Default Risk as a Factor affecting the Earnings Response Coefficient : Evidence from South Korean Stock Market

다국어 초록 (Multilingual Abstract)

Studies of factors affecting the earnings response coefficient (ERC) have long been a theme in capital market research. One lesser researched factor suggested in a series of paper by Dhaliwal, Lee and Fargher (1991) as possibly affecting the ERCis the variable of default risk. In particular, based upon an option theory of risky debt, they predicted the issue of debt increasing default risk would be associated with reduced ERCs and redemption of debt decreasing default risk would be associated with increased ERCs. The Korean data is weakly consistent. Issues and redemptions of debt appear to be associated with factors other than default risk and are therefore probably not reliable indicators of that construct. The study discusses possible alternative explanation for the results.

국문 초록 (Abstract)

본 연구는 자본구조변동으로 지급불능위험(default risk)이 증감함에 따라 이익변동계수(Earnings Response Coefficient :ERC)에 영향을 미치는지를 검증한다. 선행연구(Dhaliwal and Reynolds, 1994)에서 default risk의 대용변수로서 bond ratings을 사용하였으나 본 연구에서는 1984년부터 1998년까지 새로운 부채의 발행과 기존부채의 상환을 한 186개 한국기업 들을 대상으로 실증분석을 하였다. 즉, 새로운 부채의 발행은 default risk를 증가시켜 ERC를 감소시키고, 반대로 기존부채의 상환은 default risk를 감소시켜 ERC를 증가시키려는 가설을 설정하였다. 본 연구의 분석결과 자본구조변동으로 default risk의 증감에 의한 ERC가 weakly 변동하는 것으로 나타났다. 따라서 앞으로 다른 대용변수로 측정한 default risk와 ERC의 연구가 요구된다.

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