이익조정행위가 신규공모주 장기성과에 미치는 효과

The returns of IPO stocks have been well-known to underperform after the issue when compared with benchmark returns such as market returns. However, the causes of the underperformance have still been questionable. One plausible explanation is that IPO firms tempt investors by announcing positive accruals to bloat the net income and induce the overvaluation of investors for firms based on the optimistic expectations for the future performance. This paper examines that hypothesis and provides evidence that IPOs with unusually high accruals in the IPO year actually perform worse than IPO stocks with low accruals after issue. The discretionary current accruals(thereafter DCA) estimated by modified Jones model as the proxy for earning management increases from 2 year before the IPO year but decreases after the IPO year, which implies that IPO firms execute earning management before the IPO using DCA which can be adjusted easily at short-term period. We measure the long-run performance of 5 DCA portfolios divided by estimated DAC at the IPO year during 3 years and find IPO firms with highest positive DCA experience the poorest long-run performance. For example, the DCA hedge portfolio constructed by buying the IPOs with lowest DCA and selling the IPOs with highest DCA earns significantly positive excess returns, 48.38% measured by cumulative returns and 60.48% measured by buy-and-hold returns, on average, in 3 years.