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정보의 질, 주식수익률, 그리고 거시경제적 상황
Reports NRF is supported by Research Projects( 정보의 질, 주식수익률, 그리고 거시경제적 상황 | 2007 Year | 김동철(고려대학교) ) data is submitted to the NRF Project Results
Researcher who has been awarded a research grant by Humanities and Social Studies Support Program of NRF has to submit an end product within 6 months(* depend on the form of business)
  • Researchers have entered the information directly to the NRF of Korea research support system
Project Number B00260
Year(selected) 2007 Year
the present condition of Project 종료
State of proposition 재단승인
Completion Date 2009년 02월 10일
Year type 결과보고
Year(final report) 2009년
Research Summary
  • Korean
  • 본 논문은 회계정보의 질이 체계적으로 주가에 영향을 미쳐서, 기업의 자기자본 조달비용에 영향을 미치는가를 미국의 자료을 이용하여 검증하고 있다. 회계정보의 질은 기존의 논문들과 같이 Accruals Quality로 측정하였다. 기존의 연구는 체계적인 영향을 주는 결과를 찾기가 힘들다고 주장하고 있으나, 보다 엄밀한 분석을 한 본 논문의 결과에 의하면 저가주식을 제외하였을 경우 체계적으로 영향을 준다는 것이 밝혀졌다. 그 이유는 AQ같은 복잡한 회계정보를 전문적 투자자가 아닌 경우 그 의미를 이해하기가 어렵고, 이런 비 전문적 투자자는 주로 저가주식 거래를 선호하기 때문에 AQ의 의미가 저가주식의 거래가에 반영되기 어려운 점이 있기 때문이다.
    또한 AQ는 거시경제변수들과도 밀접한 관계가 있음을 본 논문은 밝히고 있다.

  • English
  • This paper reexamines whether accruals quality (AQ) is a priced risk factor in two perspectives different from the previous studies. First, in the two-stage cross-sectional regression tests using individual stocks, we find that the AQ risk factor is statistically and economically priced after controlling for low-priced returns. Our results are robust in tests using various portfolio formations and different beta estimations. Further examinations show that low-priced returns draw less attention from analysts and informed traders as evidenced by lower analyst coverage, higher analyst dispersion, and low turnover ratio. This finding may explain why AQ is priced in high-prices stocks but not in low-priced stocks. Since the market capitalization of low-priced stocks is only about two percent of that of high-priced stocks, our results suggest that a tradeoff between AQ-related risk and return governs the investment behavior of most market participants. Second, we show that AQ is related to fundamental risks as evidenced by (i) the risk premium associated with AQ systematically varies with macroeconomic conditions and business cycles; (ii) poorer AQ firms are more responsive to the change of macroeconomic conditions; and (iii) the risk premium of AQ and the dispersion of AQ between poor and good AQ firms are related to future economic activities.
Research result report
  • Abstract
  • This paper reexamines whether accruals quality (AQ) is a priced risk factor in two perspectives different from the previous studies. First, in the two-stage cross-sectional regression tests using individual stocks, we find that the AQ risk factor is statistically and economically priced after controlling for low-priced returns. Our results are robust in tests using various portfolio formations and different beta estimations. Further examinations show that low-priced returns draw less attention from analysts and informed traders as evidenced by lower analyst coverage, higher analyst dispersion, and low turnover ratio. This finding may explain why AQ is priced in high-prices stocks but not in low-priced stocks. Since the market capitalization of low-priced stocks is only about two percent of that of high-priced stocks, our results suggest that a tradeoff between AQ-related risk and return governs the investment behavior of most market participants. Second, we show that AQ is related to fundamental risks as evidenced by (i) the risk premium associated with AQ systematically varies with macroeconomic conditions and business cycles; (ii) poorer AQ firms are more responsive to the change of macroeconomic conditions; and (iii) the risk premium of AQ and the dispersion of AQ between poor and good AQ firms are related to future economic activities.
  • Research result and Utilization method
  • There has been a controversy as to whether accruals quality is priced on asset returns and systematically affects the cost of capital of firms. We reexamine whether there is a relationship between AQ and average stock returns by controlling for low-priced returns. The reason we control for low-priced returns is that when a firm’s stock price falls below a threshold such as $5 at a time point and hovers below the threshold afterwards due to the lack of positive news, the stock tends to be neglected by analysts and institutional investors. Then, the implication of complicate information such as accruals quality is hardly accurately impounded into its stock price. This kind of stocks tends to be more affected by noise traders rather than informed traders. Even though AQ has a systematic pricing impact, it would be hard to detect such pricing results from low-priced returns. We also examine whether the risk premium associated with risk caused by AQ reacts systematically to macroeconomic shocks. If AQ is really a fundamental priced factor, we expect that a risk factor related with AQ should show a significant relationship with macroeconomic variables.
    In the cross-sectional regression tests of average returns on the AQ betas by using individual stocks, we have found that the AQ risk premium is statistically and economically significant after controlling for low-priced returns. Especially, the AQ risk premium is significant even without controlling for low-priced returns, when Fama and French’s (1992) assigned betas obtained from some sets of portfolios are employed. In fact, the average market capitalization of the low-priced group is only about two percent of that of the high-priced group. It could be said, therefore, that AQ is priced on the most part of stock returns in terms of the market capitalization and that a tradeoff between AQ-related risk and return governs the investment behavior of most market participants.
    We have also obtained the results showing that firms with poorer accruals quality are more exposed to macroeconomic shocks, and the AQ risk premium systematically varies with macroeconomic conditions. Moreover, we find that the difference of the AQ values and returns between the best AQ and poorest AQ portfolio are significantly related to future economic activities. These results suggest that AQ is associated with fundamental risks and the risk factor constructed from AQ-mimicking portfolios is a priced risk factor. Overall, the conclusions from the previous studies that AQ is not significantly priced are therefore premature and should be cautiously interpreted.
  • Index terms
  • Accruals quality, Low-priced returns, Risk factor models, Cross-sectional regression tests, Macroeconomic conditions
  • List of digital content of this reports
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