부산대학교 도서관

본 연구는 2001년부터 2018년까지의 기간 동안 매년 말 우리나라 유가증권시장에 상장되어 있는 8,240개 기업-년의 표본에 대해, Mishkin(1983) test를 이용하여 산업이익과 기업고유이익의 지속성과 그 지속성에 대한 시장평가에 차이가 있는지를 분석하였다. 또한, 산업이익과 기업고유이익의 크기에 따라 구성된 헷지 포트폴리오를 이용하여 이익의 지속성에 대한 시장의 과소평가 여부를 추가적으로 분석하였다. 이에 더하여 생략된 변수 문제(omitted-variables problem)를 고려하는 Kraft et al.(2007) 모형을 이용하여 Mishkin test의 결과의 강건성을 확인하였다, Mishkin test를 이용한 분석 결과, Hui et al.(2016)에서와 마찬가지로 산업이익의 지속성은 기업고유이익보다 크고, 이러한 지속성의 차이를 시장은 제대로 평가하지 못하는 것으로 나타났다. 특히, 기업고유이익보다 산업이익의 지속성이 더 큼에도 불구하고 시장은 산업이익의 지속성을 기업고유이익보다 더 크게 과소평가하는 것으로 나타났다. 또한, 기업고유이익의 크기에 따라 구성한 헷지 포트폴리오의 수익률은 1년 동안의 기간에만 유의하게 양(+)의 값이지만 산업이익의 크기에 따라 구성한 헷지 포트폴리오의 수익률은 미래 3년 동안 유의하게 양(+)의 값을 보임으로써 시장은 기업고유이익에 비해 산업이익의 지속성을 더 부정확하게 인식하고 있는 것으로 나타났다. 추가적으로 정보환경에 따라 산업이익과 기업고유이익의 지속성에 대한 시장평가가 달라지는지를 분석한 결과, 산업이익과 기업고유이익의 지속성에 대한 시장평가는 예상대로 정보환경에 따라 달라지는 것으로 나타났다. 그러나 Mishkin test의 결과는 생략된 변수 문제가 있을 수 있으므로 Kraft et al.(2007) 모형을 이용하여 주식수익률에 영향을 미칠 것으로 예상되는 변수들을 포함하여 분석한 결과, 산업이익의 지속성에 대해 시장은 여전히 과소평가하는 것으로 나타났다. 그러나 기업고유이익의 지속성에 대해서는 시장이 적절하게 평가하고 있는 것으로 나타나 Mishkin test와는 다른 결과가 나타났다. 따라서 기업고유이익의 지속성에 대한 해석에는 주의가 필요하며 이 부분에 대한 보다 깊이 있는 분석은 앞으로의 연구에서 다루어져야 할 것으로 판단된다.
Hui et al.(2016) separated accounting earnings into industry-wide and firm-specific earnings and examined whether there is difference in persistence between industry-wide and firm-specific earnings and whether the market recognizes the differential persistence between them. Many previous studies separated earnings into accruals and cash flows, to measure the quality of earnings, and examined their characteristics. This kind of separation of earnings is based on accrual accounting to adjust a firm’s performance with accruals because the performance is biased if it is measured with cash flows. Compared with this, separating earnings into industry-wide and firm-specific earnings emphasizes the economic sources from which they are created(Hui et al., 2016). Industry-wide earnings is created from industry factors which are common to all firms in the same industry that the firm belongs to. Firm-specific earnings is created from the firm-specific factors, such as the firm’s own patents and customer network and so on. The primary purpose of this paper is to analyze whether the results of Hui et al.(2016) is also observed in South Korea. It requires an empirical test because Korean financial market is different from the financial market of U.S.A. To prove it, this paper selected 8,240 firm-year observations from the firms listed on Korea Stock Exchange at the end of each calendar year for the period of 2001 to 2018. Using the sample, we investigated the persistence of industry-wide and firm-specific earnings and market pricing of them through Mishkin(1983) test and hedge portfolio based on the magnitude of industry-wide and firm-specific earnings, respectively. In addition, considering omitted variables ignored in Mishkin(1983) test, OLS of Kraft et al.(2007) was also executed. Mishkin(1983) test showed that the persistence of industry-wide earnings is larger than the persistence of firm-specific earnings and that market under-prices the persistence of industry-wide earnings more than the persistence of firm-specific earnings. This result is consistently shown in returns to hedge portfolio based on the magnitude of industry-wide and firm-specific earnings. Especially, returns to hedge portfolio based on industry-wide earnings last for three years after the hedge portfolio formation, compared to returns to hedge portfolio based on firm-specific earnings which last only for one year. The result of hedge portfolio is consistent with the higher mispricing of industry-wide earnings shown in Mishkin(1983) test. However, the result using Mishkin(1983) test is likely to be biased with omitted-variables problem, which was suggested by Kraft et al.(2007). To control for this problem, we executed OLS process provided by Kraft et al.(2007) including the variables that are expected to affect stock returns. The result showed that the persistence of industry-wide earnings is still under-priced but the persistence of firm-specific earnings is properly priced. Therefore, because the market pricing of the persistence of firm-specific earnings is different between Mishkin(1983) test and Kraft et al.(2007) model, the market pricing of firm-specific earnings should be interpreted with caution. In addition, we investigated whether the market pricing of earnings persistence is affected by the information environment, which is proxied for four alternative measures; stock price synchronicity, idiosyncratic volatility, analysts coverage, and foreign ownership. The under-pricing of industry-wide earnings is decreased with high(low) synchronicity(idiosyncracy). However, the mispricing of firm-specific earnings is enlarged with low(high) synchronicity (idiosyncracy), inconsistent with the expectation. As for the analysts coverage, though the market under-prices both industry-wide and firm-specific earnings when analysts coverage is low, the market prices industry-wide earnings properly and under-prices firm-specific earnings less when analysts coverage is high. Finally, in the case of high foreign ownership, the level of under-pricing of both industry-wide and firm-specific earnings becomes lower, which shows that foreign ownership makes market’s pricing more accurate. This paper has additional implications to prior literature in that it provides another chance to investigate the role of accounting earnings through separating earnings into industry-wide earnings and firm-specific earnings. Many a study has investigated accruals and cash flows as two components of earnings, however, few studies have been concentrated on industry-wide and firm-specific earnings as components of earnings. This paper also provides an answer to the question of whether the results of Hui et al.(2016) are observed in South Korea, of which financial market is considered to be different from U.S.A. ‘s. In addition, this paper expands Hui et al.(2016) to show that market pricing of industry-wide and firm specific earnings is affected by information environment, proxied for stock price synchronicity, idiosyncratic volatility, analysts coverage, and foreign ownership. The effect of information environment on market pricing of industry-wide and firm-specific earnings was not dealt in Hui et al.(2016).