응을 보였다. 이를 종합하면, 본 연구는 피소로 기업소송의 발생이나 소송금액은 낮은 발생액의 질과 유의한양(+)의 관계가 있음을 보여주었다는데 의의가 있다. 또한 경영자의 기회주의적인 재량적 발생액의 질이 낮은 기업일 때 정보위험의 증가로 기업소송과 연루될 가능성이 높음을 보여주었다. 따라서 국내의 경우도 최근 기업소송이 높은 환경에 있으므로, 이러한 발견은 학계뿐 아니라, 실무계, 규제기관 및 정책당국에게 재무보고의 질이 낮을 때 기업소송 및 소송금액과는 어떤 관계가 있는지에 관한 이해에 시사점을 제공한다.

발생액의 질이 감사시간 및 감사보수에 미치는 영향에 관한 연구

권수영 ( Soo Young Kwon ),기은선 ( Eun Sun Ki ) 한국회계학회 2011 회계학연구 Vol.36 No.4

본 연구는 감사인이 발생액의 질(accruals quality)을 고려해 감사시간 및 감사보수를 결정하는지를 살펴본다. 회계감사에서 발생액의 질은 부정이나 오류의 발생가능성을 나타내는 중요한 척도로 사용되고 있는 바, 유동발생액이 영업현금흐름으로 전환되는 비중이 낮고 그 편차가 크다는 것은 그만큼 감사위험이 높다는 것을 의미한다. 따라서 발생액의 질이낮을 때 감사인은 목표 감사위험을 낮추기 위해 입증감사의 범위를 확대할 것이고 이는 감사투입시간 및 감사보수의 증가를 가져올 것으로 예상된다. 본 연구에서 발생액의 질은 영업현금흐름으로 연결되지 못한 유동발생액의 잔차의 절대값과 표준편차, 두 가지 방식으로 측정하였다. 본 연구는 유가증권시장 및 코스닥시장상장기업 중 2000년부터 2008년까지의 기간에 감사시간(감사보수) 정보를 공시한 9,116개(10,768개)의 기업-연도 자료를 분석에 이용하였다. 실증분석 결과 발생액의 질이 낮을수록 불확실성과 내재적 위험이 증가하기 때문에 감사인은 보다 많은 감사시간을 투입하게 되고 그에 대한 대가로 더 높은 감사보수를 받는 것으로 나타났다. 또한 본질적 발생액의 질(innate accruals quality)과 재량적 발생액의 질(discretionary accruals quality)이 모두 감사시간 및 감사보수에 유의한 영향을 미치나, 그 효과는 본질적 발생액의 질에서 더 높게 나타났다. 이는 본질적 발생액이 정보위험이 큰 근본적인 불확실성을 반영하기 때문에 감사인이 더 적극적인 대응을 하는 것으로 보인다. 한편 선행연구결과와 달리 총발생액과 재량적 발생액의 크기는 감사시간 및 감사보수에 유의한 영향을 미치지 못 하는 것으로 나타났다. 이러한 결과는 감사인이 감사위험을 평가함에 있어 발생액의 크기보다는 발생액의 질을 훨씬 더 중요하게 고려한다는 것을 의미한다. We investigate whether auditors take into account accruals quality, a proxy for the information risk associated with earnings. Our study is motivated by recent theoretical research that shows that information risk is a non-diversifiable risk factor. By information risk, we mean the likelihood that firm-specific information that is pertinent to investor pricing decisions is of poor quality. We assume that cash flow is the primitive element that investors price and identify accruals quality as the measure of information risk associated with earnings. That is, accruals quality tells investors about the mapping of accounting earnings into cash flows. Relatively poor accruals quality weakens this mapping and, therefore, increases information risk. The notion of accruals quality is first introduced by Francis et al. (2005). They investigate the relation between accruals quality and the costs of debt and equity capital. They find that firms with poor accruals quality have higher costs of capital than do firms with good accruals quality. In addition, they document that accruals that reflect economic fundamentals (innate accruals) and accruals that represent managerial choices (discretionary accruals) have different cost of capital effects. Management biases, subjective judgments contained in accruals may mislead financial statement users to make poor decisions. Thus, they implicitly expect that external auditors, who are independent and professional, play