신용등급이 타인자본비용에 미치는 추가적인 정보가치 -비상장기업을 중심으로-

박종일 한국세무학회 2011 세무와 회계저널 Vol.12 No.2

본 논문은 주식시장이 부재한 비상장기업을 대상으로 신용등급이 좋은 기업일수록 기업의 타인 자본비용이 하향조정되는가를 규명하는데 목적이 있다. 특히 타인자본비용에 영향을 미칠 수 있는 기본적인 재무정보 및 기업특성변수를 통제한 후에도 신용등급 정보가 타인자본비용에 추가적인 정보효과(incremental informational value)를 가지고 있는가를 분석하고자 한다. 비상장시장의 채권자들이 회계정보의 질을 반영하는 것 외에도 신용평가기관이 산출하는 신용등급을 고려한 대출 의사결정이 수행되고 있는지에 대해서는 국내외로 잘 알려진 바가 없다. 따라서 본 연구에서는 재무정보나 기업특성을 고려한 후에도 신용정보(credit information)가 추가적인 정보가치가 있는가를 비상장기업의 부채조달비용 관점에서 검증하고자 한다. 본 연구의 가설은 신용평가기관이 공시하는 신용등급 정보에는 기업관련 비공개된 정보까지 정보로서 반영되어 산출된다는 점에서 재무정보(financial information)와는 다른 정보를 내포하고 있을 것으로 기대되며, 그러한 점에서 타인자본비용에 영향을 미칠 수 있는 재무정보 및 기업특성 변수를 고려한 후에도 신용정보는 타인자본 비용에 추가적 정보력을 가질 것으로 기대하였다. 특히 신용등급과 비상장기업의 타인자본비용간에는 역의 관계가 성립할 것으로 예상하였다. 이러한 검증가능한 의문사항을 알아보기 위하여 본 연구는 타인자본비용의 대용치로 부채차입이 자율과 차입이자율 스프레드를 이용하였고, 신용등급은 NICE신용평가정보(주)에서 공시된 기업신용등급 자료를 이용하였다. 또한 타인자본비용의 측정방법도 연속변수와 소수의 순위등급변수인 경우로 나누어 비교분석을 수행하였다. 분석기간은 2004년부터 2009년까지 6년간이며, 표본은 충분한 자료인 46,616개 기업/연 자료가 이용되었다. 연구결과에 따르면, 타인자본비용에 영향을 미칠 수 있는 재무정보나 기업특성을 통제한 후에도 신용등급이 좋은 기업일수록 타인자본비용(부채차입이자율 및 차입이자율 스프레드)은 1% 이내의 수준에서 유의하게 감소된 결과로 나타났다. 이러한 결과는 종속변수를 연속변수로 측정하거나 소수의 순위등급변수로 측정한 경우와 상관없이, 그리고 OLS 결과뿐 아니라 이분산성 및 횡단면-시계열적 종속성 문제를 통제한 후 t 통계치를 제공하는 Newey and West(1987) 검증결과 모두에서 일관성 있게 강건한 것으로 나타났다. 이상의 결과로 볼 때, 비상장시장에서 기업신용정보는 채권자들의 대출의사결정시에 기업의 재무정보나 기업특성 외에도 중요한 정보원으로 활용되고 있음을 시사한다. 국내외로 비상장기업을 대상으로 한 연구가 미미한 실정에서 비상장기업들을 대상으로 타인자본비용의 결정모형에서 재무 정보나 기업특성 변수 외에 신용평가기관의 신용정보가 중요하게 채권자들의 정보원으로 이용되고 있음을 보여주고 있다는 점에서 본 연구는 의의가 있다. 본 연구의 결과는 비상장시장 특히 채권시장에서 채권자들의 대출의사결정과정을 파악하고 이해하는데 있어 도움이 되며, 그러한 맥락에서 학계 및 규제기관에게도 유익한 정보를 제공해 줄 것으로 기대된다. The purpose of this paper is to investigate the effect of credit rating on cost of debt in non-listed firms. A firm’s credit rating reflects a rating agency’s opinion of an entity’s overall creditworthiness and its capacity to satisfy its financial obligations. The principal research issue addressed in this study is the nature of the interrelations between cost of debt, credit ratings, and financial information with particular focus on the role of credit ratings. But the nature of the interrelationships between credit ratings, cost of debt, and financial information has not been fully resolved by previous research. Resolution of these interrelationships is important both as a contribution to the body of accounting research on the properties of accounting numbers and in a practical sense. The importance of credit ratings continues to rise with the globalization of capital markets and the increased use of credit ratings in financial regulation and contracting (Frost 2007). Despite the vital role that credit ratings play in capital markets, relatively little is known about the information used by credit analysts in making rating recommendations. Credit ratings supply a signal about the firms’ default risk. Credit ratings and cost of debt are negatively correlated ; In other words, higher yields are required by debtholders to compensate for the risk of investing in lower-rated (high default-risk). This correlation does not imply causation, however, since credit ratings and cost of debt could be determined by a third factor: concurrent publicly available information. Recent research discussed indicates that both credit ratings and financial information may have independent effects on cost of debt. The research design used in this study provides evidence on the issue of whether credit ratings directly determine the cost of debt, whether financial information directly determines the cost of debt, and whether financial information affects the cost of debt indirectly through determining credit ratings. To do this, this paper use credit ratings from KIS-Value Ⅲ. Initially, 1 point represents firms with the best credit rank and 10 point represents firms with the worst credit rank. However, for the purpose of interpretation, remark credit rank oppositely. That is, 1 point represents firms with the worst credit rank and 10 point represents firms with the best credit rank. For a dependent variable, cost of debt are borrowing’s interests rates and borrowing’s yield spread. The borrowing yield spread is calculated as deducting a 3-year treasury bond from loan interest rate. Observations of this paper are 46,616 firm-year in non-listed companies which are not listed in Korea security market from 2004 to 2009. Findings of this paper are following, firms received a good credit rating after controlling for other financial variables and firms characteristics that affect negatively the cost of debt (borrowing’s interests rates and borrowing’s yield spread). These results are still hold even after appling a fractional ranks variable rather than a continuous variable as a dependent variable. And also t-statistics from Newey and West (1987) are significant, suggesting that this results are robust. This study primary analysis documents that firms’ credit ratings affects the cost of debt. Therefore, these findings of this study are very useful and provide a lot of important implications to regulators, investors and creditors that are interested in cost of debt. Academics can also apply the discussion in this paper for related researches.

