Your browser does not support the PubReader view.
Go to this page to see a list of supporting browsers.
Korean Academic Society of Business Administration
[ Article ]
korean management review - Vol. 45, No. 2, pp.503-536
ISSN: 1226-1874 (Print)
Print publication date 30 Apr 2016
Received 25 Aug 2015 Revised 17 Nov 2015 Accepted 20 Jan 2016
DOI: https://doi.org/10.17287/kmr.2016.45.2.503

이익공시유형에 따른 발생액 이상현상

강나라* ; 백원선**
*(주저자) 성균관대학교 경영대학 박사과정생 cpatax@naver.com
**(교신저자) 성균관대학교 경영대학 교수 wpaek@skku.ac.kr
Accruals Anomaly and Earnings Announcement Patterns
Na Ra Kang* ; Wonsun Paek**
*Ph. D. Student, Business School, Sungkyunkwan University, Seoul, Korea, First Author
**Professor, Business School, Sungkyunkwan University, Seoul, Korea, Corresponding Author

초록

본 연구는 이익공시유형의 차이가 발생액 이상현상과 체계적인 관련을 갖는지를 살펴보았다. Sloan(1996)은 투자자들이 재무제표상 이익을 기계적으로 해석하는 기능적 고착화로 인하여 발생액 이상현상이 야기된다고 설명하였다. 이는 발생액과 현금흐름의 차기 이익에 대한 지속성이 다름에도 불구하고 기능적 고착화로 투자자들이 이를 주가에 충분히 반영하지 못함을 의미한다. 본 연구에서 중요한 점은 이익공시일에 발생액에 관한 정보가 제시되는가 여부에 따라 기능적 고착화의 정도가 달라질 수 있다는 것이다(Levy 2008, Hirshleifer et al. 2012).

우리나라의 공시제도에서 수시공시와 실적공시에 의한 이익공시일에 이익구성요소에 대한 정보가 공시되지 않는다. 따라서 투자자들은 가결산 이익공시일에 이익구성요소에 대한 정보를 원천적으로 반영할 수 없으며, 재무제표공시일이 되어야 반영할 수 있다. 하지만 재무제표공시일에 투자자들이 발생액 정보를 충분히 반영하지 못할 수 있다. 왜냐하면 한정된 주의력(limited attention) 또는 거래비용으로 인하여 이미 구성한 투자포트폴리오를 재구성하기 어렵기 때문이다. 이와 같은 이유로 이익공시유형의 차이에 따라 발생액 정보가 주가에 반영되는 정도가 다를 수 있다.

본 연구는 2002년부터 2012년까지 거래소에 상장된 표본 중 손실기업과 최저분위 발생액을 제외한 기업-연도 표본으로 이루어졌다. 분석결과, 이익공시일에 이익구성요소에 대한 정보가 없는 경우 이에 대한 정보가 있는 경우보다 발생액 이상현상이 크게 나타났다. 특히 이익구성요소에 대한 정보 없이 이익이 공시된 후 재무제표공시일에 정정되지 않은 경우에 발생액 이상현상이 더욱 두드러졌다.

본 연구의 결과는 이익구성요소에 관한 정보가 이익공시일에 제공될 때 투자자들에게 유용할 수 있음을 의미한다. 바꾸어 말하면, 발생액과 현금흐름에 관한 정보가 수시공시와 실적공시에 의한 가결산 공시에 포함된다면 이익공시의 정보유용성이 향상될 수 있다는 것이다.

Abstract

This study examines whether market participants’ overpricing on previous-period accruals (i.e., accruals anomaly) is distinguishable depending on different patterns of earnings announcement. Sloan (1996) provided an explanation for the accruals anomaly that it is caused by a investors’ function fixation on the bottom-line earnings without proper understanding of mean-reverting properties of accruals. It means that investors could not recognize the information about accrual and cash flow components of earnings. Earnings announcement patterns could affect on investors' cognition about accrual informations. Particularly, the investors’ function fixation on earnings could differ depending on whether the accrual information is disclosed on earnings announcement days.

