이익예측치와 내재자기자본비용13)

This paper investigates the impacts of analysts’ optimistic earnings forecasts on the implied cost of equity capital for a sample of Korean firms over 2011-2019. We confirm that analysts’ earnings forecasts are optimistic and tend to be available for big firms, which may lead to sample selection bias. Following Easton and Sommers(2007), we estimate and compare the implied cost of equity capital (ICOE) based on analysts’ earnings forecasts and ICOE based on ex-post realized earnings and find that the former ICOE is higher than the latter ICOE by 5.1%. Instead of analysts’ earnings forecasts, we use earnings forecasts generated from two cross-sectional earnings models recommended by Li and Mohanram(2014) and estimate the implied cost of equity capital. The difference between earnings model-based ICOE and ICOE based on realized earnings is far lower than that between ICOE based on analysts’ earnings forecasts and ICOE based on realized earnings. Our findings are unchanged when the sample changes after including firms without analysts’ earnings forecasts. Empirical findings from research relying on analysts’ forecasts should be cautiously interpreted considering optimistic bias and sample selection bias.