재무이익-세무이익의 일치성에 따른 이익구성요소의 지속성과 시장반응

초록

Sloan(1996) reports that the persistence of accruals for future earnings is lower than that of cash flows, but, investors do not properly reflect the persistence of earnings components. After he first documents the accrual anomaly characterized by investors` underpricing of cashflows and overpricing of accruals, many studies extend the accrual anomaly. Richardson et al.(2005) categorize the accruals according to their reliability and test whether less reliable accruals lead to lower earnings persistence and whether investors rationally reflect lower earnings persistence. They find that less reliable accruals lead to lower earnings persistence and investors do not rationally reflect lower earnings persistence, leading to significant stock mispricing. Even though, these studies consider the valuation implications of accruals, they do not examine how taxes affect the extent to which the market uses financial information efficiently. The accrual anomaly reported is mainly based on data from the U.S. capital markets. Pincus et al.(2007) investigate whether the accrual anomaly generalizes to other countries and whether the occurrence of the accrual anomaly is associated with country-level accounting and institutional structures. They find that the accrual anomaly is present in only four countries, Australia, Canada, the U.K. and the U.S. out of 20 countries considered. They also find that the accrual anomaly is more likely to occur in countries having a common law legal tradition, where extensive use of accrual accounting permitted, where concentration of share ownership is lower, and where outside shareholder rights are weaker. Notwithstanding the numerous evidence of accrual anomalies in U.S. market and preliminary evidence in Korean market, there is only a few papers which deals with the question whether accraul anomaly exists in Korean capital market. This paper examines accrual reliability and investors market pricing based on the spirit of Richardson et al.(2005) that less reliable accruals lead to lower earnings persistence and that investors do not fully anticipate the lower earnings persistence leading to significant security mispricing. Different from prior studies, this paper emphasizes the role of taxes in accrual pricing and examines how market prices book accruals and book-tax accruals in Korean capital markets. For this purpose, total accruals are decomposed according to accrual components reliability and book-tax conformity. More specifically, accruals are decomposed into low reliable book accruals, high reliable book accruals, low reliable book-tax accruals and high reliable book-tax accruals. Book accruals are defined as accruals that affect solely reported earnings and have no effect on a firm`s taxable income and book-tax accruals are defined as accruals that affect both reported earnings and taxable income. The sample consists of manufacturing firms listed on Korean Stock Exchange for 12 years from 1994 to 2005. The results are summarized as follows. First, The results of market response to earnings and their components show that accrual anomaly exists not only in book accruals but also in book-tax accruals, and investors` overreaction mainly focuses on relatively low reliable accruals. Second, The magnitude of mispricing for book accruals are larger than that for book-tax accruals. Third, comparing low reliable accruals, the magnitude of investors` market mispricing are larger in low reliable book accruals than in low reliable book-tax accruals. Forth, investors` market mispricing are mainly caused by low reliable book accruals and low reliable book-tax accruals. These results conform to the explanation that investors do not rationally understand the persistence of book accruals and book-tax accruals and this leads to accruals mispricing. The result that the market inability to correctly assesses the persistence of accruals is more severe for book accruals than the book-tax accruals implies that investors relatively over-estimates book accruals which has lower earnings persistence. This study contributes to accrual anomaly and book-tax differences study by providing an evidence that the accrual anomaly exists in Korean capital market and is amainly caused by low reliable book accruals and by low reliable book-tax accruals.

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