자본조달방법과 목표자본구조가 이익조정과 주가수익률에 미치는 영향

Abstract

본 논문에서는 기업의 자본조달 방법과 자본구조가 이익조정에 미치는 영향과 자본조달 방법 및 자본구조와 이익조정이 주가수익률에 미치는 영향을 분석하고자 한다. 자본조달 방법 및 자본구조와 이익조정의 관계에서 이익조정을 하는 목적은 크게 두 가지로 볼 수 있는데 하나는 자본조달 시 주가에 직접적으로 영향을 미치기 위한 이익조정이고 다른 하나는 자본구조 개선을 위한 이익조정이다. 기업은 유상증자 전 주가에 직접적인 영향을 미치는 이익조정을 많이 할 것이며 일반적으로 부채비율이 높은 기업은 자본구조 개선을 위한 이익조정을 많이 할 것이다. 유상증자는 자본구조를 개선시키는 자본조달 방법이지만 사채발행은 자본구조를 악화시키는 자본조달 방법이기 때문에 부채비율이 높은 기업이 유상증자를 앞두고 있을 경우 유상증자는 자본구조 개선효과가 있으므로 자본구조 개선을 위한 이익조정을 많이 하지 않을 것이다. 즉, 유상증자 전 주가부양을 위한 이익조정은 많이 하는 반면 자본구조 개선을 위한 이익조정은 적게 할 것으로 예상된다. 자본조달 방법 및 자본구조와 이익조정이 주가수익률에 미치는 영향은 크게 세 가지로 볼 수 있다. 먼저 사채발행을 하면 주가가 상승하고 유상증자를 하면 주가가 하락한다는 신호효과(Signaling Effect)이다. 그리고 자본조달 전 이익조정이 자본조달 시 주가에 미치는 영향이며, 마지막으로 자본조달 방법에 따른 자본구조 변동 효과이다. 사채발행을 하면 자본구조는 악화되고 유상증자를 하면 자본구조는 개선되는데 이러한 효과는 신호효과와 정확히 반대로 주가에 영향을 미친다. 따라서 본 연구에서는 이 세 가지 효과를 분리하여 분석하고자 한다. 본 연구는 한국거래소 유가증권시장 상장기업 중 금융업을 제외한 1992년부터 2014년도까지의 12월 결산법인을 표본으로 하였다. 대상 기간 중에는 외환위기라는 특수한 경우가 포함되어 있어, 추가분석을 통해 외환위기 이전과 이후 기간을 분리해 결과를 제시하고자 한다. 본 연구에서는 목표부채비율과 실제부채비율의 차이를 자본구조의 측정치로 사용할 것이다. 본 논문의 연구 결과는 다음과 같다. 첫째, 자본조달 방법에 따라 이익조정 유인이 다를 것으로 보아 유상증자 전 재량적발생액과 사채발행 전 재량적발생액을 직접 비교 분석한 결과 유상증자 기업이 사채발행 기업보다 조달 전 이익조정을 많이 하는 것으로 나타났다. 이것은 사채발행에 비해 유상증자 전 주가에 직접적인 영향을 미치기 위한 이익조정이 많이 이루어진다는 것을 의미한다고 할 수 있다. 둘째, 자본구조에 따른 이익조정은 목표부채비율대비 실제부채비율이 높은 기업이 목표부채비율대비 실제부채비율이 낮은 기업보다 이익조정을 더 많이 하는 것으로 나타났다. 이런 결과는 기업이 자본구조 개선을 위해 이익조정을 하고 있음을 의미하는 것으로 보인다. 자본조달 방법과 자본구조가 이익조정에 미치는 영향을 분석한 결과, 목표부채비율대비 실제부채비율이 높은 기업이 유상증자로 자본을 조달할 경우 이익조정을 많이 하지 않은 것으로 나타났는데, 이는 유상증자 자체만으로도 자본구조의 개선효과가 충분히 크기 때문이라 판단된다. 셋째, 유상증자 기업과 사채발행 기업의 주가수익률을 직접 비교 분석한 결과 유상증자 후 주가수익률이 하락하는 것으로 나타났다. 이는 사채발행을 하면 주가가 상승하고 유상증자를 하면 주가가 하락한다는 신호가설과 일치하는 결과로 보인다. 또한 자본조달 방법과 이익조정의 상호작용을 통한 주가반응을 분석하였는데 유상증자 기업은 조달 전 실시한 이익조정으로 인해 조달 후 주가수익률이 더욱 하락하는 것으로 나타났다. 이것은 유상증자 시, 조달 전 행한 이익조정이 주가수익률에 부정적인 영향을 미친다는 것을 보여주는 결과라 할 수 있을 것이다. 넷째, 유상증자를 실시하면 목표부채비율대비 실제부채비율이 낮아져 자본구조가 개선되는 반면 사채발행을 하면 목표부채비율대비 실제부채비율이 높아져 자본구조가 악화된다. 한편 유상증자 또는 사채발행으로 인한 자본구조의 변동 효과는 정확히 신호효과와 반대로 작용한다. 즉, 사채발행을 하면 주가에 긍정적으로 신호효과가 작용하는 반면 자본구조가 악화되어 주가에 부정적 영향을 미친다. 유상증자를 실시하면 주가에 부정적으로 신호효과가 작용하는 반면 자본구조가 개선되어 주가에 긍정적 영향을 미친다. 이 두 가지 효과를 분리하여 주가반응을 분석한 결과 각 효과는 예상과 같은 방향으로 나타났고, 자본구조 개선효과보다 신호효과가 더 크게 작용하는 것으로 보인다. 또한 자본구조 개선 또는 악화로 인한 효과가 주가수익률에 미치는 영향은 비대칭적인 것으로 보인다. 사채발행으로 인한 목표부채비율대비 실제부채비율의 변화가 유상증자로 인한 목표부채비율대비 실제부채비율의 변화보다 주가수익률에 미치는 영향이 더 큰 것으로 나타났다. 즉, 주가는 자본구조 개선효과보다 자본구조 악화효과에 더 민감하게 반응한다는 것이다. 본 논문의 학술적 공헌점은 첫째, 유상증자 기업의 이익조정과 사채발행 기업의 이익조정을 각각 분석한 선행 연구와 다르게 두 가지 자본조달 방법에 따른 이익조정을 직접 비교 분석했다는 점이다. 둘째, 자본조달 방법에 따른 이익조정의 유인을 주가에 직접적인 영향을 미치기 위한 이익조정 부분과 자본구조 개선을 위한 이익조정 부분을 분리하여 분석했다는 점에 의의가 있다. 셋째, 자본조달 시 주가반응은 여러 가지 복합적인 요소에 의해 나타나는데, 신호효과와 자본조달 방법에 따른 자본구조의 변동 효과와 자본조달 전 이익조정이 자본조달 시 주가에 미치는 영향을 분리하여 분석했다는 점에 공헌점이 있다. 