혼합잉여의 유형별 가치관련성에 관한 연구

Abstract

This study investigates whether firm`s share prices correctly reflect two types of dirty surplus items in Korean capital market. The first of these is commonly referred to as “other comprehensive income,” which is a component of comprehensive income that is excluded from reported earnings, and therefore violates clean surplus accounting. The second accounting measure we consider is “hidden dirty surplus”, which arises when a firm issues or reacquires its own shares in a transaction that does not record the shares at fair market value. An Example this kind of transaction is a conversion of a bond into common stock at other than fair market value. Unlike other comprehensive income, which is readily observable from the comprehensive income statement under K-IFRS, hidden dirty surplus is unobservable. Therefore, it is very difficult for investor to estimate the valuation impact of equity transactions that give rise to hidden dirty surplus. As a result, hidden dirty surplus is less likely to be correctly priced than are other comprehensive income. Specifically, we compute other comprehensive income(OCI) as sum (1) the change in value of available-for-sale securities. (2) the foreign exchange gains and losses arising from translations of financial, (3) the effective portion of gains and losses on hedging instruments in a cash flow hedge, (4) the change in value of property, and (5) the actuarial gains and losses on defined benefit plans. Based on Landsman et al. (2011), we compute hidden dirty surplus(HDS) as the change in the book value of common equity, less OCI, less net income, plus dividends, less share price at middle of fiscal year times change in common shares outstanding. To achieve the afore-mentioned research objectives, we first assess whether investors properly value each of these two types of dirty surplus by estimating a residual income forecasting equation and an attendant valuation equation that includes both of these components, using financial statement and stock price data from 2011-2014. We next employ Carhart`s (1997) four-factor market model in order to see market-based financial performance measured by stock return incorporates these two components of dirty surplus. Using the four factor model, we analyze whether investors can obtain abnormal returns by holding long position in firms with relatively large OCI or HDS and short position in firms with relatively small OCI or HDS. The analysis yields following key findings. First, other comprehensive income are irrelevant for forecasting abnormal very comprehensive income in next period and setting stock prices. Second, hidden dirty surplus is also irrelevant for forecasting abnormal very comprehensive income in next period but investors appear to undervalue the HDS component of income, i. e., over-value equity. Third, hedge returns are insignificant when the sample firms are ranked based on the other comprehensive income, but it is positive and significant when the HDS is used to rank the sample firms. These results are suggest that investors fail to understand the lack of persistence of hidden dirty surplus, and therefore apparently over-valuing firms that have hidden dirty surplus.