Under disclosure requirement in Korea, the preliminarily disclosed earnings do not include detailed information on earnings components. Investors do not have information on earnings components until the financial statements disclosure date. Some investors who form their portfolios based on financial statements have information on earnings components while others who invest based on preliminary earnings do not have information on earnings components. Those investors who make their investment decisions based on preliminary earnings are likely to rely on an anchor implied in preliminary earnings. Also, such a bias toward the anchor is (not) likely to be adjusted subsequently when the financial statements are disclosed with preliminary earnings information adjusted (unadjusted). Thus, if the accruals anomaly is related to the anchoring and adjustment effect, we expect that the degree of the accruals anomaly differ across the earnings announcement patterns.

The empirical results show that the accruals anomaly is significantly different depending on earnings announcement patterns in consistent directions with our expectations. Specifically, we find that the accruals anomaly is more prominent for the subsample with preliminary earnings announcements than the subsample without preliminary earnings announcements. Further, we show that the accruals anomaly is more prominent for the subsample with preliminary earnings announcements to be subsequently adjusted than for the subsample with preliminary earnings announcements to be subsequently not adjusted.

In this regard, we believe that our findings provide policy implications that investors practical implications that the requiring firms to report cash-based and accrual-based earnings in preliminary earnings announcement leads to attenuate the anomaly. Also, the results in this study provide policy implications how disclosure affects investors’ behavior.

Keywords:

Accruals Anomaly, Earnings announcement patterns, Anchoring and adjustment, Transaction Cost

키워드:

