기업혁신 및 주식초과수익율과 회계발생액의 관련성 분석
Empirical Test of the Relationship Between Firm's Innovation, Accruals and Abnormal Stock Returns
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본 연구는 기업혁신, 회계발생액 및 주식 초과수익률의 관련성을 실증 분석하였다. 본 연구의 핵심 논리는 기업이 혁신에 따른 성장단계에 들어서면, 생산규모와 재고자산의 증가하고, 이와 관련된 발생액계정이 동시적으로 증가하게 되고, 반대로 기업이 혁신의 쇠퇴로 정체기 또는 감퇴기 단계에 들어서면, 재고자산이 할인처분, 매출채권 대손상각, 매입채무에 대한 압박 등과 같은 상황이 발생하여, 이에 영향을 받는 발생액의 규모도 감소할 것이라는 논리적 추론에 기초하여 혁신과 발생액의 관련성을 실증 분석하였다. 또한 자본시장은 기업혁신과 관련된 직접적인 재무정보를 수집하는데 기술적 또는 본연적 한계를 갖는다. 따라서 자본시장은 기업혁신과 관련된 다양한 재무 및 비재무적 정보를 바탕으로 기업혁신 수준을 판단하게 되며, 이러한 과정에서 자본시장의 투자자들은 기업혁신 단계와 회계발생액의 관련성에 대한 유추가 반복된 학습을 통해 가능할 수 있다. 따라서 본 연구는 자본시장의 반응인 초과수익률과 기업혁신에 기초한 회계발생액의 관련성을 실증 분석하였다. 실증분석결과는 본 연구의 논리적 추론과 일치하였다. 즉 기업혁신성의 증감과 발생액의 증감 사이에 일정한 관련성이 존재하고, 또한 기업혁신성에 대한 자본시장 반응을 검증한 회귀모형에서 기업혁신 변수는 1% 유의수준에서 자본시장의 반응인 초과수익률과 양(+)의 관련성을 나타내고 있다.
Abstract
Sloan(1996)'s pioneering documentation of the accruals anomaly, the negative association between accounting accruals (the noncash component of earnings) and subsequent stock returns, spawned considerable research. Specific accruals those are mostly responsible for the anomaly (primarily inventories) were identified, and the relationships between the accruals anomaly and other unexpected phenomena, such as the post-earnings announcement drift, have been investigated. A number of recent studies have devoted to examine the value-relevance of nonfinancial leading indicators, motivated by the increasing importance of these indicators and the economic phenomenon those are associated with the rise of intangible assets in size and contribution to corporate growth. Value relevance studies generally assume that the documented association between nonfinancial leading indicators and contemporaneous stock prices or returns is due to a relation between the examined nonfinancial indicators and future earnings and market efficiency in assessing this relation. This study directly examines whether firms’ innovation capabilities are in fact related to abnormal accrual and whether market participants (i.e., investors and analysts) fully incorporate the implications of firm's innovation impact for future earnings in determining stock prices and projecting future earnings. The results of this study demonstrate that on average change of firm's innovation impact has a positive relation with the firms’accruals. This is consistent with firms' innovation capturing firms’ growth capabilities, a key driver of accruals anomaly. This is consistent with the role of innovation capabilities as a driver of firms’growth. Taken together, the results of this study suggest that the accruals anomaly reflects the mapping from firms’ innovation activities to profit realization in future.
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