Ohlson 모형의 LID가정의 타당성에 대한 검토

이종천 ( Jong Cheon Lee ),오웅락 ( Oung Rak O ),김이배 ( Yi Bae Kim ) 한국회계학회 2008 會計學硏究 Vol.33 No.2

본 연구의 목적은 배당할인모형에서 도출된 잔여이익모형인 LID 잔여이익모형, EOB잔여이익모형과 Reg 잔여이익모형을 비교하여 LID 잔여이익모형의 LID 가정에 대한 타당성을 실증적으로 검증하고, 기업가치 평가모형으로서 LID 잔여이익모형의 타당성을 평가하고자 한다. 이와 함께 또한 보다 더 적합한 기업가치평가를 위하여 고려되어야 할 방향을 제시하고자 한다. 본 연구의 분석결과는 다음과 같다. 첫째, 배당할인모형에 기초한 잔여이익모형인 LID 잔여이익모형, EOB 잔여이익모형과 Reg 잔여이익모형에 의한 예측오차를 비교한 결과 EOB 잔여이익모형이 실제 주식가치에 가장 근접한 것으로 나타났다. 둘째, 잔여이익 지속계수가 클수록 잔여이익이 기업가치에 미치는 영향이 클 것이라는 LID 잔여이익모형의 논리와 달리잔여이익 지속계수의 크기와 지속계수의 기업가치에 미치는 양향이 무관한 것으로 나타났다. 셋째, LID 잔여이익모형과 달리 EOB 잔여이익모형에서 기업가치 예측오차가 자본비용에 의해 크게 개선되었다. 넷째, 절대오차율을 최소화하는 산업별 자본비용을 반영한 결과, EOB잔여이익모형의 경우 산업에 따라 절대오차율이 크게 낮아졌다. 본 연구는 LID 잔여이익모형의 LID 가정이 EOB 잔여이익모형의 가정과 제약보다 기업가치의 예측에 타당하지 않음과, LID 가정의 논리적 모순을 실증적으로 보여주었다는데 의의가 있다. 이는 LID 잔여이익모형이 보다 타당한 기업가치 평가모형이 되기 위해 LID 가정 수정되어야 함을 의미한다. 또한 자본비용 측정의 개선을 통해서 EOB 잔여이익모형이 LID 잔여이익모형보다 기업가치평가에 유용함을 보여주었다는데 의의가 있다. The objective of this study is to empirically examine the validity of LID assumption in two steps. First, we examine that LID assumption is the most valid one, by comparing the forecast errors among LID residual income model, EOB residual income model and Reg residual income model, which are based on the dividend discount model. Second, we examine the consistency of the real data with the implications of LID assumption. In addition, we want to suggest some directions toward more appropriate firm valuation. The sampling of this study was surveyed on the basis of the US firms of the period from 1997 to 2003, and the financial data were figured out from COMPUSTAT. The data of the stock prices and the earning forecasts were collected from IBES. Our main empirical results are as follows: First, Table 4 and 5 show that the signed percentage error and the absolute percentage error of EOB, whose medians are -0.44 and 0.46 respectively, are the least among the residual models. In other words, EOB residual income model is the most powerful in explaining the actual market value of stocks among the considered valuation models. This implies that LID assumption of LID model is less valid than the assumption of EOB model. Second, in Table 7, the magnitude of persistent coefficient of residual income turned out to be unrelated to the effect of persistent coefficient on firm values contrary to the logics of LID residual income model which assumes the positive linear relation between the magnitude of persistent coefficient and the effect of persistent coefficient on firm values. 5 portfolios out of 10 portfolios showed that the theoretical persistent coefficient is significantly different from the actual persistent coefficient estimated from Reg residual income model. The persistent coefficient of 3,219 samples out of 5,939 samples are out of the theoretical bounds of Ohlson model which are between 0 and 1. These results mean that LID assumption is not proper to the valuation of the firms. Third, Table 10 shows that firm value forecast errors drastically decrease by the cost of capital in case of EOB residual income model in comparison with LID residual income model. Finally, Table 11 shows that the absolute percentage errors become much lower depending on the kind of industry as a result of reflecting industrial cost of capital minimizing absolute percentage errors.

