회계이익과 세무이익의 차이에 따른 가치평가 오류현상

This study investigates whether stock market fully appreciates the persistence of earnings for future earnings and the level of book－tax differences influence the market irrationality. Prior studies report the evidence that the accrual component of earnings is priced rationally for firm with large book－tax differences, although investors generally appear to overestimate the persistence of the accrual component of earnings. However, they did not examine whether market uses book－tax differences in assessing the persistence of earnings in the way that book－tax differences are useful method in detecting earnings management. Looking at the question, we explore market mis－pricing of the accruals with earnings managed firms. This study provides better perspective than prior research in this way. Our sample consists of 2,243 listed firm－year observations on the Korea Stock Exchange during 2001－2010. In order to investigate the market efficiency, the tests employ the framework developed by Mishkin (1983). Our results indicate that market overvalues the accrual with regard to earnings persistence for firm with small book－tax differences. However, we could not find whether market either overestimates or underestimates the persistence of earings. The results imply that investors use book－tax differences to infer the persistence of earnings but not earnings management.