대체적 발생액 예측모형의 모형표기 타당성과 검증력 평가
Alternative Specifications and Powers of Cross-sectional Accrual Prediction Models
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본 연구는 이익관리연구 등에서 사용하는 발생액 예측모형의 모형표기 타당성과 검증력을 비교⋅평가한다. 예측모형의 추정을 위해 횡단면추정법을 사용하였다. 발생액 예측모형으로는 표준 Jones모형, Jones-ROA모형, Jones-CF모형, Jones-CF-Rev모형, Piecewise모형, 회계과정(AP)모형을 사용한다. 모형의 평가방법으로는 이익관리가 없다는 귀무가설의 검증에 대한 제1종 오류 분석을 통해 모형표기 타당성을 조사하고, 인위적으로 이익을 조작한 시뮬레이션 방법을 이용한 제2종 오류 분석을 통해 모형의 검증력을 비교한다. 우리나라 상장기업의 1988년부터 2007년까지 연간자료 이용하여 분석한 결과 첫째, 임의추출표본에 대한 제1종 오류 분석에서 표준 Jones모형, Jones-ROA모형, Jones-CF모형, Jones-CF-Rev모형, Piecewise모형, AP모형이 모두 모형표기 타당성을 가진 것으로 나타났다. 둘째, 극단적인 현금흐름성과를 보인 기업표본에 대한 제1종 오류 분석에서 표준 Jones모형과 Jones-ROA모형의 경우 재량적 발생액 추정치가 영업현금흐름과 유의한 음의 상관성을 가짐으로써 누락변수문제에 의한 모형표기오류가 발생했으나, Jones-CF모형, Jones-CF-Rev모형, Piecewise모형 및 AP모형은 현금흐름 수준에 영향을 받지 않아 모형표기 타당성이 존재한다. 셋째, 제2종 오류 분석 결과 낮은 수준(1%)의 이익조작에서는 발생액과 현금흐름 간의 상관성을 통제하기 위하여 영업현금흐름을 설명변수로 추가한 네 가지 모형, 즉 Jones-CF모형, Jones-CF-Rev모형, Piecewise모형 및 AP모형의 검증력이 표준 Jones모형과 Jones-ROA모형에 비해 큰 차이를 보임으로써 높은 검증력을 가지고 있다. 선형성을 가정한 Jones-CF모형, Jones-CF-Rev모형 및 AP모형 3가지 중에서는 Jones-CF-Rev모형이 Jones-CF모형이나 AP모형보다 우수한 것으로 나타나 전기발생액의 반전현상을 발생액 예측모형 반영할 필요성을 보여준다. 한편, Piecewise모형이 Jones-CF-Rev모형보다 우수한 결과를 보이는데, 이는 이득과 손실에 대한 비대칭적 인식(보수주의)에 의한 발생액의 비선형성을 발생액 예측모형에 반영한 것에 기인한 것이다. 이러한 Piecewise모형의 우수성으로 인해 향후 이익관리와 관련된 연구에서 Ball and Shivakumar(2006)가 제시한 보수주의를 통제한 발생액 예측모형을 사용할 필요가 있다.
Abstract
We analyze some methodological aspects that are related with estimating abnormal accruals for the detection of earnings management. Unlike prior studies that rely generally on time-series models, we use the specification of cross-sectional models of unexpected accruals. This paper presents standard Jones model(1991), Jones-ROA model, Jones-CF model, Jones-CF-Reversal model, Piecewise model(2006) and Accounting Process(AP) model and compares six models with respect to the TypeⅠerror and TypeⅡ error. The firm-periods for which we estimate abnormal accruals are selected from 10,508 firm-years between 1988 and 2007 for analyses using annual data. The results of this study are summarized as follows. First, using a simulation analysis technique similar to that performed by Brown and Warner (1985), we find that all of the six models are well specified for randomly selected firms. Second, the Jones model and Jones-ROA model yield systematically positive (negative) estimates of abnormal accruals for firms with low(high) cash flows levels. Third, we show that the CFO model, Jones-CF-Rev model, Piecewise model(2006) and AP model are more powerful than the Jones model and Jones-ROA in detecting earnings management. Among the four models, Piecewise model(2006), Jones-CF-Rev model performs better ,and Piecewise model(2006) performs best of all. Fourth, given the conservatism (asymmetric recognition of gains and losses), Piecewise model(2006) has implications for our understanding of accrual accounting and estimating discretionary accruals.
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