잔여이익할인모형에 내재된 잔여이익 장기기대성장률과 재무제표 정보의 관련성에 관한 연구

차승민(Seung Min Cha),유용근(Yong Keun Yoo),윤성수(Sung Soo Yoon) 한국경영학회 2011 經營學硏究 Vol.40 No.2

To estimate the equity value of a firm using the residual income valuation model, one needs to predict its future residual income in perpetuity then to convert those forecasts into corresponding present value by applying a pertinent discount rate. It is, however, practically impossible to predict future residual income in perpetuity. As an alternative, researchers explicitly predict future residual income for a specific time period and then add a terminal value, i.e., the present value of future residual income beyond the forecast horizon. Although the terminal value accounts for a large part of total equity value, prior literature uniformly assumes a simple but arbitrary perpetual growth rate of residual income without considering firm characteristics. In this study, we examine whether financial statements information can explain investors` expectation of long-term perpetual growth rate of residual income implied in current stock prices (hereafter, implied long-term growth rate of residual income) to shed some light on a more reasonable prediction of terminal value incorporating firm specific characteristics. Using 1,052 Korean firm/year observations between 2000 and 2005, we find the following empirical results. First, disproportionate (relative to sales) increases in accounts receivable and selling and administrative expenses are negatively associated with the implied long-term growth rate of residual income. This result suggests that those two pieces of information can be considered as negative signals for long-term future earnings as well as for short-term future earnings as reported in prior literature (e.g., Lev and Thiagarajan 1993). Second, total accruals are positively associated with the implied long-term growth rate of residual income, consistent with the argument that investors may overreact to firms` past growth (e.g., Fairfield, Whisenant and Yohn 2003). Third, among the components consisting of the return on net operating asset, profit margin and operating liability leverage (operating asset turnover) are negatively (positively) associated with the implied long-term growth rate of residual income. This result implies that current high profit margins may not be maintained due to a severe competition, but that the firm`s ability to use operating assets more efficiently can have a positive impact on long-term future earnings. In addition, investors may consider high operating liability leverage as a negative signal for long-term future earnings, while prior literature suggests that operating liability leverage increases short-term future earnings. Finally, R&D expenses are positively associated with the implied long-term growth rate of residual income. This result suggests that investors consider R&D expenditures as a positive signal for longterm future earnings although they decrease current earnings due to immediate expensing of most R&D expenditures. In sum, these results indicate that financial statement information is helpful to predict long-term future earnings as well as short-term future earnings. This paper is the first study to examine the usefulness of financial statements information in predicting long-term future earnings beyond a forecast horizon. We expect that our findings may improve the implementation of an earnings-based valuation model by suggesting a way to estimate a more reasonable terminal value based on financial statements information.

LID초과이익모형의 보수주의변수 실효성

강창수(Kang, Chang-Soo) 대한경영학회 2011 大韓經營學會誌 Vol.24 No.4

비상장기업의 주식가치평가: 다음과 합병한 카카오 사례

추재연 ( Jaeyon Chu ),허경선 ( Kyongsun Heo ),배진한 ( Jinhan Pae ) 한국회계학회 2017 회계저널 Vol.26 No.1

Kakao Corporation is a leading mobile lifestyle platform company in Korea, providing a mobile messaging service with voice calling capability and a variety of other services such as mobile games and streaming music. On May 26, 2014, Kakao announced a merger with Daum Communications through stock exchange. It was surprising that Kakao chose to go public through a merger with Daum (reverse takeover or backdoor listing) instead of an initial public offering. Unlike listed shares of Daum, Kakao`s shares are not publicly traded. Thus, the equity value of Kakao needs to be estimated to determine the stock exchange ratio between Daum and Kakao. In this case study of Kakao, we reformulate financial statements and demonstrate how to apply an accounting valuation model. More specifically, we adopt the residual operating income model and the abnormal operating income growth model in determining the equity value of Kakao. This case study will be useful for academics and practitioners to understand the equivalence of the residual operating income model and the well-known discounted cash flow model, as well as the benefits and costs of the backdoor listing vis-a-vis the initial public offering.

