이익기업과 손실기업의 이익지속성과 자본시장의 반응

Sloan(1996) reports that the persistence of accruals for future earnings is lower than that of cash flows, but investors do not properly reflect the persistence of earnings components. After he first documents the accrual anomaly characterized by investors' underpricing of cash flows and overpricing of accruals, many studies extends the accrual anomaly. Xie(2001) decomposes accruals into discretionary(abnormal) accruals and non－discretionary(normal) accruals and tests whether stock prices rationally reflect the persistence of these accruals. He finds that investors overestimate the persistence of discretionary accruals and consequently overprice discretionary accruals. However, he could not find significant evidence of overpricing of non－discretionary accruals. Richardson et al.(2005) categorize the accruals according to their reliability and test whether less reliable accruals lead to lower earnings persistence and whether investors rationally reflect lower earnings persistence. They find that less reliable accruals lead to lower earnings persistence and investors do not rationally reflect lower earnings persistence, leading to significant stock mispricing. The accrual anomaly reported is mainly based on data from the U.S. capital markets. Pincus et al.(2007) investigate whether the accrual anomaly generalizes to other countries and whether the occurrence of the accrual anomaly is associated with country－level accounting and institutional structures. They find that the accrual anomaly exists in only four countries, Australia, Canada, the U.K. and the U.S. out of 20 countries considered. They also find that the accrual anomaly is more likely to occur in countries having a common law legal tradition, where extensive use of accrual accounting permitted, where concentration of share ownership is lower, and where outside shareholder rights are weaker. This study examines whether the accrual anomaly occurs in the Korean capital markets. The evidence of the accrual anomaly in Korea may be interesting for two reasons. First, Pincus et al.(2007) does not include Korean firms. Second, Korea has a code law tradition, so the accrual anomaly is less likely to occur. However, extensive use of accrual accounting is permitted in Korea and the accrual anomaly is more likely to occur. The occurrence of the accrual anomaly depends on which of two factors is more dominant. This paper also examines whether accrual anomaly for profit firms is different from that for loss firms. This study analyzes earnings persistence of accruals and cash flows for profit and loss firms and test whether stock prices reflect properly the persistence of earnings components. The sample consists of manufacturing firms listed on Korea Stock Exchange for 11 years from 1995 to 2005. The empirical results show that earnings persistence for profit firms is significantly higher than that for loss firms. The persistence of cash flows is higher than that of accruals for both profit firms and loss firms. The results also indicate that the persistence of all earnings components, cash flows, non－discretionary accruals and discretionary accruals for profit firms is significantly higher than that for loss firms, respectively. The results of market response to earnings and its components show that accrual anomaly exists in the Korean capital markets, only for profit firms. That is, investors overestimate the persistence of accruals for profit firms. Investors' overpricing of accruals extends to non－discretionary accruals as well as discretionary accruals for profit firms. On the other hand, contrary to the profit firms, investors underestimate the persistence of accruals for loss firms. This study contributes to academic future research in the accounting and finance area by providing an evidence that the accrual anomaly exists in the Korean capital markets only for profit firms.