비영업발생액에 의한 이익지속성의 저하와 자본시장의 반응

Various forms of evidence of capital market anomalies have been suggested recently. One of well-known anomalies in accounting literature is the accrual anomaly reported by Sloan (1996). According to the study, although the accruals has lower persistence than cash flow, it seems that the investors are not able to appreciate the implication of accruals on future earnings. After the salient study of Sloan(1996), many studies repeatedly confirmed that investors did not fully appreciate the implications of accruals on future earnings (Collins and Hribar 2000, Thomas and Zhang 2002; Ali et al. 2001; Fairfield et al. 2003; Richardson et al. 2005; Kang 2007). In those studies which investigated the ‘accrual anomaly’, they looked at only the current portion of accruals. When we define the accruals as the difference between net income and cash flows from operation, it include accruals from non-operating activities as well as accruals from operating activities. Non-operating accruals include the gains(or losses) from investment or financial activities such as gains(or losses) on valuation or disposition of assets. However, Sloan(1996) measured accruals as changes in current assets and liabilities and depreciation, so non-operating accruals were left out. Similar methods were used in subsequent studies which investigated the accrual anomaly. However, this study posits that the accrual anomaly is not limited to current accruals and we expect that non-current accruals may also lead to anomalous pricing as current accruals. We expect that accruals anomaly is not limited only to operating accruals, non-operating accruals also could be mispriced. In this study, we try to find empirical evidence of non-operating accruals anomaly. In fact, this issue of mispricing of non-operating accruals was indirectly dealt with by Xie (2001). He thought that accruals anomaly was related to opportunistic earnings management and verified that normal part of accruals was free from mispricing and only the abnormal part of accruals was related to mispricing. However, the Jones (1991) type model he used for dividing normal and abnormal accruals, classifies non-operating accruals as abnormal accruals (Bernard and Skinner 1996). Therefore non-operating part of abnormal accruals may also be related to anomalous response of market. However this issue was not paid direct attention before Dechow and Ge (2006) reported that the capital market failed in fully appreciating the implication of special items on future earnings when the reported earnings contains large negative accruals, namely transitory special items. When the firm recognizes large negative special items due to conservative accounting selection during restructuring, withdrawal or reduction of business, it seems that the capital market over-value the persistence of special items. We try to find evidence of this thought. We analyzed the 3,695 firm-year observations of 458 firms of accounting and financial data from 1997 to 2005. According to the results, although the earnings persistence is significantly lowered by the inclusion of transitory nonoperating items, and the capital market participants are unable to appreciate the implication of low earnings persistence of non-operating accruals on the stock price. Given that nonoperating items is reported on the face of financial statement as separate items, it is more intriguing that such transitory nature of non-current accruals are not reflected in the stock prices. It seems that the reason of accrual anomaly can’t be explain with opacity of accounting information but with intelligence of market participants