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적자기업의 배당지급과 이익반응계수

Loss Firms’ Dividend Payment and Earnings Response Coefficient

이문영|최종학|김예원
한국공인회계사회 (THE KOREAN INSTITUTE OF CERTIFIED PUBLIC ACCOUNTANTS)|2023.09|회계ㆍ세무와 감사 연구 (Study on Accounting, Taxation & Auditing)|제65권 제3호|pp. 119-154|DOI 10.22781/kicpa.2023.65.3.119

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키워드

배당lossdividendprofit이익반응계수적자손실보고흑자earnings response coefficient
주제분류회계학

초록

선행연구에서는 적자기업의 경우 주가가 회계 이익 정보에 대해 반응하는 정도를 나타내는 이익반응계수(earnings response coefficient)가 흑자기업보다 작다는 것을 발견한 바 있다. 본 연구에서는 배당의 지급이 이익반응계수의 크기와 주식 수익률에 어떤 영향을 미치는지를 살펴보았다. 연구결과는 다음과 같이 요약된다. 첫째, 선행연구들의 발견과 일관되게, 적자기업의 경우는 흑자기업보다 이익반응계수가 작았다. 이는 자본시장에서 투자자들이 적자기업 이익의 신뢰성이나 지속성이 높지 않아 적자가 곧 반전될 것이라고 판단한다는 것을 의미한다. 둘째, 배당을 지급하지 않는 기업들과 비교할 때, 배당을 지급하는 기업들의 경우는 이익반응계수가 더 컸다. 즉 배당을 지급하면 투자자들이 회계정보의 신뢰성이 높다고 평가하는 것이다. 셋째, 흑자와 적자기업을 구분해 살펴보면 적자기업의 경우 이익반응계수의 크기는 배당지급 여부에 따른 차이가 없었다. 즉 적자기업의 경우 배당을 지급한다고 해서 투자자들이 이익의 신뢰성이 높다고 판단하지 않는다는 의미다. 그러나 흑자기업의 경우 이익반응계수의 크기는 배당을 지급하는 기업이 그렇지 않은 기업보다 더 컸다. 이 발견은 배당을 지급한 흑자기업의 경우 배당을 지급하지 않은 흑자기업 보다 이익의 신뢰성이 높다고 자본시장에서 판단해서 반응한다는 것을 의미한다. 이런 발견은 배당의 정보효과와 투자자의 행동에 대해 여러 유익한 시사점을 제공한다.

Abstract

This study examines whether the size of the earnings response coefficient (ERC), which represents the degree to which stock prices react to earnings, varies depending on the dividend payment status, distinguishing between profit firms and loss firms in the capital market. The reason for distinguishing between profit and loss firms is that investors differentiate between them when making investment decisions, and especially the presence of losses can significantly influence investors’ psychological investment decisions. This study analyzed the difference in ERC based on dividend payments for profit and loss firms from 2004 to 2018, using listed companies as samples. The ERC was measured precisely using a model that includes both earnings levels and changes in earnings compared to the previous year, as used in recent studies. The findings of the analysis are as follows: First, loss firms had a lower ERC compared to profit firms, consistent with previous studies, indicating that investors perceive lower earnings quality and persistence for loss firms. Second, dividend-paying firms had a higher ERC compared to non-dividend-paying firms, supporting the argument that dividends convey information about higher earnings quality to investors and contradicting the notion that dividends have minimal information effects in the capital market. Third, even when the sample was limited to profit firms, dividend-paying profit firms still had a higher ERC than non-dividend-paying profit firms, suggesting that when profit firms pay dividends, investors perceive higher earnings quality and reliability. This indicates that the relationship between dividends and the ERC observed earlier is primarily derived from profit firms. Fourth, when the sample was restricted to loss firms, there was no statistically significant difference in ERC between dividend-paying and non-dividend-paying loss firms. This implies that even if loss firms pay dividends, there is no additional information effect related to losses that investors consider, and both dividend-paying and non-dividend-paying loss firms are perceived similarly in terms of ERC. The study’s contributions are twofold: First, by showing that dividends affect the ERC, it strengthens empirical research on the informational effect of dividends in the capital market. While many studies have examined the direct impact of dividends on stock prices, very few have investigated the influence of dividends on the size of the ERC. Moreover, domestic research exploring the relationship between dividends and earnings is scarce, with only a few studies available. Therefore, this study expands accounting research related to dividends and can serve as a basis for subsequent studies. Second, by revealing that investor reactions to dividends differ between profit and loss firms, this study extends previous research on the distinct market responses to these types of companies. Although previous studies have differentiated between profit and loss firms in terms of the impact of dividends on credit ratings or stock trading volume, no study has divided the effect of dividends on the ERC into profit and loss firms. As dividends’ significance in corporate financial policies grows, more research in the accounting field is needed to clearly demonstrate the effects of dividends. This study’s findings also have implications for managers and regulatory policymakers. Managers can use the study’s findings to gain a more accurate understanding of the information effect of dividends and utilize this knowledge in their dividend decision-making process. For example, to increase the reliability of earnings information from investors’ perspective, managers can make dividend decisions consistent with earnings levels. When reporting profits, paying dividends proportional to earnings can lead investors to have greater confidence in earnings information, potentially resulting in higher price-earnings ratios for companies with similar earnings sizes. On the other hand, if a loss firm pays dividends, there might be no significant difference in investors’ reaction, implying that excessive dividend payments might hinder corporate growth and might not be shareholder-friendly policies. Therefore, managers of loss firms should carefully consider their dividend payment decisions based on scientific analysis rather than vague expectations that shareholders prefer dividends.

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