사적부채가 원가하방경직성에 미치는 영향

유혜영,채수준 한국회계정보학회 2014 회계정보연구 Vol.32 No.4

This research studied whether or not cost stickiness is distinguishedly shown depending on the percentage of private debt among total debt, which is someone else's capital. A manager who wants to maximize his utility has the tendency to grow the appearance of the company beyond the optimal size or possess unused resource, and causes cost stickiness by possessing surplus resources even when sales go down. Previous studies have proven how the control system to ease the deputy problem influences cost stickiness. In this research, we extend those previous studies and considered private debt as an observer of the deputy problem. The higher the percentage of private debt which has excellent observing efficiency, the more restricted the manager's opportunistic incentive due to decrease in cost of deputy. Individual creditors of public debt have insufficient capability to burden the cost of observing the management. Also, the benefit of increasing company value by actively monitoring the management has a strong characteristic of public good, so it is difficult to expect active observing from many investors to enhance company value. On the other hand, the creditors of private debt including the financial world has the ability to burden the cost of observing the manager , and because the amount invested is large, they have the incentive to actively monitor the manager. Therefore, we expected the cost stickiness to ease as the percentage of private debt goes higher. As a result of examining the company-year sample of 2,914 firms that went public on the Korea Exchange from 2003 to 2010, it was shown that the higher the percentage of private debt over total debt, the more relaxed the cost stickiness is. This means that according to the mechanism of bilateral contract, the creditors of private debt observe the decision making of the manager more efficiently that the creditors of public debt. As an additional analysis, we studied how the percentage of financial institution debt, which is loan from banks, influences cost stickiness. As a result, the higher the percentage of financial institution debt among private debt, the more relaxed the cost stickiness becomes. This confirmed that among private debts, financial institutions conduct monitoring efficiently. This study extends previous research on the relationship between control structure and cost behavior, and investigated the influence of private debt on cost stickiness. We refocused on the observing efficiency in the contract structure for each debt, and this study has significance in that it showed how the deputy cost is reduced by that characteristic and the manager's opportunistic incentive is restricted. 본 연구는 타인자본인 부채 중 사적부채의 비중에 따라 원가의 하방경직성이 차별적으로 나타나는지 살펴보았다. 자신의 효용을 극대화하려는 경영자는 최적 규모 이상으로 기업의 외형을 성장시키거나 유휴자원을 보유하려는 유인이 있으며, 매출액이 감소하는 경우에도 잉여자원을 보유함으로써 원가의 하방경직성을 야기한다. 선행연구에서는 대리인 문제를 완화시키기 위한 통제시스템이 원가의 하방경직성에 어떠한 영향을 미치는가에 대해 검증해왔다. 본 연구에서는 선행연구를 확장하여, 대리인 문제에 대한 감시자로서 사적부채를 고려하였다. 감시효율성이 뛰어난 사적부채의 비중이 높을수록, 대리인 비용이 감소하여 경영자의 기회주의적 유인이 제한될 것이다. 공적부채의 개인 채권자들은 경영진을 감시하는 데 소요되는 비용을 부담할 수 있는 능력이 부족하다. 또한 경영진을 적극적으로 감시하여 기업가치가 증가되는 혜택은 공공재적 성격이 강하기 때문에, 다수의 투자자가 기업 가치를 높이기 위해 적극적인 감시역할을 수행하는 것은 기대하기 어렵다. 반면, 금융권을 비롯한 사적부채의 채권자는 경영자를 감시하는 데 소요되는 비용을 부담할 수 있는 능력이 있으며, 투자금액이 크기 때문에 경영자를 적극적으로 감시할 유인을 갖고 있다. 따라서 사적부채의 비중이 높을수록 원가하방경직성이 완화될 것으로 예상하였다. 한국증권거래소에 상장된 2003년부터 2010년까지의 2,914개 기업-연도 표본을 대상으로 검증한 결과, 총부채 대비 사적부채가 차지하는 비중이 높을수록 원가의 하방경직성이 완화되는 것으로 나타났다. 이는 쌍무적 계약의 메커니즘 상 사적부채의 채권자들이 공적부채의 채권자들에 비해 경영자의 의사결정을 효율적으로 감시한다는 것을 의미한다. 추가분석으로는 사적부채 중 은행 등으로부터의 차입금인 금융기관부채가 차지하는 비중이 원가하방경직성에 어떠한 영향을 미치는가에 대해 검증하였다. 검증결과, 사적부채 중 금융기관부채의 비율이 높을수록 하방경직성이 완화되는 것으로 나타나 사적부채 중에서도 금융기관이 효율적으로 모니터링을 수행하고 있음을 확인하였다. 본 연구는 통제구조와 원가행태 간의 관계에 대한 선행연구들을 확장하여, 사적부채가 원가의 하방경직성에 미치는 영향을 살펴보았다. 부채별 계약구조상의 감시효율성을 재조명하고, 그 특성에 따라 대리인 비용이 감소하여 경영자의 기회주의적 유인이 제한됨을 밝혀냈다는 점에서 그 의의를 지닌다.

특수관계자 거래가 타인자본비용에 미치는 영향

전성일,배창현 한국회계학회 2015 회계저널 Vol.24 No.3

This study examines the effect of related party transaction on the cost of debt. Related party transactions are expected to have high risk premium resulting in high cost of debt. Cost of debt is defined as borrowing rates calculated by using financial statements and credit ratings provided by the credit rating agency. In addition, this study investigates the effect of the firm's monitoring system such as foreign investors, big audit firms on the relationship between related party transaction and cost of debt. If foreign investor and big audit firms efficiently play a role in monitoring, they will monitor(reduce) related party transaction. Related party transactions are easy to adjust business condition because of discrepancy of influence caused by a related party. So, related party transactions will be used as a way of earnings management. Therefore regulators request firms to disclose related party transactions on financial statement footnotes. In fact, it has not been recorded in detail. According to the prior studies, related party transactions would worse earnings quality because related party transactions are used as a way of earnings management(Kim and Woo 2008, 2009). Furthermore, Managers pursue private profits through related party transactions. In case of highly related party transactions, auditor spends more time and effort in audit procedure to reduce audit risk(Woo and Lee 2010). That is, the more related party transactions are, the information asymmetry(information risk) is greater. Companies with low disclosure quality shown to increase cost of debt. The sample is composed of firms listed on the Korea Stock Exchange from 2003 to 2010. The sample is composed of non-financial firms that satisfy all of the following criteria are selected: (1) fiscal-year ending December 31, (2) availability of related party transaction from TS2000 Database, (3) availability of financial statement KIS-Value database. Also, we use credit rating as a proxy for cost of debt. For additional analysis, this study obtain data on credit rating by searching through KIS-Value database. This study draw these credit ratings such that the best rating corresponds with 1 and the worst rating with 10 to conduct our empirical analysis. Finally, 3,698 firm-year observations are used in the empirical analysis. To test hypothesis of the effect of related party transaction on the cost of debt, this study carry out ordinary least squares(OLS) regressions and ordered logit(OL) regression analysis. The empirical findings are summarized as follows. First, the related party transaction positively influences the cost of debt(or credit rating). This result means that related party transaction increase the cost of debt by enlarging information asymmetry between managers and investors. Thus, investors may require higher risk premium on the firms with many transactions to the related-party. Second, foreign investors positively affect the relationship between related party transaction and the cost of debt. Consistent with prior studies(Paek and Cho 2006; Kim and Woo 2008), this result suggests that foreign investors are not concerned about earnings management. Third, the size of audit firms is positively related to the relationship between related party transaction and the cost of debt. This result means that big audit firms are considered as less concerned about arbitrary earnings management, related party transactions are negatively evaluated by investors. In addition, we separate the sample 3,698 firm-year into tunneling(N=1,732) and propping(N=1,966). It is measured by the difference related party transaction(purchases+other losses) and related party transactions(sales+other gains). If the difference is greater(lower) than 0, it is tunneling(propping). In case of tunneling group, the related party transaction positively influences the cost of debt. This result indicates that related party transaction increase cost of debt by increasing risk premium(infor... 본 연구는 2003년부터 2010년까지의 기간동안 기업의 특수관계자 거래가 자본시장에 미치는 영향에 대해 타인자본비용을 통해 검증하였다. 타인자본비용의 측정치로는 재무제표를 이용하여 측정된 부채이자비용과 신용평가기관이 제공하는 신용등급을 사용하였으며, 신용등급 분석의 경우 회귀분석과 순위로짓분석을 각각 실시하였다. 분석결과는 다음과 같다. 첫째, 특수관계자 거래는 타인자본비용에 유의적인 양(+)의 영향을 미치는 것으로 나타났다. 이러한 결과는 특수관계자 거래가 많을수록 경영자와 외부이해관계자 사이에 정보비대칭이 증가할 수 있기 때문에 상대적으로 높은 위험 프리미엄이 반영되어 타인자본비용이 증가한 것으로 해석할 수 있다. 둘째, 외국인투자자 비율이 높은 기업의 경우 특수관계자 거래가 커질수록 타인자본비용은 증가하는 것으로 나타났다. 셋째, 감사인규모가 큰 기업의 경우 특수관계자 거래가 증가할수록 타인자본비용은 커지는 것으로 나타났다. 이는 외국인투자자와 대형회계법인의 경우, 경영자의 자의성을 감소시키지 못할 수 있기 때문에 특수관계자 거래가 증가할수록 자본시장에서는 이를 보다 부정적인 평가를 하는 것으로 살펴볼 수 있다. 본 연구의 결과는 특수관계자 거래를 빈번하게 행하고 있는 기업에 대한 하나의 유용한 투자정보로서 활용될 수 있을 것이며, 기업 입장에서는 특수관계자 거래에 대한 정보비대칭을 감소시키려는 노력이 필요함을 제시하고 있다.

