연결재무구조와 체계적 위험간의 상관관계분석 -연결정책수립을 위한 실증연구

Tests for the usefulness of the current consolidated financial statement information should provide evidence to guide future revision of the accounting standards for consolidation. The purpose of this paper is to test if consolidated capital structure explains systematic risk (market beta) of firms better than unconsolidated capital structure. Industry dummy variables and operating leverage as well as debt-to-equity ratios are included in the regression model. Results of regression analysis with 564 sample firm/years for 1993-96 period show that consolidated financial leverage (debt-to-equity ratio) have more significant direct relationships with market beta than unconsolidated financial leverage. Consolidated financial leverage remains significant at 1% level for all models, whereas significance of unconsolidated financial leverage varies greatly with models used. Also, consolidated financial leverage has greater adjusted R² than unconsolidated one. The x² test to compare unconsolidated and consolidated financial leverage in terms of the explanatory power shows that difference of the two is significant. Also, the difference between consolidated and unconsolidated financial leverages was included in the regression to see if it had additional explanatory power for the market beta. The results show that consolidated financial leverage explains systematic risks of firms better than unconsolidated financial leverage. It implies that consolidated capital structure have additional information usefulness for investors` assessment of the systematic risk of firms.