재무회계변수들이 기업가치를 얼마나 신속히 반영하는가? －계량경제모형에 의한 평가－
An Econometric Analysis of Value-Relevance of Financial and Accounting Variables
0
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
본 연구는 경상이익과 자산의 장부가치 등의 재무회계변수들이 기업가치를 어느 정도 신속하고 정확히 반영하는지를 분석하는 것을 목적으로 한다. 경상이익과 자산장부가치와 같은 재무회계변수가 기업가치를 어느 정도 반영하는지를 분석하는데 있어서, 기업가치의 대리변수인 주식가격을 경상이익과 자산장부가치와 같은 회계변수들이 얼마나 잘 설명하는지를 분석하였다. 이윤이 발생한 경우와 손실이 발생한 경우에 회계변수들의 기업가치 반영도에 차이가 있다는 점을 고려하여, 두 경우를 따로 분리하여 분석하였다.
Abstract
This study empirically examines the value relevance of financial and accounting variables. To do that it expands the price model used in the previous studies to include the book value of equity. For loss firms the earnings lose value relevance since negative earnings are believed transitory. The book value of equity, however, can play a role of representing the expected future normal performance. Also it reflects a firm's liquidation value and becomes a part of the firm value. Therefore, it is expected that the value relevance of the book is robust for profit and loss firms. The model is estimated separately for profit and loss firms, and also separately for firms with positive and negative book values. It is because the value relevance of accounting variables is different for each case. It is found that both earnings and book value are value-relevant when the book value is positive. For firms whose book value is negative, however, the book value of equity and earnings are not value-relevant.
참고문헌 (13)
- 민충기, "기업가치의 계량경제모형과 그 유용성", 6(3), pp.5~24 (2004)
- Collins, "Lack of Timeliness and Noise as Explanations for the Low Contemporaneous Return-Earnings Association", 18, pp.289~324 (1994)
- Collins, "Changes in the Value-Relevance of Earnings and Book Values Over the Past Forty Years", 24, pp.39~67 (1997)
- Collins, "Equity Valuation and Negative Earnings: The Role of Book Value of Equity", 74, pp.29~61 (1999)
- Feltham, "Valuation and Clean Surplus Accounting for Operating and Financial Activities", 11, pp.689~731 (1995)
- Francis, "Have Financial Statements Lost Their Relevance?", 37, pp.319~352 (1999)
- Hayn, "The Information Content of Losses", 20, pp.125~153 (1995)
- Kothari, "Price and Return Models", 20, pp.155~192 (1995)
- Lev, "The Boundaries of Financial Reporting and How to Extend Them", 37, pp.353~385 (1999)
- Lipe, "Do Nonlinearity, Firm-specific Coefficients, and Losses Represent Distinct Factors in the Relation Between Stock Returns and Accounting Earnings?", 25, pp.195~214 (1998)
- Ohlson, "Earnings, Book Values, and Dividends in Equity Valuation", 11, pp.661~687 (1995)
- Ryan, "Why Has the Contemporaneous Linear Returns-Earnings Relation Declined?", 78, pp.523~553 (2003)
- Min, Chung-ki, "An Econometric Analysis of Value-Relevance of Financial and Accounting Variables"