비상장기업에서 재량적 발생조정이 회계이익과 타인자본비용 사이의 관련성에 미치는 영향

박종일,박찬웅 한국세무학회 2011 세무와 회계저널 Vol.12 No.3

본 논문은 비상장기업을 대상으로 재량적 발생액 수준이 이익과 부채조달비용(타인자본비용)간의 관계에 어떠한 영향을 미치는가를 규명하는데 목적이 있다. 기존 연구들은 재량적 발생액에 따라 이익과 주식수익률간의 관계에 차이가 있는가를 상장기업을 대상으로 분석하였다(최종서 1998). 그에 반해 본 연구는 이전 연구들에서 미약하게 다루어졌던 비상장기업을 중심으로, 또한 기업의 자본비용 관점에서 경영자의 이익조정 수단이 이익의 질에 어떠한 영향을 미치고 있는가를 분석한다는 점에서 차이가 있다. 본 연구는 재량적 발생액을 통한 이익조정을 과도하게 수행한 기업의 경우에 이익과 타인자본비용간 음(-)의 관계가 약화될 것으로 기대하였다. 이를 검증하기 위하여 본 연구는 타인자본비용의 측정치로 부채차입이자율 스프레드 및 차입이자율을 이용하여 분석했으며, 또한 측정상에 연속변수 외에도 소수의 순위등급변수를 병행하여 비교분석을 하였다. 그리고 재량적 발생액은 측정오차를 최소화하기 위하여 Kothari et al.(2005)의 방법에 따라 측정하였다. 분석기간은 2005년부터 2009년까지 이용가능 했던 35,579개 기업/연의 대표본 자료가 사용되었다. 실증분석 결과는 다음과 같다. 일반적인 기대와 같이 이익은 부채조달비용과 유의한 음(-)의 관계를, 재량적 발생액 수준과 부채조달비용 간에는 유의한 양(+)의 관계가 나타났다. 그리고 본 연구의 관심변수인 이익과 재량적 발생액 수준 간의 상호작용변수도 부채조달비용과는 유의한 양(+)의 관계를 보여주었는데, 이는 이익과 부채조달비용간에 음(-)의 관계가 재량적 발생액이 높을수록 그렇지 않은 경우보다 약화됨을 의미한다. 이상의 결과들은 1% 이내에서 유의한 결과였다. 즉 보고된 이익 수준이 높아도 과도한 재량적 발생액을 통해 이익이 증가된 기업(이익의 질이 낮은 기업)은 채권자들에게 미래 현금흐름 추정의 불확실성에 따른 정보위험이 증가되므로, 당해 기업이 부담해야 하는 부채조달비용이 더 늘어난다는 결과이다. 이러한 결과들은 OLS 회귀분석뿐만 아니라 군집성을 통제한 Clustering검증이나 이분산성 및 횡단면-시계열적 종속성 문제를 조정한 Newey and West(1987)의 검증결과 역시 강건성이 있게 나타났다. 본 연구의 이러한 발견은 비상장기업의 경우에도 재량적 발생액을 통한 과도한 이익조정행위는 보고이익의 질을 낮추고 회계정보의 신뢰성을 저하시킬 수 있다는 점에서 시장에서 부정적 효과를 가져와 발생주의회계가 가질 수 있는 순기능 역할보다 역기능적 측면의 결과임을 시사해준다. 또한 이러한 결과는 발생액을 통한 과도한 공격적인 이익조정에 대해 채권자들은 경영자의 사적정보의 전달수단으로 평가하기 보다는 경영자 자신의 효용을 극대화하기 위해서 사적이익 추구에 대한 기회주의적 수단으로 인지되고 있음을 나타내주는 결과로서 Schipper(1989)와 Healy and Wahlen(1999)의 주장과도 일치된 결과였다. 본 연구의 실증적 증거는 비상장기업에 대한 연구가 미미한 상황에서, 또한 상장기업의 관련연구에도 추가적 공헌점을 제공하는데 일조할 것으로 기대되며, 더 나아가 본 연구는 시장의 효율성 측면을 동시에 검증하는 결합가설이라는 측면에서 비상장기업과 관련한 정책결정자들에게도 유익한 시사점을 제공해 줄 것으로 예상된다. This paper investigates the effect of discretionary accruals on the association between earnings and cost of debt in non-listed firms. Private Korean companies rely heavily on bank financing. The majority of short-and long-term debt and interest expenses reported in a private Korean company's financial statements represents the amount of borrowings from commercial banks and other private lenders and associated interest expenses, respectively. Thus, managers have incentives to manipulate earnings in order to reduce their firm's cost of debt. Previous research documents that the information risk of creditors is higher for poorer accounting quality on the firms (Francis et al. 2005 ; Bharath et al. 2008). Opportunistic earnings management makes a firm's financial reports to be of low quality as they impair current earnings' ability to reflect the true underly firm performance. Therefore, we test whether the negative association between earnings and cost of debt is attenuated in a firm with higher levels of discretionary accruals. Especially, our test focus on private firms than on public firms because the cost of debt plays an more important role in their capital structure than the cost of equity. We use two proxies for a firm's cost of debt : borrowing's interest rate and yield spread. As in other studies, we use an discretionary accruals as our proxy for the outcome of opportunistic earnings management is measured using performance-adjusted discretionary accruals in Kothari et al. (2005). The Sample used in the study are 35,579 firm-years observations not listed on the Korean Securities Exchange during the 2005-2009 period. The results of this study are summarized as follows. We find that there is a negative relation between earnings and cost of debt, and a positive relation between discretionary accruals and cost of debt. We also provide evidence that the intersection term of earnings and discretionary accruals is positively related to cost of debt, which means that the negative association between earnings and cost of debt is attenuated in a firm with higher levels of discretionary accruals. These empirical results suggest that the aggressive earnings management in private firms makes creditors to bear higher information risk and leads to the increased cost of debt. This is, the results of this paper suggest that the relationship between earnings and cost of debt varies depending on earnings quality. These results are still hold even after applying a fractional ranks variable rather than a continuous variable as a dependent variable. And also t-statistics from Newey and West (1987) and Clustering test are significant, suggesting that our results are robust. Therefore, we conclude the aggressive earnings management by discretionary accruals lowers the quality of reported earnings and then the reliability of accrual accounting information is reduced. Thus, these findings are very useful and provide a lot of important implications to regulators, investors and creditors that are interested in cost of debt.