발생액 이상현상, 이익공시유형, 앵커링 효과, 거래비용

References

  • 김지홍ㆍ고재민ㆍ김상일(2008), 이익조정 여부에 따른 발생액 이상현상의 차이. 회계학연구, 33, 103-139.
  • 고종권ㆍ윤성수(2006), 재무보고이익-세무보고이익의 차이와 이익, 현금흐름 및 발생액의 지속성과 자본시장의 반응,” 회계학연구, 31, 127-162.
  • 나종길(2006), “회계발생의 정보성에 대한 투자자의 효율성,” 경영연구, 21, 1-30.
  • 남천현(2009), “한국 자본시장의 발생액 이상현상,” 회계저널, 18, 201-234.
  • 백복현ㆍ김영준ㆍ이준일(2012), “연간이익공시시점에 대한 연구,” 회계학연구, 37, 253-293.
  • 백원선(2014), “이익구성요소의 기간귀속과 발생액 시장이상현상,” 회계학연구, 39, 323-349.
  • 손성규ㆍ이은철ㆍ김성환(2011), “계속감사기간에 따른 발생액 이상현상,” 경영학연구, 40, 407-429.
  • 여은정(2010), “가결산연간이익의 정정 공시 현황과 시장반응,” 회계저널, 9, 221-243.
  • 이동헌ㆍ최우석ㆍ유승원(2011), “공시유형별 가결산이익의 정확성 및 정정공시,” 경영학연구, 40, 721-751.
  • 이화득ㆍ고종권ㆍ김종현(2008), “이익기업과 손실기업의 이익지속성과 자본시장의 반응,” 세무와회계저널, 9, 85-119.
  • 정광화ㆍ정광우(2014), “공시유형에 따른 연간이익공시의 차별적 정보효과, “ 회계학연구, 39, 287-326.
  • 최관ㆍ백원선(2007), “현금전환가능성에 따른 발생액의 질과 시장이상현상,” 회계학연구, 32, 1-26.
  • 황이석ㆍ김문현ㆍ이우종ㆍ손병철(2005), “발생액의 효율적 평가에 영향을 미치는 요인,” 회계학연구, 30, 59-91.
  • Battalio, R., A. Lerman, J. Livnat., and R. Mendenhall (2012), “Who, if Anyone, Reacts to Accrual Information?,” Journal of Accounting and Economics 53, 205-224. [https://doi.org/10.1016/j.jacceco.2011.06.007]
  • Bernard, V., and T. Stober(1989), “The Nature and Amount of Information Reflected in Cash Flows and Accruals,” The Accounting Review 64, 624-652.
  • Beneish, M. D., and D. Nichols(2005). The Long and Short of the Accrual Anomaly. Working Paper, Indiana University. [https://doi.org/10.2139/ssrn.920101]
  • Bradshaw, M. T., S. A. Richardson, and R. G. Sloan(2001), “Do Analysts and Auditors Use Information in Accruals?” Journal of Accounting Research 39, 45-74. [https://doi.org/10.1111/1475-679X.00003]
  • Chu, J.(2011), “Does Growth Subsume the Implications of Accruals for Future Performance?,” Working Paper. University of California, Berkeley.
  • Dougal, C., J. Engelberg, C. Parsons, and E. Van Wesep(2015), “Anchoring on Credit Spreads,” Journal of Finance 70, 1039-1080. [https://doi.org/10.1111/jofi.12248]
  • Dopuch, N., C. Seethamraju, and W. Xu(2005), “The Pricing of Accruals for Profit and Loss Firms,” Review of Quantitative Finance and Accounting 34, 505-516. [https://doi.org/10.1007/s11156-009-0144-9]
  • Edwards, W.(1968), “Conservatism in Human Information Processing in Formal Representation of Human Judgment,” Edited by B..Kleinmutz, New York, NY, 17-52.
  • Fairfield P. M., J. S. Whisenant, and T. L. Yohn (2003), “Accrued Earnings and Growth: Implications for Future Profitability and Market Mispricing,” The Accounting Review 78, 353-371. [https://doi.org/10.2308/accr.2003.78.1.353]
  • Fama, E., and K. French(2008), “Dissecting Anomalies,” Journal of Finance, 63, 1653-1678. [https://doi.org/10.1111/j.1540-6261.2008.01371.x]
  • Festinger, L.(1957), “A Theory of Cognitive Dissonance,” Evanston, IL: Peterson.
  • Green, J., J. R. M. Hand, and M. T. Soliman (2011), “Going, Going, Gone? The Apparent Demise of the Accruals Anomaly,” Management Science 57, 797-816. [https://doi.org/10.1287/mnsc.1110.1320]
  • Hayn, C.(1995), “The Information Content of Losses,” Journal of Accounting and Economics 20, 155-192. [https://doi.org/10.1016/0165-4101(95)00397-2]
  • Hirshleifer, D., K. Hou, and S. Teoh(2012), “The Accrual Anomaly: Risk or Mispricing?” Management Science, 58, 320-35. [https://doi.org/10.1287/mnsc.1100.1289]
  • Hirshleifer, D., and S. Teoh(2003), “Limited Attention, Information Disclosure, and Financial Reporting,” Journal of Accounting and Economics 36, 337-386. [https://doi.org/10.1016/j.jacceco.2003.10.002]
  • Khan, M.(2008), “Are Accruals Mispriced? Evidence from Tests of an Intertemporal Capital Asset Pricing Model,” Journal of Accounting and Economics, 55-77. [https://doi.org/10.1016/j.jacceco.2007.07.001]
