이익생성함수와 기업가치: 이론 및 실증분석

The paper develops a continuous-time version of the equity valuation model that relies on a firm-specific earnings generating function (henceforth, EGF). The introduction of EGF allows the model (1) to have a continuous nature which enables valuing firms at any time when interim information about earnings becomes available, and (2) to capture effects which would never appear in the traditional model, such as the first and second derivatives of the EGF (or the direction and speed of current earnings change), and the future variability of earnings (e.g., future maximum and minimum) predicted from the EGF.In the empirical analyses based on the semi-annual earnings data of the KSE (Korea Stock Exchange) firms, we have assumed two different functional forms (i.e., trigonometric functions and polynomials) as a firm’s EGF, and have compared performance of the two functions. The results show that, regardless of how the EGF is assumed, the new model does explain a significantly greater fraction of the variation in firm values than the classical model at the 1% significance level. The first derivative and the predicted maximum of earnings are positively associated with the stock price level, while the second derivative, the predicted minimum and variability of earnings are negatively associated. Additional analyses provide evidence that the model’s performance varies across firm characteristics, such as the length of a firm’s operating cycle and the sign of the EGF's first derivative. A firm which has a longer operating cycle or has a negative first derivative of the EGF makes a significantly greater increase in the adjusted R2 ’s than a firm with the opposite circumstances.