외환위기 전후의 한계세율을 이용한 부채사용의 순세금효과 추정과 자본구조분석

고종권 ( Jong Kwon Ko ),이윤경 ( Yun Kyeong Lee ) 한국회계학회 2013 회계학연구 Vol.38 No.3

본 연구는 추정한계세율을 이용하여 부채의 한계효용곡선을 추정하고, van Binsbergen et al.(2010)의 방법론을 이용하여 부채의 한계비용을 추정함으로써 개별기업의 부채조달에 따른 순세금효과를 계산하고 균형부채조달 여부를 분석하였다. 외환위기 이후 부채사용이 감소하고 채무불이행 위험이 증가한다는 연구결과를 기초로 하여 부채의 한계효용과 한계비용 분석은 외환위기 이전과 이후로 구분하여 분석을 진행하였다. 유가증권 상장기업의 1991년 이후의 재무자료를 이용하여 부채수준 IOB(이자비용/총자산)의 변화에 따른 한계효용과 한계비용을 분석한 결과, 외환위기 이전과 이후 기간의 실제부채수준은 각각 0.047과 0.017로 외환위기 이후 부채수준이 약 36% 수준으로 감소한 것으로 나타났다. 외환위기 이전에는 실제부채수준 100%에서의 한계효용과 한계비용은 각각 0.232와 0.265로 한계비용이 높은 반면, 실제부채수준 80%에서의 한계효용과 한계비용은 각각 0.259와 0.232로 한계효용이 높게 나타나 한계효용과 한계비용이 일치하는 균형부채수준은 실제부채수준의 80%∼100% 수준인 것으로 나타났다. 따라서 외환위기 이전에는 개별기업들이 평균적으로 균형수준보다 과대하게 부채를 사용한 것으로 나타났다. 반면 외환위기 이후 기간에는 실제부채수준 100%의 한계효용과 한계비용은 각각 0.201과 0.205로 유사하게 나타나 평균적으로 균형수준에서 부채를 사용한 것으로 나타났다. 외환위기 이전에는 균형부채수준에서의 총효용과 총비용은 각각 기업가치의 8.4%와 5.0%로 순세금효과는 3.4% 수준인 반면 실제부채수준의 총효용과 총비용은 각각 기업가치의 8.9%와 6.3%로 순세금효과는 2.6% 수준으로 나타났다. 그리고 외환위기 이후 기간에는 균형부채수준의 총효용과 총비용은 각각 기업가치의 6.1%와 4.2%로 순세금효과는 1.9% 수준인 반면 실제부채수준의 총효용과 총비용은 각각 기업가치의 5.4%와 4.5%로 순세금효과는 0.9% 수준으로 나타났다. 따라서 균형 및 실제부채수준의 순세금효과는 외환위기 이전에 비해 이후기간에 감소하는 것으로 나타났다. 그 이유는 법인세율 인하에 따라 부채사용에 따른 한계효용이 감소한 반면 한계비용은 증가하였을 뿐만 아니라, 전반적으로 부채를 보수적으로 사용함에 따라 부채수준이 감소하면서 총효용이 총비용에 비해 큰 폭으로 감소한데 따른 결과이다. 분석기간 중 부채를 과소 사용하는 경우의 후생손실(dead weight loss)은 평균적으로 총자산의 0.8%인 반면 과대 사용하는 경우의 후생손실은 총자산의 1.3%로 나타났다. 그리고 외환위기 이전에 비해 이후에는 한계효용의 감소와 한계비용의 증가에도 불구하고 부채수준이 큰 폭으로 감소하여 부채의 과소 또는 과대 사용에 따른 후생손실은 크게 변화하지 않는 것으로 나타났다. 본 연구는 한계효용곡선과 한계비용함수를 이용하여 개별 기업 차원의 균형부채수준을 분석하는 틀을 제시하였다는 점에 연구의 의의가 있다. 한계효용곡선과 한계비용함수를 이용하면 실제부채수준 뿐만 아니라 균형부채수준에서 부채를 조달함에 따른 세금효과를 개별 기업 차원에서 직접 추정할 수 있으므로 자본구조에서 오랫동안 논의되어 왔던 균형(적정) 자본구조의 연구에도 추가적인 공헌점을 제공한 것으로 판단된다. 외환위기 이후 국내 기업들의 부채정책 변화와 이와 같은 현상을 설명하는 요인이라는 점을 밝히고 있는 것도 본 연구의 공헌점이라고 하겠다. The main purpose of this paper is to investigate firm-specific equilibrium debt level by estimating firm-specific benefit and cost functions of debt. The equilibrium debt level occurs at the intersection of these benefit and cost functions. The benefit functions of debt are estimated using simulated marginal tax rates and are downward sloping reflecting that the marginal benefit of debt declines as more debt is used. To estimate cost function of debt, we observe a firm`s actual debt choice which is represented by a single point on its benefit function, and assume for our estimation sample that this point represents the equilibrium intersection of the marginal benefit and cost functions of debt. As the benefit functions move, the shift in the intersection points allows us to identify the location of the cost functions of debt. That is, the cost functions are estimated using exogenous variation in benefit functions and are upward sloping reflecting the marginal costs that occur as a firm increases its use of debt. To interpret firms` actual debt level as representing the intersection of marginal benefit and cost curves, we use financially unconstrained and financially undistressed firms as our estimation sample. In order to identify the marginal cost function, we need to assume that all of the variation in debt level occurs due to benefit function shifts while the cost function remains fixed in one place. By using instrumental variable that proxy for benefit shifts and that are uncorrelated with cost shifts, we can identify the cost curve. In this paper, we use annual corporate top tax rates as our identifying instrument. We use 2 stage least square method and instrument variable to estimate cost functions of debt. The location of the cost functions varies with firm characteristics such as asset collateral, firm size, book-to-market ratio, profitability, dividend dummy, financial distress, profitability, and earnings volatility. We use the estimated coefficient from cost functions to compute a cost of debt for any firm. These estimated marginal cost functions should capture all possible ex ante costs of debt that managers trade off against tax benefit of debt as they choose their equilibrium capital structure. These costs includes financial distress costs, agency costs, and so on. We use these benefit and cost functions of debt to find out a firm-specific equilibrium level of debt that a firm should use. Firm-specific equilibrium capital structure occurs where the marginal benefit equals the marginal cost of debt. We also integrate the area between benefit and cost functions of debt to estimate the net tax benefit of debt financing, and similarly estimate the cost of deviating from the equilibrium. Prior research suggests that Korean firms seem to do not fully utilize the tax benefits of debt, particularly after the 1997 Asian financial crisis, however, considering that expected default costs offset the majority of the potential tax savings, Korean firms` conservative use of debt after the financial crisis period could indeed be a rational response to a new business environment. Based on this prior research, we analyse equilibrium level of debt and net tax benefit of debt by dividing the sample period before and after the financial crisis. We use two taxable income forecasting method, the well known random walk approach(Graham 2000) and nonparametric approach(Blouin et al. 2010), to estimate simulated marginal tax rates. Because the results are qualitatively similar, we use random walk approach as a main analysis. In our analysis, we use Korean listed firms with available Korea Investors Services (KIS)-Vaule data from 1991 to 2011. We restrict the sample to non-financial, non-utility firms and have a December year-end. Additionally, firm-years with missing financial data and firm-years which can not estimate marginal tax rates are excluded. We delete observations in which any continuous variable lies beyond the highest and lowest 1% of the distribution for that variable to control for outliers. These data requirements result in a sample of 8,728 firm-year observations which consist of 2,778 observations before the financial crisis(1991-1998) and 5,950 observations after the financial crisis(1999-2011). The result shows that observed debt level(we normalize interest expense over book asset) is 0.047 before the financial crisis and 0.017 after the financial crisis, resulting in only 36% after the financial crisis. Before the financial crisis, marginal benefit and marginal cost of debt on the observed debt level are estimated as 0.232 and 0.265 respectively which means Korean firms use more debt than equilibrium level of debt on average. Equilibrium debt level before the financial crisis is estimated to be 80%-100% of observed debt level. After the financial crisis, marginal benefit and marginal cost of debt on the observed debt level are estimated as 0.201 and 0.205 respectively which means on average Korean firms use debt in equilibrium level. By integrating the area between the benefit and cost functions, we estimate the observed and equilibrium net benefit of debt. Before the financial crisis, the equilibrium total benefit, total cost and net benefit are 8.4%, 5.0%, and 3.4% of total assets respectively, and the observed level of total benefit, total cost and net benefit are 8.9%, 6.3%, and 2.6% of total assets respectively. After the financial crisis, the equilibrium total benefit, total cost and net benefit are 6.1%, 4.2%, and 1.9% of total assets respectively, and the observed level of total benefit, total cost and net benefit are 5.4%, 4.5%, and 0.9% of total assets respectively. As a result, the observed and equilibrium net benefit of debt are reduced after the financial crisis. The reduced net tax benefit is mainly due to the decrease in marginal benefit resulting from corporate tax rates reduction and marginal cost increase in debt usage after the financial crisis. Also, due to conservative debt usage, decrease in total benefit of debt is more than offset the increase in total cost of debt after the financial crisis. Regardless of the period, the cost of being overlevered is asymmetrically higher than the cost of being underlevered. This paper contributes to the corporate capital structure study by providing an additional evidence of implementing firm-specific marginal cost function and thereby providing framework to recommend equilibrium level of debt. The framework to estimate benefit and cost functions of debt and to find out firm-specific equilibrium level of debt also can be helpful to explore and rebalance firm-specific optimal capital structure. The findings that Korean firms` conservatism in debt usage after the financial crisis period are mainly due to the decrease in marginal debt benefit resulting from corporate tax rates reduction and increase in marginal debt cost which represents various firm characteristics are helpful to understand debt policy in Korean firms.