  • Kraft, A., A. J. Leone, and C. E. Wasley(2007), “Regression‐Based Tests of the Market Pricing of Accounting Numbers: The Mishkin Test and Ordinary Least Squares,” Journal of Accounting Research 45, 1081-1114. [https://doi.org/10.1111/j.1475-679X.2007.00261.x]
  • Lev, B., and D, Nissim(2006), “The Persistence of the Accruals Anomaly,” Contemporary Accounting Research 23, 193-226. [https://doi.org/10.1506/C6WA-Y05N-0038-CXTB]
  • Levy, S.(2008), “Voluntary Disclosure of Accruals in Earnings Press Releases and the Pricing of Accruals,” Review of Accounting Studies 13, 1-21. [https://doi.org/10.1007/s11142-007-9059-7]
  • Lord, C. G., Ross, L, and Lepper, M. R(1979), “Biased Assimilation and Attitude Polarization: The Effects of Prior Theories on Subsequently Considered Evidence,” Journal of Personality & Social Psychology 37, 2098-2109. [https://doi.org/10.1037/0022-3514.37.11.2098]
  • Louis, H., D. Robinson and A. Sbaraglia(2008), “An Integrated Analysis of the Association between Accrual Disclosure and the Abnormal Accrual Anomaly,” Review of Accounting Studies 13, 23-54. [https://doi.org/10.1007/s11142-007-9038-z]
  • Mashruwala, C., S. Rajgopal, and T. Shevlin(2006), “Why is the Accrual Anomaly Not Arbitraged Away? The Role of Idiosyncratic Risk and Transaction Costs,” Journal of Accounting and Economics 42, 3-33. [https://doi.org/10.1016/j.jacceco.2006.04.004]
  • Miao, B., Teoh, S. H., and Zhu, Z(2013), “Limited Attention, Statement of Cash Flow Disclosure, and the Valuation of Accruals,” Working Paper. National University of Singapore. [https://doi.org/10.2139/ssrn.2348541]
  • Radhakrishnan, S., and S. Wu(2014), “Analysts’ Cash Flow Forecasts and Accrual Mispricing,” Contemporary Accounting Research 31, 1191-219. [https://doi.org/10.1111/1911-3846.12060]
  • Richardson, S. A., R. G. Sloan, M. T. Soliman, I. Tuna(2005), “Accrual Reliability, Earnings Persistence and Stock Prices,” Journal of Accounting and Economics, 437-485. [https://doi.org/10.1016/j.jacceco.2005.04.005]
  • Richardson, S. A., R. G. Sloan, M. T. Soliman and I. Tuna(2006), “The Implications of Accounting Distortions and Growth for Accruals and Profitability,” The Accounting Review 81, 713-743. [https://doi.org/10.2308/accr.2006.81.3.713]
  • Sloan, R.(1996), “Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?” The Accounting Review 71, 289-315.
  • Soares, N., and A. Stark(2009), “The Accruals Anomaly - Can Implementable Portfolio Strategies be Developed that are Profitable Net of Transactions Costs in the UK?” Accounting and Business Research, 321-45. [https://doi.org/10.1080/00014788.2009.9663371]
  • Thomas, J. K., and H. Zhang(2002), “Inventory Changes and Future Returns,” Review of Accounting Studies 7, 163-87. [https://doi.org/10.1023/A:1020221918065]
  • Tversky, A., and D. Kahneman(1974), “Judgment under Uncertainty: Heuristic and Biases,” Science 185, 1124-1131. [https://doi.org/10.1126/science.185.4157.1124]
  • Xie, H.(2001), “The Mispricing of Abnormal Accruals,” The Accounting Review 76, 357-373. [https://doi.org/10.2308/accr.2001.76.3.357]
  • Wilson, G. P.(1986), “The Relative Information Content of Accruals and Cash Flows: Combined Evidence at the Earnings Announcement and Annual Report Release Date,” Journal of Accounting Research 24, 165-200. [https://doi.org/10.2307/2490736]
  • Wu, J., L. Zhang, and X. F. Zhang(2010), “The Q-theory Approach to Understanding the Accrual Anomaly,” Journal of Accounting Research 48 , 177-223. [https://doi.org/10.1111/j.1475-679X.2009.00353.x]

·저자 강나라는 현재 성균관대학교 경영대학 회계 전공 박사과정에 재학 중이다. 서울시립대 세무학과를 졸업하였으며, 성균관대학교 회계학과에서 석사학위를 취득하였다. 박사과정에 입학하기 전에는 공인회계사로 회계법인과 정부출연연구소 등에서 회계감사와 연구용역을 수행하였다. 주요관심분야는 주가붕괴위험, 발생액 이상현상, 이익공시일의 정보반응 등이다.

·저자 백원선은 현재 성균관대학교 경영대학 회계 전공 교수로 재직 중이다. 성균관대학교 경영대학을 졸업하였으며, 미국 위스콘신대학교에서 회계학석사, 미국 템플대학교에서 경영학박사를 취득하였다. 주요연구분야는 가치평가, 이익품질 및 분기손익행태 등이다.