잔여이익모형의 주가 예측오차에 관한 연구

김대근(Dae-Keun Kim),한다정(Da-Jeong Han) 숭실대학교 사회과학연구소 2006 사회과학논총 Vol.8 No.-

본 연구는 Ohlson(1995)의 재무회계자료를 이용한 기업가치 설명모형인 RIV모형(Residual Income Valuation Model)이 우리나라 상장기업의 실질가치를 적정하게 설명하고 있는지에 대하여 예측오차를 이용하여 실증분석 하였다. 분석방법은 과거 5년 동안의 재무자료를 RIV모형에 대입하여 순자산의 가치와 잔여이익의 회귀계수를 추정하였다. 이렇게 추정된 회귀계수를 RIV모형에 대입하여 2001년, 2002년, 2003년의 예측주가들 산출하였으며, 산출된 예측주가와 실제주가 사이에 차이가 있는지 살펴보았다. 예측주가의 추정(절대)오차율을 산출하여 0과 차이가 있는지와 전체표본으로 분석하였을 때와 산업별로 분석하였을 때가 차이가 있는지 분석하였다. 분석결과, 전체표본을 대상으로 예측한 주가는 실제주가와 차이를 보이지 않았다. 산업별로 보았을 때 중화학공업의 2002년 예측 표본을 제외한 경공업과 중화학공업 및 정밀기술산업에서 실제주가와 예측주가에 차이가 없었다. 각 산업별로 RIV모형을 통해 예측한 주가에 대한 추정(절대)오차율은 전체표본을 대상으로 하여 예측한 주가의 추정(절대)오차율과 차이가 있는지를 살펴본 결과, 2003년도 경공업의 추정오차율 및 2002년도 정밀기술산업의 추정(절대)오차율에 차이를 보이고 있었다. 즉, RIV모형을 가지고 산업별로 나누어 주가를 예측하였을 때, 전체표본을 가지고 예측하였을 때와는 다르게 일부 산업과 연도에서 차이가 있을 수 있음을 알 수 있었다. This study examines the explanatory power of stock price of Ohlson's Residual Income Valuation Model(RIV model). Our empirical test consists of two steps : First, regression coefficients of the model are estimated using past five year's financial accounting data, and the current year's forecasted price is obtained from the model. Secondly It is tested whether the forecasted stock price is different from the actual price both in the whole sample and each industry sample. We also test whether an error rate in each industry is different from that of the whole sample. According to the results, there is no statistically significant difference between actual and forecasted prices in the whole sample, but there is some difference in case of Heavy Chemical Industry in 2002. With respect to error rate, there is no difference from that of whole sample, except in Light Industry in 2003 and Precision Manufacture Technology Industry in 2002. It is concluded that the RIV model appears to have an appropriate explanatory power in the whole, but have some variations in the industry basis.

녹색성장기업의 기업가치평가 사례연구; 미리넷솔라와 GS퓨얼셀을 중심으로

이창섭(Chang Seop Rhee),유용근(Yong Keun Yoo),전홍민(Hong Min Chun) 한국경영학회 2013 Korea Business Review Vol.17 No.2