연구논문 : 특수관계자 거래가 타인자본비용에 미치는 영향

전성일(제1저자) ( Seong Il Jeon ),배창현(교신저자) ( Changhyun Bae ) 한국회계학회 2015 회계저널 Vol.24 No.3

본 연구는 2003년부터 2010년까지의 기간동안 기업의 특수관계자 거래가 자본시장에 미치는 영향에 대해 타인자본비용을 통해 검증하였다. 타인자본비용의 측정치로는 재무제표를 이용하여 측정된 부채이자비용과 신용평가기관이 제공하는 신용등급을 사용하였으며, 신용등급 분석의 경우 회귀분석과 순위로짓분석을 각각 실시하였다. 분석결과는 다음과 같다. 첫째, 특수관계자 거래는 타인자본비용에 유의적인 양(+)의 영향을 미치는 것으로 나타났다. 이러한 결과는 특수관계자 거래가 많을수록 경영자와 외부이해관계자 사이에 정보비대칭이 증가할 수 있기 때문에 상대적으로 높은 위험 프리미엄이 반영되어 타인자본비용이 증가한 것으로 해석할 수 있다. 둘째, 외국인투자자 비율이 높은 기업의 경우 특수관계자 거래가 커질수록 타인자본비용은 증가하는 것으로 나타났다. 셋째, 감사인규모가 큰 기업의 경우 특수관계자 거래가 증가할수록 타인자본비용은 커지는 것으로 나타났다. 이는 외국인투자자와 대형회계법인의 경우, 경영자의 자의성을 감소시키지 못할 수 있기 때문에 특수관계자 거래가 증가할수록 자본시장에서는 이를 보다 부정적인 평가를 하는 것으로 살펴볼 수 있다. 본 연구의 결과는 특수관계자 거래를 빈번하게 행하고 있는 기업에 대한 하나의 유용한 투자정보로서 활용될 수 있을 것이며, 기업 입장에서는 특수관계자 거래에 대한 정보비대칭을 감소시키려는 노력이 필요함을 제시하고 있다. This study examines the effect of related party transaction on the cost of debt. Related party transactions are expected to have high risk premium resulting in high cost of debt. Cost of debt is defined as borrowing rates calculated by using financial statements and credit ratings provided by the credit rating agency. In addition, this study investigates the effect of the firm``s monitoring system such as foreign investors, big audit firms on the relationship between related party transaction and cost of debt. If foreign investor and big audit firms efficiently play a role in monitoring, they will monitor(reduce) related party transaction. Related party transactions are easy to adjust business condition because of discrepancy of influence caused by a related party. So, related party transactions will be used as a way of earnings management. Therefore regulators request firms to disclose related party transactions on financial statement footnotes. In fact, it has not been recorded in detail. According to the prior studies, related party transactions would worse earnings quality because related party transactions are used as a way of earnings management(Kim and Woo 2008, 2009). Furthermore, Managers pursue private profits through related party transactions. In case of highly related party transactions, auditor spends more time and effort in audit procedure to reduce audit risk(Woo and Lee 2010). That is, the more related party transactions are, the information asymmetry(information risk) is greater. Companies with low disclosure quality shown to increase cost of debt. The sample is composed of firms listed on the Korea Stock Exchange from 2003 to 2010. The sample is composed of non-financial firms that satisfy all of the following criteria are selected: (1) fiscal-year ending December 31, (2) availability of related party transaction from TS2000 Database, (3) availability of financial statement KIS-Value database. Also, we use credit rating as a proxy for cost of debt. For additional analysis, this study obtain data on credit rating by searching through KIS-Value database. This study draw these credit ratings such that the best rating corresponds with 1 and the worst rating with 10 to conduct our empirical analysis. Finally, 3,698 firm-year observations are used in the empirical analysis. To test hypothesis of the effect of related party transaction on the cost of debt, this study carry out ordinary least squares(OLS) regressions and ordered logit(OL) regression analysis. The empirical findings are summarized as follows. First, the related party transaction positively influences the cost of debt(or credit rating). This result means that related party transaction increase the cost of debt byenlarging information asymmetry between managers and investors. Thus, investors may require higher risk premium on the firms with many transactions to the related-party. Second, foreign investors positively affect the relationship between related party transaction and the cost of debt. Consistent with prior studies(Paek and Cho 2006; Kim and Woo 2008), this result suggests that foreign investors are not concerned about earnings management. Third, the size of audit firms is positively related to the relationship between related party transaction and the cost of debt. This result means that big audit firms are considered as less concerned about arbitrary earnings management, related party transactions are negatively evaluated by investors. In addition, we separate the sample 3,698 firm-year into tunneling(N=1,732) and propping(N=1,966). It is measured by the difference related party transaction(purchases+other losses) and related party transactions(sales+other gains). If the difference is greater(lower) than 0, it is tunneling(propping). In case of tunneling group, the related party transaction positively influences the cost of debt. This result indicates that related party transaction increase cost of debt by increasing risk premium(information uncertainty) between managers and investors because managers tends to gain private profits through tunneling activities. Meanwhile, in case of propping group, the related party transaction don``t affect the cost of debt. This study additional test according to the type of related party transactions. Also, this study examines the effect of related party capital transaction(such as trade receivables, loans, trade payables, borrowings) on the cost of debt. The related party capital transaction positively influences the cost of debt. It means that investors may require higher risk premium on the firms with many capital transactions to the related-party. The findings of this study provide the insightful information to decide investment on the firms with related party transactions. Firms with related party transaction need to increase the effort to reduce information asymmetry.

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.