본 논문의 실무적 시사점은 첫째, 유상증자 시 발행 주식의 가격을 결정할 때 주가부양을 위해 발행 전 실시된 이익조정을 고려하여 그 효과만큼 가격을 할인하여야 한다는 것이다. 둘째, 사채발행 시 발행 사채의 가격(금리)을 결정할 때 자본구조 악화를 대비하여 발행 전 실시된 이익조정을 고려하여 그 효과만큼을 가격에 반영하여야 할 것이다. 셋째, 외부 감사인은 회계 감사 시 자본조달 전 실시된 이익조정 효과를 고려하여 감사 투입 인원, 시간, 정도를 조정하여야 할 것이다. 넷째, 자본구조 개선의 효과는 영업활동으로 인한 개선효과와 자본조달로 인한 개선효과가 다를 것이기 때문에 자본조달 방법을 선택할 때 이 부분도 고려하여 선택해야 할 것이다. 마지막으로, 본 논문은 자본조달, 자본구조, 이익조정, 주가수익률 등 익숙한 주제에 대해 개별적인 분석이 아닌 서로가 서로의 관계에서 어떠한 역할을 하는지 상호작용을 통해 분석하였다. 그 결과 서로 다른 각 주제들을 묶어 새로운 하나의 주제로 탄생시켰다.|This dissertation examines the effects of capital financing types and capital structures on earnings management as well as the effects of capital financing types, capital structures, and earnings management on stock returns. It appears that there are two main purposes of earnings management in the relationship of capital financing types and capital structures with earnings management. One is to affect stock prices directly and another is to improve capital structures. Prior to seasoned equity offerings (SEO), companies may use earning management to inflate stock prices. Highly leveraged companies may use earnings management to improve capital structures, in general. SEO improve capital structures and bond issues worsen capital structures. Before SEO, highly leveraged companies may not use earnings management which improves capital structures since SEO seem to enhance capital structures sufficiently. In other words, it is expected that these companies do much earnings management to support stock prices and do little earnings management which improves capital structures. It seems that there are three main effects of capital financing types, capital structures and earnings management on stock returns. To begin with, it is the signaling effect which claims that bond issues increase stock prices while SEO decrease stock prices. Secondly, there is the effect of earning management before financing on stock prices. Lastly, it is the effect of capital structures change by capital financing types on stock prices. Issuing bonds deteriorates capital structures while SEO improve them and these affect stock prices completely opposite directions to the signaling effect. Thus, this study analyzes these three effects separately. Samples of this study are the non-financial companies whose fiscal year ends in December 1992 to 2014 and listed in the Korea Exchange. Since the period of the samples includes the exceptional event of foreign exchange crisis in 1997, additional analysis will be conducted separating before and after the crisis. This thesis directly compared discretionary accruals before SEO with discretionary accruals before bond issues expecting that there should be different causes of earnings management. And the results suggest that