잔여이익할인모형에 내재된 잔여이익 장기기대성장률과 재무제표 정보의 관련성에 관한 연구

To estimate the equity value of a firm using the residual income valuation model, one needs to predict its future residual income in perpetuity then to convert those forecasts into corresponding present value by applying a pertinent discount rate. It is, however, practically impossible to predict future residual income in perpetuity. As an alternative, researchers explicitly predict future residual income for a specific time period and then add a terminal value, i.e., the present value of future residual income beyond the forecast horizon. Although the terminal value accounts for a large part of total equity value, prior literature uniformly assumes a simple but arbitrary perpetual growth rate of residual income without considering firm characteristics. In this study, we examine whether financial statements information can explain investors’ expectation of long-term perpetual growth rate of residual income implied in current stock prices (hereafter, implied long-term growth rate of residual income) to shed some light on a more reasonable prediction of terminal value incorporating firm specific characteristics. Using 1,052 Korean firm/year observations between 2000 and 2005, we find the following empirical results. First, disproportionate (relative to sales) increases in accounts receivable and selling and administrative expenses are negatively associated with the implied long-term growth rate of residual income. This result suggests that those two pieces of information can be considered as negative signals for long-term future earnings as well as for short-term future earnings as reported in prior literature (e.g., Lev and Thiagarajan 1993). Second, total accruals are positively associated with the implied long-term growth rate of residual income,consistent with the argument that investors may overreact to firms’ past growth (e.g., Fairfield,Whisenant and Yohn 2003). Third, among the components consisting of the return on net operating asset, profit margin and operating liability leverage (operating asset turnover) are negatively (positively) associated with the implied long-term growth rate of residual income. This result implies that current high profit margins may not be maintained due to a severe competition, but that the firm’s ability to use operating assets more efficiently can have a positive impact on long-term future earnings. In addition, investors may consider high operating liability leverage as a negative signal for long-term future earnings, while prior literature suggests that operating liability leverage increases short-term future earnings. Finally, R&D expenses are positively associated with the implied long-term growth rate of residual income. This result suggests that investors consider R&D expenditures as a positive signal for longterm future earnings although they decrease current earnings due to immediate expensing of most R&D expenditures. In sum, these results indicate that financial statement information is helpful to predict long-term future earnings as well as short-term future earnings. This paper is the first study to examine the usefulness of financial statements information in predicting long-term future earnings beyond a forecast horizon. We expect that our findings may improve the implementation of an earnings-based valuation model by suggesting a way to estimate a more reasonable terminal value based on financial statements information.