비상장기업에서 감사품질이 이익의 구성요소와 부채조달비용간의 관계에 미치는 효과

박종일,전규안,남혜정 韓國公認會計士會 2012 회계·세무와 감사 연구 Vol.54 No.1

This paper investigates a association between earnings components and cost of debt depending on audit quality. Specifically, we examine whether a firm's cost of debt decreases when cash flow from operations (total accruals) of the firm increases depending on audit quality. We decompose earnings into cash flows from operations and total accruals, because unlike discretionary accruals, cash flows from operations and total accruals are easier to observe and less susceptible to audit quality. In addition, measurement error for these components is relatively low. We regress cost of debt on the two components of earnings, a dummy variable that captures audit quality (Big 4 auditors vs. other auditors), and the interaction of the audit quality with cash flows from operations and total accruals. High-quality auditors are more likely to deter or detect questionable accounting practices and report material errors and irregularities than are low-quality auditors. Because high-quality auditors have the expertise, resources, and incentive to separate the information component from noise (Krishnan 2003), they can enhance the informativeness of cash flows from operation and accruals by earnings components. Therefore, this paper expects that firms with high quality audit are more likely to experience a lower cost of debt and report a high quality of earnings components. We focus on non-listed companies to test a relative information of earnings components on cost of debt. Given a negative relationship between earnings and cost of debt (Pittman and Fortin 2004; Fortin and Pittman 2007; Jiang 2008), this paper test whether a cash flows from operations and total accruals have a negative relationship with cost of debt or not. Also, consistent with prior research (e.g., Khurana and Raman 2004; Pittman and Fortin 2004; Fortin and Pittman 2007), the enhanced assurance on financial statements provided by Big 4 auditors tends to leads a tangible benefit for the client in the form of a lower cost of debt. In other words, to the extent that debt investors perceive the Big 4 auditors as providing a higher quality audit and more accurate and credible financial statement, firms audited by the Big 4 auditors (relative to those audited by other auditors) are expected, ceteris paribus, to have a lower cost of debt. We utilize the auditee-specific cost of debt as a proxy for financial reporting credibility. Most studies related to the effect of audit quality on cost of equity focus on listed companies and test a relationship between earnings attributes and cost of equity, and audit quality. However, a portion of non-listed companies has increased over time and earnings characteristics of non-listed companies are different. Given the importance of non-listed companies in economic market, it is somewhat surprising that there is a little study that investigate a relationship between earnings components and cost of debt using non-listed companies. This study try to fill the gap. First, this paper tests a hypothesis that firms received auditing from Big 4 auditors are more likely to experience a lower cost of debt. In addition, this paper separately examines the effect of earnings components and cost of debt: cash flows from operations and total accruals. To do this, this paper examines a relationship between earnings components and cost of debt depending on audit quality using a sample of 35,579 firm-year in non-listed companies from 2005 to 2009. Our sample is non-listed companies which are not listed in security market. Therefore, cost of debt rather than cost of equity is a more important factor in funding from debt-holders. We measure cost of debt as yield spread (CODYS), and use both continuous variable and fractional ranks variable of CODYS. For audit quality measurement, we use a dummy variable as one if a firm received the audit from Big 4 auditors, otherwise zero. Findings of this paper are following. First, this paper finds a negative relationship between a cash flows from operations and cost of debt, and total accruals and cost of debt. This paper also finds that firms audited from Big 4 auditors are more likely to experience a lower cost of debt after controlling for other variables that affect the level of cost of debt. That is, firms are evaluated favorably from debt-holders when they are audited by Big 4 auditors even though they have to pay more audit fees. Second, a negative relationship between earnings components and cost of debt is stronger in firms with Big 4 auditors. This result implies that when a firm receives the audit from Big 4 auditors, debt-holders in debt market perceive it as a good signal in evaluating a quality of financial reporting, and then lead to a lower cost of debt. These results are still hold even after appling a fractional ranks variable rather than a continuous variable as a dependent variable. And also t-statistics from Clustering test and Newey and West (1987) are significant, suggesting that our results are robust. In sum, the results of this paper indicate that a differential audit demand still exists in non-listed companies, and a audit quality significantly influences a negative relationship between earnings components and cost of debt. Based on these results, we can better understand about the decision on auditor selection of non-listed companies and the role of audit service in debt market. The findings in this study have various implications. The results of this paper suggest that the relationship between earnings components and cost of debt varies depending on audit quality. This result implies that investor in debt market perceives the firm audited from Big 4 auditor more favorable. And non-listed companies audited from Big 4 auditor is rewards as a lower cost of debt from debt-holders which means that debt-holders evaluate firms based on earnings quality and audit quality as well. This finding is consistent with Big auditors enhancing the accurate and credibility 본 논문은 비상장기업을 대상으로 이익의 구성을 영업현금흐름(CFO)과 총발생액(TA)으로 구분한 후 이들 정보가 타인자본비용과의 관계에서 감사품질에 따라 정보가치의 차이가 있는가를 검증하였다. 이를 검증하기 위하여 본 연구는 감사품질이 타인자본비용과 음(-)의 관계가 있는지 살펴보고, 기업성과인 이익이 타인자본비용과 음(-)의 관계가 있으므로(Pittman and Fortin 2004; Fortin and Pittman 2007; Jiang 2008 등) 이익의 구성요소인 CFO와 TA 역시 감사품질이 높을수록 타인자본비용과 음(-)의 관계가 있는가를 분석하였다. 즉, 본 연구는 CFO와 TA 정보 모두 타인자본비용과 음(-)의 관계가 있고, 또한 감사품질도 타인자본비용과 음(-)의 관계가 있을 것으로 예상하였다. 한편, CFO 및 TA 정보와 타인자본비용과의 음(-)의 관계는 감사품질이 높은 감사인이 감사할수록 그렇지 않은 감사인의 경우와 비교할 때 유의하게 강화될 것으로 예상하였다. 즉, 감사품질이 높은 감사인이 감사하면 그렇지 않은 경우보다 CFO나 TA 정보의 신뢰성이 더 향상될 것으로 채권투자자들이 인지한다면 이들의 요구수익률은 추가로 낮아질 수 있으므로 기업의 부채조달비용은 감소될 것으로 예상하였다. 이러한 가설을 검증하기 위하여 비상장기업을 대상으로 2005년부터 2009년까지 35,579개 기업/연 자료를 분석하였다. 실증결과에 따르면 첫째, 이익의 구성요소를 CFO와 TA로 분해한 경우 각 변수 모두 타인자본비용과 유의한 음(-)의 관계가 나타났다. 또한 Big 4 감사인이 감사한 기업이면 그렇지 않은 감사인의 경우보다 타인자본비용이 유의하게 더 낮았다. 즉, Big 4 감사인의 감사품질이 그렇지 않은 감사인의 감사품질보다 더 높다고 채권투자자들이 시장에서 인지하고 있다는 결과이다. 둘째, Big 4 감사인이 감사한 기업이면 그렇지 않은 감사인의 경우보다 CFO와 타인자본비용 및 TA와 타인자본비용간의 음(-)의 관계가 유의하게 더 강화되는 것으로 나타났다. 이상의 결과들은 타인자본비용을 차입이자율 스프레드나 부채차입이자율로 측정하거나 또는 연속변수나 소수의 순위등급변수로 측정한 경우와 관계없이 모두 일관된 것으로 나타났다. 이러한 결과는 OLS 분석이나 군집성을 통제한 Clustering 검증결과, 그리고 이분산성 및 횡단면-시계열적 종속성 문제를 조정한 후의 t 통계치를 제공하는 Newey and West(1987)의 검증결과 모두에서 강건한 것으로 나타났다. 본 연구의 결과는 비상장기업을 대상으로 할 경우에 Big 4 감사인이 감사하면 그렇지 않은 감사인의 경우보다 기업의 타인자본비용이 감소된다는 인지된 감사품질(perceived audit quality)의 정보적 역할(information role)뿐만 아니라, 더 나아가 Big 4 감사인이 감사하면 재무제표에 대한 정확성 및 신뢰성의 향상으로 이익의 구성요소인 영업현금흐름과 총발생액 정보 역시 추가로 기업의 타인자본비용을 낮추는 효과가 있음을 보여주었다. 이를 통해 감사품질이 높은 감사인의 외부감사 효과는 재무보고의 신뢰성(financial reporting credibility)에 관한 인증역할(assurance role)도 더불어 제공하고 있음을 보여주었다는 점에서 의의가 있다. 따라서 본 연구의 결과는 관련 연구뿐 아니라 실무계 및 비상장기업의 정책결정자들이 비상장기업과 관련한 외부감사의 효과를 파악하고 이해하는데 있어서 유익한 시사점을 제공해 줄 것으로 기대된다.

