투자효율성이 회계이익의 지속성과 가치관련성에 미치는 영향

This study examines the effect of investment efficiency on earnings persistence and value relevance of earnings. Under the condition of no market frictions such as adverse selection or agency costs, efficient investment is to undertake projects with positive net present value. On the other hand, inefficient investment is (i) to invest in negative net present value projects (over-investment) or (ii) to give up investment opportunities that have positive net present value (under-investment). Thus, it is likely that efficient investment results in higher future earnings and firm value. We hypothesize that inefficient investment decreases earnings persistence and pricing multiple on earnings. Following McNichols and Stubben (2008), we measure investment inefficiency as the residuals from regression model where capital expenditures are regressed on investment opportunities such as Tobin’s Q and cash flows from operations after controlling for asset growth and past investment. But to the extent that both over-investment and under-investment are considered to be inefficient, we take the absolute value of the residuals so that a larger (smaller) absolute value of the residual represents less (more) efficient investment. We evaluate earnings persistence by the first-order autocorrelation between earnings per share over two consecutive periods and value relevance of earnings by the pricing multiple on earnings in Ohlson’s (1995) model. The initial sample consists of non-banking firms with December fiscal year end that are traded over Korea Exchange from 2001 to 2012. We impose the following requirements: (i) that data should be available on Data Guide Pro and (ii) that there should be at least 10 firm-years in a given industry to estimate investment efficiency. We have the final sample of 10,253 firm-years, which consists of over-investment subsample (3,952 firm-years) and under-investment subsample (6,301 firm-years). Empirical results generally support our expectation. First, earnings are less persistent for firms with inefficient investment than for firms with efficient investment. This suggests that inefficient investment deteriorates earnings persistence. Second, the pricing multiple on earnings is smaller for firms with inefficient investment than for firms with efficient investment. This indicates that market participants evaluate unfavorably inefficient investment. This finding is robust (i) after clustering adjustment by firm, (ii) for alternative measure for investment efficiency, and (iii) across either over- or under-investment subsamples. The results in this study improve our understanding of economic consequences of investment efficiency with respect to earnings persistence and value relevance of earnings. And Investors and regulators should be aware of the effect of managerial investment decisions on future earnings and firm value.