감사품질과 이익의 질 및 기업가치에 관한 실증적 연구 = An Empirical Study on the Association between Audit Quality, Earnings Quality, and Firm Value

국문 초록 (Abstract)

본 연구에서는 2001년부터 2005년까지 한국증권선물거래소에 상장된 기업을 대상으로 감사품질과 이익의 질 및 기업가치의 관련성을 분석하였다. 선행연구에 따르면, 감사품질이 높을수록 기업가치가 높다는 증거가 제시되고 있으나 그 구체적인 원인이 밝혀지지 않았다. 본 연구에서는 그러한 원인으로 회계정보의 신뢰성, 즉 이익의 질을 제시하고 그에 관한 실증분석을 실시하였다.
본 연구에서는 연구목적을 달성하기 위해서 두 가지 연구가설을 설정하고 이를 검증하기 위한 회귀모형을 제시하였다. 먼저, 감사품질과 이익의 질의 관련성에 관한 가설을 검증하기 위한 모형에서 종속변수인 이익의 질을 Dechow and Dichev(2002) 모형을 이용하여 추정한 유동발생의 예측오차의 절대값으로 측정하였고, 독립변수인 감사품질은 선행연구와 같이 Big 4 여부로 측정하였다. 또한 이익의 질과 기업가치의 관련성에 관한 가설을 검증하기 위한 모형에서는 종속변수인 기업가치의 대용변수로서 토빈 q를 사용하였으며, 경영성과와 이익의 질의 상호작용효과에 관한 변수가 실험변수로 포함되었다. 이러한 모형에는 연구결과의 내적타당성을 위해서 여러 가지 통제변수가 추가로 포함되었다.
연구 결과, 다음과 같은 결론을 얻을 수 있었다. 첫째, Big 4 회계법인이 감사한 기업의 이익의 질이 Non-Big 4 회계법인이 감사한 기업보다 더 높은 것으로 나타났다. 둘째, 이익의 질이 높은 기업일수록 경영성과인 수익성이 기업가치 평가에 더 높게 반영되고 있는 것으로 나타났다. 이러한 결과는 투자자들이 감사품질이 높은 회계법인에게 감사받은 기업이 제공한 회계정보의 신뢰성을 그렇지 않은 기업보다 더 높게 평가하여 결과적으로 자본비용이 감소한다는 선행연구를 뒷받침하고 있음을 의미한다.

다국어 초록 (Multilingual Abstract)

This study investigates into the relation among audit quality, earning's quality, and firm value. Although prior research documents the positive association between audit quality and firm value, no research has been conducted to prove their relation theoretically or empirically. In this study, we focus on the reliability of accounting information, earnings quality to explain their relation. Earnings quality has been perceived as the core accounting information characteristic and considered as an important factor in many decisions. Earnings quality is one of the most controversial accounting topics in the practices and literature since recently many accounting irregularities has occurred. We examine the relation among audit quality, earnings quality, and firm value in an attempt to provide an explanation for the positive association between audit quality and firm value.
The sample firms are selected among mainly manufacturing ones listed on the Korea Stock Exchange. Accounting data are collected from the Fn Guide provided by a financial data serving company and cover the period between 2000 and 2005. In the first phase of this study, a research hypothesis is established; audit quality is positively associated with earnings quality. A related regression model has been formulated. The dependent variable of the model is earnings quality. It is measured as accruals quality suggested by Dechow and Dichev(2002). Dechow and Dichev proposed accruals quality as a measure of earnings quality that captures the mapping of current accruals into last-period, current-period, and next-period cash flows. We use this measure to proxy the accruals quality. Accruals quality is computed as the absolute value of residuals from the cross-sectional regression of sample firms' current accruals on lagged, current, and future cash flows from operation. The larger the absolute value of residuals, the poorer the earnings quality. The independent variable of the model is audit quality measured as whether the auditors belong to Big 4 or not. Prior literature reports evidence that Big 4 provides higher audit quality than Non-Big 4. The model includes control variables such as firm size, variability of cash flows and sales, the length of operating cycle, and frequencies of loss years, suggested by Dechow and Dichev(2002).
In the second phase of this study, a research hypothesis is established; earnings quality is positively associated with firm value. A related regression model has been formulated. The dependent variable of the model is firm value defined as Tobin's Q. The independent variables of the model are earnings quality and firm performance measured as return on assets(ROA) and their interaction. Various control variables are included in the model to eliminate the extraneous effects; firm size, leverage, risk, intensity of research and development costs and advertisement expenditures, growth, firm age, and controlling shareholders stock ownership.
To check the robustness of study results, we conducted additional analyzes. Korea large firms tend to nominates only Big 4 and therefore firm size might lead to the positive association between audit quality and earnings quality. We conducted an additional regression analysis about only small firms to examine the relation between audit quality and earnings quality to eliminate such possible size effect. Research model concerning earnings quality and firm value is re-estimated employing market to book value of common equity and operating income to alternatively proxy the firm value and performance, respectively. Also, in order to control the endogeneity of earnings quality and firm value, the value of earnings quality estimated in the first phase is used to compute the earnings quality level of the second phase main model as an instrumental variable.
This study reports the following evidence. First, earnings quality of the firms audited by Big 4 firms is higher than those audited by Non-Big 4; thus Big 4 provides higher audit quality compared with Non-Big 4. This result is different from the previous evidence that audit quality, largely measured as the discretionary accruals computed by the Jones model, is not differentiated between Big 4 and Non-Big 4 in the Korea audit market. Second, the performance of the firm with high earnings quality is more highly reflected in the market valuation. This results imply that investors tend to consider the reliability of accounting information as an important factor in the firm valuation. This evidence empirically supports the theory that the high earnings quality reduces the information risk and thus the cost of capital.

목차 (Table of Contents)

• Ⅰ. 서론
• Ⅱ. 이론적 배경과 선행연구의 검토
• Ⅲ. 연구방법론
• Ⅳ. 실증분석 결과
• Ⅴ. 연구결과 요약 및 결론

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