발생액 변동이 정보비대칭, 이익예측과 자본비용에 미치는 영향

초록

In this study, we investigate the effect of earnings quality on the firms’ information asymmetry, forecast error, and cost of capital. Following Jayaraman(2008), we divide volatility of earnings into volatilities of cash flow and of accruals and use volatility of accruals(ACEV) as a proxy for earnings quality. For the information asymmetry test, we use the daily stock return volatility(VOLA) and the trading volume turnover (VOL) as information asymmetry proxies. For the analysts’ forecast error test, we use the analysts’ forecast accuracy(ACR). And as proxies for the cost of capital, we calculate firms’ cost of capital using three specific models, PEG model, MPEG model, and GM model. The sample of this study consists of Korean industrial firms from 2001 to 2008. The empirical results show that, as we expected, the better earning quality firms have, the less information asymmetry, the smaller analysts’ forecast errors and the lower cost of capital, respectively. Specifically, the better quality firms (with less volatility of accruals) enjoy less daily stock return volatility and higher trading volume turnover. The analysts’ earnings forecasts for the better earnings quality firms are much more accurate. And in terms of cost of capital, the better earnings quality firms’ cost of capital is lower. This study shows that firms’ earnings quality, which is based on volatility of accruals, affects the information asymmetry between firms and the market, the analysts’ forecast errors, and firms’ cost of capital.

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