옵션기준 지분가치평가모형을 이용한 회계이익과 장부가치의 기업가치 관련성 분석
(An) empirical analysis on the relevance of accounting income and book value using option-style model of equity value
회계감사 지분가치평가모형 회계이익;
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Many studies have shown that equity value is related to accounting earnings since Ball and Brown (1968). These studies relied on the model assuming the value of equity is a linear function of both expected earnings and book value. Evidence in 1990s raised questions about the assumptions of a linear relation between equity value and accounting earnings. For example, Hayn (1995) showed that earning of loss firms were less informative than profit firms about the future prospects because shareholders had a liquidation option. The results suggested that the equity value-accounting earnings relation may not be linear function across profit and loss firms. Jan and Ou (1995) also documented a nonlinear equity value-accounting earnings relation across profit and loss firms. More strikingly, they found that the relation was reliably negative for loss firms. The more negative a firm's earnings per share is, the higher is its equity value. But these studies did not suggest the model of valuation that could explain the relation between equity value and accounting earnings. Burgstahler and Dichev (1997) developed an equity valuation model which explicitly recognized the option that firms can adapted their resources to an alternative uses which were available to the firm. They contented the ex ante value of the option should be reflected in equity value. They found that equity value was a nonlinear function of both accounting earnings and book value across firms. They divided the sample into three even groups, therefore, they could not recognized the inflection point. The purposes of this thesis are as followings. First, to investigate whether the linear relation between equity value and accounting earnings exists in firms listed in Korean stock markets, simple linear regression model of equity value and accounting earnings is used. Second, to investigate relative value relevance between accounting earnings and book value, multiple linear regression model of equity value and accounting earnings/book value is used. Third, to investigate the nonlinear relation between equity value and accounting earnings/book value, piece-wise linear regression model is used. Analyses are performed for all sample and across subsamples divided into loss firms and profit firms. The change in the relations is observed in 20 years. In the third analysis, the sample is divided into loss firms, profit firms and earnings management firms. The results of this thesis are as followings. First, simple regression of equity value and accounting earnings show that profit firms have linear relation between equity value and accounting earnings, but loss firms do not. The results imply that there is a difference in value-relevance of accounting earning between loss firms and profit firms. Second, the regression between equity value and accounting earnings/book value show that accounting earning in the most significant variable affecting equity values of profit firms, while book value affects equity value of loss firms. The results imply that accounting earnings and book value are differently acknowledged for equity valuation across firms in Korean stock markets, which has a very significant implication for investors and CEOs. Third, the results of piece-wise linear regression model between equity value and accounting earnings/book value, show that equity value is nonlinear function of accounting earnings for a given book value, and nonlinear function of book value for a given accounting earnings. The results suggest that an option-style valuation model can explain the nonlinear relation between equity value and accounting earnings/book value.