Big 4 감사인의 감사품질이 부채조달비용에 미치는 효과 : 유가증권상장과 코스닥상장기업에 대한 실증적 증거

박종일,남혜정 韓國公認會計士會 2013 회계·세무와 감사 연구 Vol.55 No.2

본 연구는 상장기업을 대상으로 Big 4 감사인의 선임이 부채조달비용에 미치는 영향을 분석하였다. 특히 본 연구는 유가증권상장기업(KOSPI)과 코스닥상장기업(KOSDAQ)을 비교하여 살펴보았다. 더 나아가 본 연구에서는 국내 상장기업에서 Big 4 감사인의 선임과 부채조달비용 간에 유의한 음(-)의 관계가 관찰된다면 이와 같은 관계가 채권자들에게 Big 4 감사인의 선임이 보증효과(insurance effect)에 따른 결과인지, 또는 정보효과(information effect)에 따른 결과인지, 아니면 두 가지 모두에 따른 총효과(=보증효과+정보효과)에 기인된 것인지를 Mansi et al.(2004)의 방법에 따라 살펴보았다. 이를 위하여, Big 4 감사인 여부는 선행연구의 방법에 따라 Big 4 회계법인과의 제휴여부로 측정하였고, 부채조달비용은 부채차입이자율 스프레드로 측정하였다. 분석기간은 2001년부터 2011년까지 금융업을 제외한 12월 결산법인으로 분석에 이용가능 했던 최종표본 10,479개 기업/연 자료를, 또한 KOSPI 표본은 5,036개 기업/연 자료이고, KOSDAQ 표본은 5,443개 기업/연 자료가 이용되었다. 본 연구의 실증결과에 따르면. 첫째, 전체 상장기업을 대상으로 한 경우 부채조달비용에 영향을 미치는 일정변수뿐만 아니라, 신용등급(또는 직교된 신용등급)까지 통제한 후에도 Big 4 감사인을 선임한 상장기업이 그렇지 않은 기업보다 1% 수준에서 유의하게 부채조달비용이 더 낮은 것으로 나타났다. 또한 Mansi et al.(2004)의 방법에 따라 Big 4 감사인의 선임 효과를 보증효과와 정보효과로 나누어 살펴본 결과, Big 4 감사인의 선임은 채권자에게 주로 보증효과에 기초해 부채조달비용이 낮은 것으로 나타났다. 이는 채권자들에게는 Big 4 감사인이 딥 포켓(deep pocket)이라는 것에 기초한 결과로 보인다. 둘째, 전체 상장기업을 다시 KOPSI와 KOSDAQ 표본으로 나누어 각각 분석한 결과에 따르면, KOSPI 표본에서는 Big 4 감사인의 선임과 부채조달비용 간에 유의한 음(-)의 관계가 관찰되지 않았다. 이와 달리 KOSDAQ 표본에서는 Big 4 감사인의 선임과 부채조달비용 간에 1% 수준에서 유의한 음(-)의 관계로 나타났다. 즉 앞서 전체 상장기업의 경우 Big 4 감사인과 부채조달비용 간에 유의한 음(-)의 관계와 Big 4 감사인의 선임이 보증효과를 제공한다는 결과는 주로 KOSPI 표본보다는 KOSDAQ 표본에 기인한 결과로 나타났다. 이상의 결과를 종합하면, 본 연구결과는 국내 채권시장의 채권자들은 KOSPI와 KOSDAQ 기업들에서 Big 4 감사인의 선임에 따른 인지된 감사품질 정보에 대해 차별적으로 반응하고 있다는 것을 실증적으로 보여주었다는데 의의가 있다. 또한 KOSDAQ에 속한 상장기업들이 부채차입을 통해 자금을 조달시 Big 4 감사인을 선임하면 채권자들에게 긍정적인 반응으로 나타나는 것은 주로 Big 4 감사인의 보증효과에 대한 인지(perception)에 기초한 것이라는 결과를 보여주었다. 이러한 결과는 KOSPI 보다 기업지배구조가 상대적으로 열악하고, 재무정보의 신뢰성이 낮은 KOSDAQ에 속한 상장기업에서 감사품질이 높은 외부감사인의 선임은 보다 중요한 외부지배구조의 역할을 수행할 것으로 채권자들이 평가한 결과일 수 있다. 따라서 본 연구결과는 학계의 관련연구에 추가적인 공헌을 할 뿐만 아니라, 감사품질에 관심이 있는 실무계 및 정책당국에게도 유익한 시사점을 제공해 줄 것으로 기대된다. This paper examines the effect of audit quality on cost of debt in listed firms. Specifically, this study investigates differences between KOSPI and KOSDAQ listed firms on associations between audit quality and cost of debt. Furthermore, this study tries to identify driving factors of audit quality using Mansi et al. (2004)’s methodology in determining whether the effect comes from insurance effect or information effect, or both. This approach may be differentiated our study from previous study, which only focus on audit quality. The effectiveness of the auditor that reduces information asymmetries is one of the function of audit quality. Prior research suggests that Big 4 auditors in the U.S. provide high quality audits to improve the firm’s brand reputation and to avoid costly litigation. Khurana and Raman (2004) shows that clients of Big 4 auditors have significantly lower ex ante cost of equity capital compared to clients of non-Big 4 auditors in the US but not in other Anglo-American countries. They argue that the perception of Big 4 performing higher quality audits than non-Big 4 is a function of the litigation environment. Their conclusion is that the threat of litigation is a stronger driver than reputation behind perceived audit quality, proxied by cost of capital. This conclusion implies that debt-holders primarily perceive audit quality in terms of the Big 4 auditor’s “deep pockets”. Also, Pitman and Fortin (2004) show that clients of Big 4 auditors have a lower cost of interest immediately after an IPO compared to clients of non-Big 4 auditors. In sum, it is general that big 4 auditors have the financial resources to better fulfill their monitoring, information and insurance roles than non-Big 4 auditors. In the context of this study this better fulfillment of these roles is expected to be reflected in a reduced cost of debt. In other words, to the extent that debt-holders perceive the Big 4 audit as providing a higher quality audits and more credible financial statement, firms audited by the Big 4 (relative to those audited by non-Big 4 auditors) are expected, ceteris paribus, to have a lower cost of debt. Specifically, we investigate whether Big 4 auditors are perceived as providing higher quality audits relative to non-Big 4 auditors in the debt market in Korea. To do this, we use 10,479 observations from 2001 to 2011 for 5,036 firm-year observations in KOSPI and for 5,443 firm-year observations in KOSDAQ. As a main variable, we measure Big4 audit firm dummy variable as proxy for audit quality. And we use the yield spread of interest rates as proxy for cost of debt. According to our analyses, we find that the first, firms audited by the Big 4 audit firm are more likely to associated with low cost of debt after controlling for control variables and corporate credit ratings. And we identify that when audit quality is divided into insurance and information effect using Mansi et al. (2004)’s methodology, this result comes from insurance effect rather than information effect. This implies that debt-holders consider Big 4 audit firm as deep pocket. The second, when we divide samples into KOSPI and KOSDAQ, the negative relationship between audit quality and cost of debt is not significant for KOSPI while the relationship is significant for KOSDAQ. This result demonstrates that the negative relationship between audit quality and cost of debt mainly comes from KOSDAQ listed firms. The finding implies that hiring Big 4 auditors in KOSDAQ listed firms is perceived as sound governance mechanism to debt-holders and improves credibility of financial reporting. The findings of this study provide important contributions in several ways. The first, unfortunately, the research about relationship between audit quality and cost of debt is rare in Korea. We believe that this work provides additional evidences about the effect of audit quality on cost of debt in Korea. The second, our study suggests that perception to insurance of Big 4 audit firms drives a negative relationship between audit quality and cost of debt in KOSDAQ. The findings of this study also suggest that Big 4 auditors provide high-quality audits, which improves financial reporting quality for KOSDAQ listed firms with poor governance compared to KOSPI listed firms. The third, this paper provides the evidence about driving factors of audit quality using Mansi et al. (2004) and find that a negative relationship between audit quality and cost of debt is mainly caused by insurance effect rather than information effect. This result is not consistent with Mansi et al. (2004)’s findings that audit quality comes from both insurance and information effect. This inconsistency provides implications to related study in Korea. Finally, the results present the empirical evidence to support that Big 4 auditor has an important role in alleviating information asymmetry between companies and external interested parties. This study suggests that debt-holders in Korea tend to differently react to Big 4 audit firm and perceived audit quality. In sum, the results of this paper indicate that a differential audit demand still exists in listed firms, and a audit quality significantly influences a level of cost of debt for KOSDAQ listed firms. Based on these results, we can better understand about the decision on auditor selection of listed firms in Korea. The findings in this study have various implications. This result implies that debt-holders in debt market perceive the firm audited from Big 4 auditor more favorable. Specifically, we show that the effect of audit quality attributes on cost of debt of client firms is limited to KOSDAQ listed firms. This suggests that the debt market in Korea perceives audit quality to be more important for smaller listed firms than for bigger ones. Therefore, these findings are very useful and provide a lot of important implications to academic as well as practitioner, investors, creditors, and regul

