비재무적 정보를 이용한 코스닥 벤처기업들의 비선형성 분석

This paper revisits the relevance of an option-style valuation model which predicts that KOSDAQ venture firms’ equity value is a convex function of both earnings and book value. Such an argument is in sharp contrast to Ohlson’s Residual Income Model (RIM) which predicts that a firm’s equity value can be described as a simple linear combination of accounting earnings, book value, and some other information set. The option-style valuation model posits that unlike the KOSDAQ general firms, KOSDAQ venture firms are more likely to be in a non-stationary state making RIM less appealing as an appropriate valuation model. The proponents argue that RIM should be used when valuing KOSDAQ general firms and the option-style valuation model should be used when valuing KOSDAQ venture firms. Such argument naturally calls for the next research question of what really make the option-style valuation model more apt than the RIM. Needless to say, one explanation is the one that constitute the foundation of the option-style model hypothesis. That is, KOSDAQ venture firms are more likely to convert their assets into an alternative use than KOSDAQ general firms which triggers a higher liquidation option value that can not be captured by the typical accounting information of earnings and net equity value. There is yet another competing argument proposed by the current study. The nature of KOSDAQ venture firms make it difficult for accounting information of earnings and net equity value to fully capture the valuation related characteristics. In such situation, the role of “other information” coined in Ohlson(1995) could play a critical role. Such possibility has been tested in numerous prior studies including Hand(2000a, 2000b), Truman et al. (2000) and Amir and Lev(1996). Therefore, it is only proper to test the two competing hypotheses. Some interesting findings of the present paper are as follows. First, some findings from the prior studies supporting the partial option-style valuation model can not be used as an evidence in favor of the model because the empirical counterpart of the option-style model and the RIM model are exactly alike. Both mathematical derivation and empirical result of the present paper support this argument. Second, the effects of conservative accounting of KOSDAQ venture firms likely to have introduced some error-in-variable problems in the regression causing the coefficient of the dummy variable to be biased downward. Notwithstanding the foregoing error-in-variable problems, the convexity was found to be robust. The present study goes further and show that the convexity is not triggered by the option values of KOSDAQ venture firms but the insufficiency of accounting variables in capturing the value relevance of these firms. Thus, when “other information variables” in the RIM model are added to the regression, convexity disappeared. In summary, the present paper posits that competing the option-style valuation model and the RIM in the absence of “other information variables” is not a fair testing of competing hypotheses regarding the valuation of KOSDAQ venture firms. If it were for the liquidation option values that made the option-style valuation model more appealing, the variable that proxied the liquidation option value should have persisted even after the “other information variables” proxies were included in the model. Of course, the empirical results showed the contrary.