최근 들어 자원남용 둥으로 인한 환경오염을 최소화시키며 동시에 경제성장을 뒷받침할 수 있는 녹색성장에 대한 논의가 전세계적으로 이루어지고 있다. 우리나라 역시 녹색성장산업을 새로운 부가가치 산업으로 판단하여 녹색성장 산업 관련 기업에 대한 다양한 지원책을 실시하고 있다. 이와 같은 녹색성장산업 관련 기업에 대한 정책적 지원을 보다 효율적으로 수행하기 위해서는 해당 기업들에 대한 정확한 가치평가가 필연적으로 요구된다. 이에 따라 본 사례연구에서는 우리나라의 새로운 경제성장 동력으로서 주목 받고 있는 녹색성장산업 관련 기업 중 대표적 비상장기업인 미리넷솔라와 GS퓨얼셀에 대한 세부적인 기업가치평가를 수행함으로써 녹색성장산업에 속한 기업들의 가치평가에 있어 하나의 지침을 제공하고자 한다. 본 사례연구에서는 Ohlson (l995)의 잔여영업이익할인 모형을 이용하여 두 기업에 대한 기업가치평가를 수행하였다. 이를 위해 본 사례연구에서는 우선 잔여영업이익할인 모형을 소개하고 관련된 재무제표 분석기법을 설명하였다. 다음으로 녹색성장산업에 있어서의 전반적인 추세를 서술하고 미리넷솔라와 GS퓨얼셀의 기업가치평가를 위한 산업분석, 기업전략분석 및 재무제표 분석결과를 보고하였다. 이를 바탕으로 두 기업의 미래 잔여영업이익을 예측함으로써 각각의 기업가치를 도출하였다. 본 사례연구는 최근 들어 주목 받고 있는 녹색성장산업 및 관련 기업에 대한 다양한 정성적 그리고 정량적인 분석을 통해 해당 산업에 대한 독자들의 이해도를 높이는 한편, 녹색성장산업의 정책적 지원과 관련된 의사결정에 필수적인 기업가치평가의 실제 사례를 소개함으로써 유용한 교육자료로 활용될 수 있을 것이며, 나이가 자본시장 참여자 및 정책당국 둥 관련 실무자들에게도 중요한 시사점을 제공할 수 있을 것으로 기대된다. This study deals with a case analysis about equity valuation of green growth industry in Korea. Green growth is a way to synergize economic growth and environmental protection, and internationally it is highlighted as a potential developing industry for new era. In recent years, Korean government also has an attention to green growth and begins to emphasize the importance of green growth. Many new polices about green growth are announced and many new firms in green growth industry are established. Therefore, understanding of green growth is very essential for adapting to the new surroundings in this time. For your understanding of green growth, we provide the definition and trend in Korea of green growth. Further, we suggest practical examples of Millinet Solar and GS fuelcell. Both firms are currently existing firms in Korean green growth industry. We will introduce their market and firm circumstance and eventually valuate their firm-value using the Residual Operating Income (ReOI) valuation model. Preferentially, we begin to explain the theoretical background of ReOI valuation model which is derived from Ohlson (1995) and its implemental framework before presenting about green growth because this prior explanation about the valuation model will be helpful to understand the practical firm examples later effectively. Basically, ReOI valuation model focuses on operating income but ignores the effect of financial activity since residual income is created by operating activity. We will explain how to assort operating activity and financial activity from balance sheet and income statement for reformulating financial statements. After the explanation of the valuation model, we provide definition of green growth, encouraging green growth policies in Korea, market and firm analysis, and eventually valuate the value of two existing green growth firms using ReOI valuation model. Although there are many theoretical and empirical research papers regarding equity valuation, there is no specific case analysis report for the practical implementation of ReOI valuation model for Korean green growth companies. This case study aims to fill this void in the academic literature. This case study may contribute to both industry and academic communities by describing how to implement theoretical valuation model in practice.

사례논문 : 국내 이동통신사의 기업가치평가 사례연구: SK텔레콤을 대상으로

정혜연 ( Hae Youne Jung ),문보영 ( Bo Young Moon ),정세윤 ( Se Yun Jung ),유용근 ( Yong Keun Yoo ) 한국회계학회 2011 회계저널 Vol.20 No.5