비상장기업에서 인지된 감사품질이 부채조달비용에 미치는 영향: Big 4 감사인 선임의 정보효과와 보증효과를 중심으로

박종일 ( Jong Il Park ),남혜정 ( Hye Jeong Nam ) 한국회계학회 2014 회계학연구 Vol.39 No.6

본 논문은 비상장기업을 중심으로 Big 4 감사인의 선임이 기업의 부채조달비용에 미치는 영향을 분석하였다. 또한 Big 4 감사인의 인지된 감사품질과 부채조달비용간의 관계를 분석하는데 있어 Mansi et al.(2004)의 방법에 따라 Big 4 감사인의 정보효과와 보증효과를 구분하여 검증하였다. 이와 함께 Big 4 감사인의 선임에 따라 이익과 부채조달비용 간의음(-)의 관계가 더 강화되는지를 정보효과와 보증효과로 나누어 살펴보았다. 이를 위하여 본연구는 2004년부터 2009년까지 비상장기업을 대상으로 40,362개 기업/연 자료를 이용하였다. 본 연구의 실증결과는 다음과 같다. 첫째, Big 4 감사인의 선임 효과를 정보효과 관점에서 살펴보면, 신용등급에 영향을 미치는 일정 변수를 통제한 후에도 Big 4 감사인을 선임한 비상장기업들은 그렇지 않은 경우와 비교할 때 기업신용등급이 더 높게 나타났다. 둘째, 부채조달비용에 영향을 미칠 수 있는 일정 변수들뿐만 아니라 신용등급(또는 직교된 신용등급)까지 통제한 후에도 Big 4 감사인을 선임한 비상장기업들은 그렇지 않은 경우와 비교할 때 부채조달비용이 더 낮게 나타났다. 특히, 연속변수보다 소수의 순위등급변수로 측정된 부채조달비용의 결과에서 Big 4 감사인의 선임은 채권투자자에게 보증효과뿐만 아니라 정보효과도더불어 제공하는 것으로 나타났다. 셋째, 비상장기업들에서 Big 4 감사인의 선임은 그렇지 않은 경우와 비교할 때 이익과 부채조달비용 간에 음(-)의 관계가 더 강화되는 것으로 나타났다. 특히, 비상장기업들에서 Big 4 감사인의 선임에 따른 채권투자자들의 긍정적 반응은 감사의 총효과 중 주로 딥포켓(deep pocket)으로서의 보증효과에 기인하는 것으로 나타났다. 본 연구의 결과는 비상장기업들에서 Big 4 감사인의 선임이 채권투자자들에게 감사의 두 가지 효과인 보증효과와 정보효과 모두를 제공한다는 실증적 증거를 보여주고 있어 관련연구에 추가적인 공헌을 할 것으로 기대된다. 나아가 Big 4 감사인의 선임에 따른 차별적 감사서비스의 제공이 신뢰할만한 재무정보를 산출하여 이익 정보와 부채조달비용과의 음(-)의 관계를 더 강화시키고 있다는 결과 역시 감사품질에 관심 있는 학계뿐만 아니라, 실무계 및 규제기관에게도 유익한 시사점을 더불어 제공할 것이다. This paper investigates whether non-listed firms audited from Big 4 auditors experience a lower cost of debt than non-listed firms audited from non-Big 4 auditors. This paper further examines whether the negative relationship between earnings quality and cost of debt is reinforced when the firm receives the audit from Big 4 auditors or not. To do this, we adopt Mansi et al. (2004)``s methodology to discompose the effect of perceived audit quality into information and insurance effects on the cost of debt. Recently, researches related to the effect of audit quality on cost of capital have progressed and provide a interesting evidence to related works. However, most studies related to the effect of audit on cost of equity still focus on listed companies and test a relationship between earnings attributes and cost of equity, and audit quality (Francis et al. 2011; Minnis 2011; Allee and Yohn 2009). Even though a percentage of non-listed firms on market is relatively low, a number of non-listed firms has increased steadily over time and many policies related to financial supporting are provided for them. In addition, empirical findings on related to non-listed firms suggest that characteristics of reported earnings and governance structures of non-listed firms are quite different from that of listed-firms. For example, Ball and Shivakumar (2005) find that non-listed firms are more likely to report less conservative earnings than listed-firms and earnings management from non-listed firms is more pervasive. Given the importance of non-listed firms in economic market and different characteristics of reported earnings, it is somewhat surprising that there is a little study that investigate a relationship between audit quality and cost of debt using non-listed firms. This study try to fill the gap. Specifically, this paper examines a relationship between perceived audit quality and cost of debt using 40,362 non-listed firm-year observations from 2004 to 2009. This paper basically assumes a negative relationship between audit quality and cost of debt and tests this relationship in terms of both information effect and insurance effect using Mansi et al. (2004)``s methodology. In addition, this paper examines the relationship between earnings quality and cost of debt depending on the audit quality by appling both information and insurance effect from Mansi et al,(2004). Since our sample is based on non-listed firms which are not listed in the security market, cost of debt rather than cost of equity may be a more important factor in funding from debt-holders (Bharath et al. 2008; Jensen and Mecking 1976). We measure cost of debt as both loan interest rate and loan yield spread. The loan yield spread is calculated as deducting a 3-year treasury bond rate from loan interest rate. For a proxy for audit quality, we use a dummy variable as one if a firm received the audit from Big 4 auditors, otherwise zero. Findings of this paper are following. First, this paper identifies that firms audited from Big 4 auditors are more likely to experience a higher credit rating after controlling for other variables that affect the level of credit ratings. This result implies that auditing from Big 4 auditors provides information effect in non-listed firms. Second, this paper finds that firms audited from Big 4 auditors are more likely to experience a lower cost of debt than non-Big 4 auditors after controlling for other variables that influence the level of cost of debt. We further identifies this relationship still holds even after controlling for information effect of Big 4 auditors choice. That is, firms are evaluated favorably from debt-holders when they are audited by Big 4 auditors even though they have to pay more audit fees. This result suggests that auditing from Big 4 auditors provides insurance effects to debt-holders. Taking together, big 4 auditors choice in non-listed firms is a good strategy to reduce the level of cost of debt and provides both insurance and information effects to debt-holders. Additionally, when we test a statistical difference between coefficients of Big 4 variable from insurance effect model and from both insurance and information effect model, the result from a fractional ranks variable is only significant. This finding is consistent with that of Mansi et al. (2004). Third, a negative relationship between earnings and cost of debt is more profound in firms with Big 4 auditors. This result implies that when a firm receives the audit from Big 4 auditors, debt-holders in debt market perceive it as a good signal in evaluating a quality of financial reporting, and then leads to a lower cost of debt. These results are still hold even after appling a fractional ranks variable rather than a continuous variable as a dependent variable. In sum, the results of this paper indicate that a differential audit demand still exists in non-listed firms, and a audit quality significantly influences a negative relationship between earnings quality and cost of debt for non-listed firms. Based on these results, we can better understand about the decision on auditor selection of non-listed firms. The findings in this study have various implications. The results of this paper suggest that auditing from Big 4 auditors is a effective strategy in funding with lower cost of debt. And the relationship between earnings quality and cost of debt in non-listed firms varies depending on audit quality. This result implies that debt-holders in debt market perceives the firm audited from Big 4 auditor more favorable. And non-listed firms audited from Big 4 auditor are rewarded for reporting high quality earnings with a lower cost of debt from debt-holders, which means that debt-holders evaluate firms based on earnings quality and audit quality as well. Therefore, these findings are very useful in understanding consequence of auditor choice and provide a lot of important implications to regulators, investors and creditors who are interested in non-listed firms. Researchers who are interested in this area can also apply the discussion in this paper for the related studies.