공정가치 서열체계와 투자자의 의견차이
Fair value hierarchy information and divergence of opinion among investors
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본 연구는 공정가치 서열체계에 따라 분류된 공정가치 정보가 투자자의 의견차이에 미치는 영향에 대해 살펴보았다. K-IFRS는 공정가치 측정 및 관련 공시에서 일관성과 비교가능성을 높이기 위하여, 공정가치 측정에 사용하는 가치평가기법에의 투입변수를 세 가지 수준으로 분류하는 공정가치 서열체계를 정하였다(제1113호). 동일한 자산이나 부채의 활성시장 공시가격에 가장 높은 수준(수준 1)을 부여하고 직･간접적으로 관찰가능한 시장정보에 의하여 뒷받침되는 투입정보는 중간수준(수준 2)으로 분류하며 관측 가능하지 않은 투입변수에는 가장 낮은 순위(수준 3)를 부여하였다. 공정가치 서열체계가 낮을수록 관측가능하지 않은 변수를 투입하여 공정가치가 측정되므로 측정오류 및 경영자의 기회주의적인 이용가능성으로 인해 측정치의 신뢰성이 하락하여 투자자의 의견차이가 심화될 수 있다. 2011년부터 2018년까지 유가증권시장 및 코스닥시장에 상장된 비금융업 중 9,092개의 표본을 대상으로, 공정가치 서열체계 정보에 대한 투자자의 반응을 분석하였다. 연구결과 수준 2로 측정된 금융자산은 투자자의 의견차이를 감소시키는 반면, 수준 3으로 측정된 금융자산은 투자자의 의견차이를 높이는 것으로 나타났다. 한편 수준 3으로 측정된 금융자산의 비중이 클지라도 해당 기업의 내부회계관리제도가 적절하게 운영된다면, 투자자의 의견차이는 감소하는 것으로 나타났다. 이는 적절한 내부회계관리제도가 관측불가능한 수준 3 투입변수의 기회주의적인 사용을 제한할 수 있어, 신뢰성이 높아지기 때문으로 해석할 수 있다. 본 연구는 2011년부터 확대 적용된 공정가치회계정보의 유용성을 검증하기 위하여 공정가치 서열체계에 따라 분류된 금융자산의 공정가치 정보에 대한 시장의 반응을 살펴보았다는 점에서 공헌점을 가진다.
Abstract
This study examines the effect of fair value information on divergence of opinion among investors. K-IFRS “Fair value measurement" prioritizes the source of information used in fair value measurements into three levels: (1) Level 1 (observable inputs from quoted prices in active markets), (2) Level 2 (indirectly observable inputs form quoted prices of comparable items in active markets identical items in inactive markets, or other market-related information), and (3) Level 3 (unobservable, firm-generated inputs). K-IFRS requires fair value assets and liabilities to be disclosed by these levels. Level 3 fair values are less observable and are naturally subject to greater information asymmetry between investors and management. In addition, the more subject nature of Level 3 fair values makes them prone to greater estimation error by management. Both information asymmetry and estimation error inherent to the production of specific accounting information increase investor's adverse selection, information-processing cost, all of which increase divergence of opinion among investors. Using 9,092 firm-year observations for the 2011-2018, I find the following results. First, Level 2 measurement reduces the investor's disagreement, while Level 3 measurement relates to increased divergence of opinion among investors. I also find financial assets measured at Level 1 are not significant. This evidence suggests that investors recognize Level 3 information unreliable because of intrinsic measurement error. Second, I find evidence that divergence of opinion among investors is weaker for firms with strong internal control system especially Level 3 fair values. This results highlight the importance of internal control system mechanisms in mitigating intrinsic measurement error associated with Level 3 inputs. This study makes an important contribution in that it is the first study to examine the effect of fair value hierarchy information on divergence of opinion among investors. This paper can contribute to extant the insight regarding the usefulness of fair value accounting. Also this paper suggests that companies should maintain a good internal control system to reserve reliability of fair value information.
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