한국 자본시장에서 가치관련성의 변화

The Changes in Value Relevance in Korean Capital Market over 20 Years

본 연구는 유가증권시장 상장기업을 대상으로 1991년부터 2010년까지 20년간의 가치관련성 추이를 살펴보고, 그 함의를 분석한다. 회계정보의 주가설명력(수정 R2)을 이용하여 가치관련성을 측정한 결과, 한국 자본시장에서 전체 회계정보의 가치관련성은 1990년대에는 감소 추세를 보였지만 IMF 외환위기 이후에는 가파르게 상승하는 추세를 보였다. 회계정보를 회계이익과 장부금액으로 구분하여 각각의 증분적 가치관련성을 살펴보았을 때, 회계이익의 증분적 가치관련성은 전체 회계정보의 가치관련성과 유사한 결과를 보이고 있지만, 장부금액의 증분적 가치관련성은 유의한 변화가 관찰되지 않았다. 가치관련성 변화의 원인을 파악하기 위해 선행연구에서 가치관련성 변화의 원인으로 지목한 영업외손익 및 특별손익의 중요성 증가, 손실 기업의 증가, 서비스 및 혁신기술을 기반으로 하는 산업의 중요성 증가, 그리고 소규모 기업의 증가를 통제하여 분석하였다. 실증분석 결과 IMF 외환위기 이후 한국 자본시장에서 회계정보의 가치관련성 상승은 위의 네 가지 요인만으로는 설명되지 않으며 외환위기 이후의 회계이익 품질의 개선(이익의 유연성, 지속성, 예측성의 증가)과 관계가 있음을 보였다. 추가적으로 한국 자본시장의 가치관련성 증가가 규모효과(scale effect)와 같은 단순한 수리적 착시에서 비롯되는 것(Brown et al. 1999)이 아님을 보였다. 이러한 가치관련성 증가는 IMF 외환위기 이후, 이해관계자와 투자자들의 재무보고에 대한 관심 제고와 경제적 환경의 변화, 한국 정부의 회계제도 개혁의 결과를 반영한 것일 가능성이 있다. 한국시장의 회계투명성에 대한 많은 비판들이 있지만 2000년대 회계정보의 가치관련성이 증가했다는 결론은 경제구조의 변화나 회계개혁 노력이 주식투자자들에게 긍정적인 영향을 가져왔을 수 있음을 보이고 있다.

This paper examines the changes in value relevance of financial statements in Korean capital market over past 20 years. Many prior literature, using U.S. firms, shows that the value relevance of financial statements has decreased over time because historical-cost-based financial statements do not reflect fast-growing business environment(Lev and Zarowin 1999; Amir and Lev 1996; Francis and Schipper 1999 etc). However, Collins et al. (1997) provide an approach using R2 in a regression of stock prices on earnings and book values and find that changes in R2 has been increased over time. R2 represents total explanatory power of financial statements which captures the value relevance of accounting information. Also, they decompose total R2 into three parts: incremental explanatory power of earnings and of book values, and the explanatory power common to both earnings and book values. They document that the incremental value relevance of earnings has declined. However, it has been replaced by the increases in the value relevance of book values. On the other hand, Brown et al. (1999) address a problem in the approach of Collins et al. (1997). They argue that a positive trend in R2 results from the size differences of observations, which they call scale effect . Following the paper, this paper examines the changes in explanatory power over time based on Korean data and re-examines the results after controlling the scale effect. Most of the value relevance literature focuses on U.S. capital market. However, difference in accounting standards and practices across countries results in different consequence to investors, analysts, and accounting standards. Consequently, the changes in the value relevance of accounting disclosure have been different across countries (Ali and Hwang 2000; Graham and King 2000). Therefore, it is valuable research idea to analyze the time-series difference in the value relevance across countries. Especially, Korea suffered from the financial crisis in 1998 and International Monetary Fund (IMF) and International Bank for Reconstruction and Development (IBRD) required Korean government to strongly reform Korean accounting standards. This paper examines whether the changes in value relevance in Korea with these efforts of Korean government and accounting standard setters have improved over time. After controlling for the effects from intangible intensity, non-recurring items, negative earnings, and firm size, the increased trend of value relevance still appears. This result can be an evidence that the effect from four factors have not mainly driven the improvement of value relevance in Korea. Hence, this paper suggests a possibility that the reform activities of Korean government would be associated with the increase in value relevance. This study contributes to the accounting literature in some aspects. First, this paper provides evidence of the changes in the value relevance over time before IFRS adoption. This study summarizes the historical changes in value relevance of financial statement in Korea under Korean GAAP. From this, we can confirm the validity of reform activities of Korean government and learn the implication for preparing IFRS regime in Korea. Second, this paper extends a sample period of prior Korean research in terms of the value relevance. Several Korean studies examine the changes in the value relevance in Korea. Han (1998) shows the changes in the value relevance from 1981 to 1995 and it has been decreased over the past 15 years. Also, Park and Lee (2003) document a negative change in explanatory power of financial statement around the Reform of Korean accounting system in 1998. This paper re-examines the time-series changes in the value relevance in Korea in the longer sample period, from 1991 to 2010 compared to prior studies. Reform of Korean accounting system has influenced on an efficiency of Korean capital market after 1999 and global financial crisis occurred in 2008. Th