본 사례연구는 국내 최대 이동통신회사인 SK텔레콤(SKT)의 내재가치를 평가한다. 보다 구체적으로 2009년 4월 말 시점을 기준으로 잔여영업이익평가모형(ReOI)을 적용하여 SKT의 기업가치를 구하는 절차에 대하여 설명하고 그로부터 내재가치를 도출하고자 한다. 이를 위하여 본 사례연구는 Ohlson(1995)의 잔여이익평가모형(RIM)에서 ReOI가 도출되는 이론적 배경에 대하여 먼저 설명한 후 ReOI모형을 SKT의 기업가치평가에 실제로 적용하기 위한 방법을 설명한다. ReOI모형은 기업의 재무활동을 제외한 영업활동을 통해 창출된 영업이익에 초점을 맞추고 있다. 따라서 SKT의 재무상태표와 손익계산서에서 영업활동과 재무활동으로 인한 계정들을 분리하여 영업과 재무활동으로 구분된 재무제표를 재작성하는 방법을 제시한다. 재작성된 재무제표로부터 SKT의 수익성과 성장성을 분석한 후 이를 바탕으로 미래의 수익성과 성장성을 구할 수 있는 주요 변수들의 값을 예측한다. 마지막으로 예측된 수치를 ReOI 모형에 대입하여 SKT의 내재가치를 구한다. 기존 선행연구에서 기업가치평가 기법과 관련하여 이론적 연구와 방법론들이 다수 제시되어 왔지만 아직까지 국내기업을 대상으로 가치평가모형을 적용시키는 사례연구는 거의 없는 실정이다. 본 사례연구는 이론적인 가치평가모형을 실질적으로 기업에 어떻게 적용시키는지에 대한절차를 보여줌으로써 학계의 연구자들이나 학생들은 물론 기업평가 업무를 담당하는 실무자들에게도 유용한 정보를 제공할 것으로 판단된다. This study is a case analysis of equity valuation for a Korean mobile telecommunication company, SK Telecom (SKT). We conduct an equity valuation for SKT at a point of time of April 2009 by using the Residual Operating Income (ReOI) valuation model. This case study begins to discuss the theoretical background of ReOI valuation model which is derived from Ohlson (1995). Then, we analyze the implemental framework of ReOI valuation model. Since residual income is created by operating activity, ReOI valuation model focuses on operating income ignoring the effects of financial activity. We explain how to separate the results of operating activity from them of financial activity within bal ance sheet and income statement. This l eads to reformulated financial statements (both of balance sheet and income statement). After analyzing the reformulated financial statements, we show where SKT is and explain how to forecast the main value drivers of ReOI. Lastly, we finalize our equity valuation by incorporating the forecasts into ReOI valuation model. Although there are many theoretical and empirical research papers regarding equity valuation, there is no case analysis for the practical implementation of equity valuation model for Korean companies. This case study aims to fill this void in the academic literature. This case study may contribute to both industry and academic communities by describing how to implement theoretical valuation model in practice.

Ohlson 모형에서의 보수주의 재고찰

강창수 ( Chang-soo Kang ) KNU기업경영연구소 2010 기업경영리뷰 Vol.1 No.1

The purpose of this study is to revisit the negative conservatism coefficient issue as a reason to cause downward bias to intrinsic value estimation based on Ohlson model. and to confirm the value of the coefficient in firm valuation. For the purpose, I followed the procedures as follow; First, I revisited Ohlson(1995) and FO(1995, 1996) model and explained the meaning of the assumptions the models are based on. Then, I reviewed a research to detour the negative conservatism coefficient issue by changing the Ohlson model partly and pointed out a limit of the research. Third, I suggest a alternative for solving the issue while using Ohlson model without any model change. Based on the procedures, I provide some preliminary conclusions to the research problem. First. the negative conservatism coefficient issue might not be caused by the misspecification error of the model. Second, Based on FO(1996) model, the negative conservatism coefficient issue can happen when the persistence of operating cash flow of firms is less than the persistence of operating assets. Therefore, this result implies that Ohlson models are still effective for coping with the research subjects related to conservatism without any model correction.

