비교가능성이 기업단위의 주가폭락에 미치는 영향 = The effect of comparability on firm-Level stock price crash risk

국문 초록 (Abstract)

회계정보의 비교가능성이 클수록 기업 고유 정보의 양과 질이 증대되어 악재가 기업내부에 누적될 가능성이 감소한다. 따라서 비교가능성의 증가는 악재의 누적으로 인한 갑작스러운 주가폭락의 가능성을 낮출 수 있다. 이에 따라 본 연구는 회계정보의 비교가능성이 기업단위의 주가폭락을 감소시키는지에 대해 분석하였다. 또한 외국인투자자가 비교가 능성을 향상시키는 역할을 한다는 선행연구(Fang et al. 2015)에 따라 비교가능성이 주가폭락을 감소시키는 효과가 외국인지분율에 따라 차이가 있는지를 살펴보았다. De Franco et al.(2011)과 Francis et al.(2014)의 비교가능성 측정치와 Hutton et al.(2009)의 주가폭락 측정치를 이용하여 2005년부터 2012년까지 유가증권에 상장된 2,317개의 관측치를 대상으로 분석한 결과 비교가능성이 클수록 미래 주가폭락 가능성이 낮았다. 그리고 이러한 관계는 외국인지분율이 높은 기업에서 더 강하게 나타났다. 이를 통해 비교가능성이 기업수준의 주가폭락을 감소시킴으로써 자본시장의 건전성 및 효율성을 증진시키는 기능을 수행함을 알 수 있다. 더불어 외국인지분율이 비교가능성의 효과를 강화시키는 역할을 수행함을 확인하였다.

다국어 초록 (Multilingual Abstract)

Accounting information plays an important role for the functioning of an efficient capital market(Bushman and Smith 2001; Healy and Palepu 2001; Lambert et al. 2007). The market participants make their economic decisions about a firm using various information sources including financial statements and analysts`` reports. However, despite of making decisions based on the relevant firm information, investors often suffer a terrific loss due to a sudden stock price crash of the firm. This study examines what are the determinants of the radical price crash and whether financial statement comparability impacts on stock price crash risk. The firm-specific stock price crash is a phenomenon that stock price of a firm sharply declines at the point when the accumulated negative firm-specific information crossed a tipping point suddenly comes out to the market in one fell swoop(Hutton et al. 2009). Several recent studies support that firm-specific stock price crash is caused by the internal factors such as CEO overconfidence, opacity of accounting information and aggressive accounting treatment as well as the external factors such as analysts`` optimistic forecasts and opportunistic behaviour of institutional investors (Hutton et al. 2009; Kim and Zhang 2014; Kim, Li and Li 2014; Kim, Wang and Zhang 2014; Callen and Fang 2013; Xu et al. 2013). Hiding firm``s bad news from investors`` view is possible due to information asymmetry between managers and outside investors. According to the agency theory, managers have superior information to outside investors regarding the firm``s current situations and future prospects (Jensen and Meckling 1976), so that managers can disclose their private information strategically. Graham et al.(2005) and Kothari et al.(2009) find that managers have an incentive to delay the disclosure of bad news, with concern that such disclosures can damage their compensation and position. Managers also seem to delay the disclosure of negative firm-specific news with optimistic belief that firm``s financial condition would become better in the near future. Thus, if information asymmetry between managers and outside investors decreases, managers`` strategic behavior to delay their bad news would also decrease. Comparability of accounting information is a qualitative characteristic that enables users of financial statements to identify similarities in and differences between two sets of economic phenomena. Financial statement comparability across firms and time is underscored because it facilitates the efficient allocation of capital by increasing the overall quantity and quality of information available to investors and also by lowering the cost of acquiring information(De Franco et al. 2011; Kang et al. 2013; Choi et al. 2014). The improved quantity and quality of accounting information to outside users then can lead to an decrease in information asymmetry (Diamond and Verrecchia 1991; Kim and Verrecchia 1994; Gow et al. 2011). As a result, comparability of accounting information may restrict manager``s attempt to delay the disclosure of bad news so that firm-level crash risk may also decrease. Prior studies show that foreign investors, particularly foreign institutional investors, play an important role in the improvement of comparability in firms`` financial statements by actively involving in the firms`` financial reporting process(Fang et al. 2015). Foreign investors can affect firms`` operating activity, reporting behaviour and value, by selling shares and/or by using their voting rights to intervene in management. They also can play a direct role in altering firms`` financial reporting practices, due to their independent positions and lack of conflicts of interest. As a result, the comparability of financial statements can be promoted by a market force of foreign institutional investors. We therefore conjecture that the expected negative relationship between comparability and stock price crash risk would be more pronounced by larger foreign institutional ownership. This study uses 2,317 firm-year observations listed on Korea Stock Exchange from 2005 to 2012. The comparability measures are based on De Franco et al.(2011) and Francis et al.(2014), while the stock price crash measure is based on Hutton et al.(2009). Our findings are as follow: First, consistent with our expectations, we establish that comparability is significantly and negatively associated with stock price crash risk. Second, we show that the negative relationship between comparability and crash risk is pronounced for firms with higher foreign ownership. These results are consistent with our expectations that higher comparability mitigates information asymmetry, managers`` incentives to delay the disclosure of bad news, and eventually the likelihood of stock crash. Moreover, foreign ownership seems to play a role as a catalyst in the relationship between comparability and stock price crash risk. The study has several contributions to the body of research on comparability, stock price crash and foreign ownership. First, we adds to the growing body of comparability literature, by showing the importance of comparability in stock markets. Second, to our best knowledge, this is one of few studies that focuses on the determinants of firm-level stock crash risk rather than macro economy-level stock crash risk. Third, we extends foreign ownership research, by examining its catalytic role in the relationship between financial statements and stock markets.

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