a role of taking out intentional errors or fraud contained in accruals. Thus, in order to confirm the social role of audit, it is critical to examine whether auditors, in fact, assess the accruals quality and utilize this assessment in making audit plans and implementing audits. We expect that auditors have incentives and abilities to assess the quality of accruals by adjusting audit procedures and substantive tests. Accruals quality can be viewed as a barometer of the likelihood that fraud or errors occur. The less likely accruals are to be converted into operating cash flows and/or the greater the conversion of accruals into operating cash flows are, the higher audit risk auditors face. In this case, auditors professionally respond to the information risk by making more audit effort and requiring higher audit fees. The uncertainty of future cash flows when the source of accruals is from innate accruals is greater than the uncertainty when the source of accruals is from discretionary accruals. Thus, auditors will respond to the greater information risk by spending more audit hours and demanding higher audit fees. We measure accruals quality (AQ) as the absolute value of residuals and the standard deviation of residuals from regressions relating current accruals to cash flows. The results of empirical tests show that there is a negative relation between accruals quality and audit hours/fees, indicating that poorer AQ is associated with larger audit hours and audit fees. This suggests that auditors adjust their audit effort and demand higher compensation for higher information risk. We also distinguish between accruals quality driven by economic fundamentals (innate AQ) versus management choices (discretionary AQ). Both components have significant effects on audit hours and audit fees, but innate AQ effects are significantly larger than discretionary AQ effects. This result implies that auditors` professional response varies with the source of accruals quality. We believe these results have implications for assessments of reporting quality. First, we provide systematic evidence that reporting quality as captured by accruals quality is salient for investors. We provide evidence that reporting quality matters. Second, our results contradict an implicit assumption that reporting quality is largely determined by management`s short-term reporting choices. Our results suggest that in broad samples, over long periods, reporting quality is substantially more affected by management`s long-term strategic decisions that affect intrinsic factors. Third, auditors professional respond to the information risk for each audit engagement, indicating that they play a monitoring role to reduce the information risk associated with the accruals quality.