상속세법상 비상장주식 평가모형의 적정성과 개선방안에 관한 연구

오명수(Oh Myung-Soo),김석웅(Kim Seok-Woong),이재성(Lee Jae-Seong) 한국국제회계학회 2008 국제회계연구 Vol.0 No.23

본 연구는 현행 조세법상 비상장주식의 평가방법에 대한 적정성 여부를 실증분석을 통하여 파악하고 이의 개선방안으로 비상장주식의 적정가치인 시가를 반영할 수 있는 여러 대안적 방법 등을 실증분석을 통하여 검정하고자 한다. 본 논문에서는 상장주식을 아직 상장 되지 않은 비상장주식으로 가정하여, 현행 상속세법상의 평가방법과 이들 대안적인 평가방법으로서 본 논문에서 제시한 초과이익 평가방법과 주가배수 평가방법으로 이들 상장주식을 평가하여 이를 현재 거래되고 있는 주가가 실제가치인 본질가치를 반영한다는 전제하에서, 실제주가와 평가액간의 차이검정으로 현행 평가방법과 대안적 평가방법의 적정성여부를 검정하였다. 검정결과 대안으로 제시된 평가방법 중에서 실제 내재가치를 가장 잘 반영하는 평가방법 을 정책대안으로 제시하여 현 평가방법보다 보다 더 조세의 공평성문제에 접근할 수 있도록 하였다. 한편 실증검정에 있어서, 표본대상기업은 상장 제조업을 중심으로 하여 IMF 이 후기간인 1999년에서부터 2005년까지를 표본기간으로 하였다. 실증결과, 실제주가와 유의 적인 차이가 나타나지 않는(pooling의 경우) 현행 상속세법상의 평가방법과 PER모형에 의한 주가배수 평가방법을 혼용한 평가방법을 대안적 평가방법으로 제시하였다. This paper is to identify through empirical study whether the valuation method for unlisted stocks in the inheritance tax law is proper or not. and to examine the alternative valuation models which reflect the fair value of their intrinsic value. To perform this empirical study. first. this study assumed unlisted stocks as listed stocks since unlisted stocks are not transacted and are not estimated as the proper market value of their intrinsic value. According to this assumption. this study selected 2.576 manufacturing listed samples for the 7-year period from 1999 to 2005. and analyzed the propriety of the current and alternative valuation models which are called the residual income valuation model(hereafter, is called RIVM) and the Price-Earnings Ratio Model (hereafter. is called PERM) or Price-Book value Ratio Model(hereafter. is called PBRM). This analysis techniques of the paper are mean-difference test which is called t-test and regression analysis model. This paper is to suggest the model of mixing the current valuation method and the PERM. The model is suggested by this paper is better than the current valuation method in the inheritance tax law. In conclusion. suggested model can be applied as a valuation tool if its model is modified sufficiently to maintain legal stability and equitability.

성장성 및 개인지분율과 배당소득세의 자본화간의 관계

윤태화 ( Yoon Tae-hwa ),박종성 ( Park Jong-sung ),이장희 ( Lee Jang-hee ) 한국회계정책학회 2005 회계와 정책연구 Vol.10 No.2

In resent tax research, papers on which dividend taxes for stockholders are reflected in firm valuation have not given consistent results. This research reviews papers on full capitalization and critical papers on it, and recommends future research direction. Harris and Kemsley(1999) and Harris et al.(2001) derive stock valuation model including dividend tax based on Ohlson's residual income model, give empirical results through testing the empirical model and insist that dividend tax is fully reflected in the firm value. Park(2003) and Hwang(2003) show Korean empirical results that dividend tax is capitalized in stock valuation the same as HK and HHK. But Dhaliwal et al.(2003) and Hanlon et al.(2003) criticize the theoretical model and the empirical model that are used in stock valuation by the researchers that insist full dividend capitalization, retest the dividend tax capitalization empirically, and show HK and HHK's researches are incorrect. KO(2003) discovers that research results on the Korean market are the opposite to dividend tax full capitalization. But they don't deny the dividend tax capitalization itself. This research includes growth variable correlated with retained earnings and individual stock ownership ratio in empirical model. Test results show that the full dividend tax capitalization is not found, but the more is dividend tax capitalized, the higher is individual stock ownership ratio.