코로나19 확산의 수요충격에 대비한 상장기업 현금소진위험 설명변수와 상장폐지 예측에 관한 실증연구

[Purpose] Due to the spread of COVID－19, there is a growing likelihood that firms face a demand shock from decreased export and stagnation of the domestic market. Thus, this study explores accounting variables that explain the cash crunch risk and examines whether such variables have significant explanatory power on the firm’s extreme downside risk. [Methodology] Our sample consists of non－financial firms listed in KOSPI and KOSDAQ from 2001 to 2019, a total of 23,558 firm－year observations. This research analyses the major accounting variables that explain cash crunch risk using Probit regression and verifies the association between the estimated cash crunch risk and delisting probability in the future using correlation analysis. For high－risk firms, a stress test based on demand shock scenarios was performed to check the possibility of expanding the cash crunch risk. [Findings] The followings are the findings of this study. First, firms with lower cash holdings, smaller size, greater absolute value of discretionary accruals, and larger marketto－ book have a higher risk of a cash crunch. Second, estimated cash crunch risk and the likelihood of delisting are significantly and positively associated. Lastly, cash crunch risk increases for firms with poor solvency, impaired equity, and ratings in speculative credits. In addition, firms that are closer to the bond maturity date and more vulnerable to high demand shock also have higher cash crunch risk. [Policy Implications] In this study, we explore accounting variables that explain the cash crunch risk and find a significant relationship between the estimated risk and future delisting probability. This study has policy implications by providing an analytical tool to diagnose firms’ cash crunch risk.