발생액의 질이 기업신용등급 및 타인자본비용에미치는 영향 -본질적 및 재량적 발생액의 질을 중심으로-

박종일,정상민 한국세무학회 2018 세무와 회계저널 Vol.19 No.4

This study investigate whether credit rating agencies and debtholders take into account accruals quality (hereafter, AQ), a proxy for the information risk associated with earnings quality. Also, this paper distinguishes accruals quality driven by economic fundamentals (innate AQ) versus management discretion (discretionary AQ) following Francis et al. (2005) and investigates whether accruals quality affect credit rating and cost of debt differently depending on the source of AQ. Accruals quality (AQ) is measured by the extent to which total current accruals accurately map into operating cash flow realizations. This approach was originally developed by Dechow and Dichev (2002) and modified by McNichols (2002). That is, accruals quality tells investors about the mapping of accounting earnings into cash flows. Relatively poor accruals quality weakens this mapping and, therefore, increases information risk. Therefore, measuring accruals quality (AQ) as the standard deviation of residuals from regressions relating current accruals to cash flows, this paper expected that poorer AQ is associated with lower credit rating and larger costs of debt. For the analysis, this paper measure credit rating information comes from KISVALUE. The corporate credit ratings have from 1 point to 10 points. 10 point represents firms with the best credit rank and 1 points represents firms with the worst credit rank (Park and Nam 2010). Following the prior studies (e.g., Park and Kim 2013;Park and Yoon 2013 etc.), this paper employ the average interest rates and the yield spread of interest rates as proxies for the cost of debt. Also, following Francis et al. (2005) to estimate AQ and its both components (innate AQ vs. discretionary AQ) as a proxy of earnings quality. This paper examine all listed firms (KOSPI and KOSDAQ listed firms) in the Korean stock market with available corporate credit ratings and cost of debt. Therefore, this study uses the total 15,090 firm-year observations for the period from 2003 to 2015. The empirical findings of this paper are following. First, after controlling for several factors that affect credit rating and cost of debt, there are a statistically significantly negative association between credit rating and AQ, and also significantly positive association between cost of debt and AQ at 1% level respectively. This results show that the relatively poor accruals quality pricing effect are related to information risk associated with earnings. Second, this paper also distinguish between total accruals quality driven by economic fundamentals (innate AQ) versus management choices (discretionary AQ), find that both components have significant effects on credit rating and cost of debt respectively, but innate AQ effects are significantly larger than discretionary AQ effects. This result implies that both credit rating agencies and debtholders’ response varies with the source of accruals quality. This study is different in that we examine direct relation between credit rating and cost of debt and information risk measured as accruals quality, as well as the innate and discretionary components of accruals quality using Korean data. Overall. the results of this study suggest that the credit rating agencies and creditors appreciate accruals quality and its components in listed firms. Thus, the findings of this study contribute to the related literature on the relationship between accruals quality and market reaction by providing empirical results. Also, this study contributes to provide useful information related to accruals quality, a proxy for the information risk associated with earnings quality to scholars as well as practitioners, investors, and regulators. Furthermore, researchers who are interested in this area can also apply the discussion in this paper for the related studies. 본 연구는 발생액의 질이 기업신용등급과 타인자본비용에 어떤 영향을 미치는지 실증적으로 분석하고, 또한 발생액의 질의 원천에 따라 살펴본다. 그리고 본질적 또는 재량적 발생액의 질 중에서 어떤 정보위험이 상대적으로 더 중요하게 기업신용등급이나 타인자본비용에 반영되는지 알아보았다. 이를 위해 본 연구는 Francis et al.(2005, 이하 FLOS)의 방법에 따라 발생액의 질을 추정하였다. 2003년부터 2015년까지의 기간에 대해 표본은 상장기업을 대상으로 분석하였다. 실증결과는 첫째, 종속변수에 영향을 미치는 통제변수를 고려한 후에도 발생액의 질이 낮을수록유의하게 기업신용등급이 낮고, 타인자본비용은 높게 나타났다. 이 결과는 발생액의 질이 낮을수록미래 현금흐름과 관련한 정보의 불확실성이 높기 때문에 신용평가기관이나 채권투자자 모두 이들기업에 패널티를 부과한다는 것을 나타낸다. 둘째, 발생액의 질을 그 원천에 따라 재량적 발생액의질과 본질적 발생액의 질로 나누어 분석한 경우에도 앞서와 일치된 결과로 나타났다. 이는 원천에상관없이 발생액의 질이 낮을 때 정보위험의 증가로 시장반응이 부정적임을 나타낸다. 셋째, 본질적 발생액의 질이 기업신용등급이나 타인자본비용에 미치는 효과는 재량적 발생액의 질의 경우보다 상대적으로 더 큰 것으로 나타났다. 이는 경영자의 재량이 포함된 발생액의 질보다는 사업의 불확실성으로 인한 발생액의 질이 낮은 경우에 보다 민감하게 반응한 결과로서 투자자 및 감사인 측면에서 살펴본 선행연구와 일치한다. 이상의 본 연구결과는 발생액의 질과 그 원천 모두 신용평가기관 및 채권투자자에게 이익의 질과 관련한 정보위험으로서 중요한 요소임을 보여주었다는 데 의미가 있다. 따라서 본 연구의 발견은 학계의 관련연구에 추가적이고 보완적인 증거를 제공하며, 또한 실무계, 투자자 및 규제당국에게도 발생액의 질이 낮을 때 기업평가에 전문성이 있는 신용평가기관이나 채권투자자들은 어떻게반응하는지와 관련한 전반적인 이해에 시사점을 제공한다.