more earnings management was detected in the companies issuing equity than in the companies issuing bonds. It means that companies use earnings management prior to SEO to affect stock prices directly. Also, earnings management based on capital structures was detected more in the companies with high real debt ratio relative to target debt ratio than the companies with low real debt ratio relative to target debt ratio. This result implies that the companies use earnings management to improve capital structures. In the analysis for the effects of capital financing types and capital structures on earnings management, the result shows that earnings management was not detected in the companies with high real debt ratio relative to target when raising capital by SEO. Presumably, it is because that SEO alone improve capital structures sufficiently. Furthermore, direct comparison of stock returns between the companies issuing equity and the ones issuing bonds indicates that stock returns of the former declines. This result appears to be consistent with the signaling effect that claims bond issues lead stock prices to rise while SEO make them fall. This study also investigates stock returns based on the interactions between capital financing types and earnings management and it finds that stock returns of the companies issuing equity shows even more drop in stock returns after financing due to earnings management prior to it. It implies that earnings management detected before financing through SEO affects stock returns negatively. Finally, SEO improve capital structures lowering real debt ratio relative to target debt ratio whereas issuing bonds worsens capital structures raising real debt ratio. On the other hand, the effect of capital structures change by capital financing types works on stock prices inversely to the signaling effect. In other words, the signaling effect influences stock returns positively in case of issuing bonds whereas the deterioration of the capital structures affects stock returns negatively. In the case of SEO, the signaling effect influences stock returns negatively whereas the improved capital structures affect stock returns positively. The consequence is consistent as expected when it examines the stock returns separating these two effects, besides the signaling effect seems to be prevailing over the effect of improving capital structures. Furthermore, the influences of improving or worsening capital structures on stock returns appear to be asymmetric. The change in the real debt ratio relative to target debt ratio by issuing bonds affects stock returns more than the change in the real debt ratio relative to target by SEO. In other words, stock returns are more sensitive to the effect from the worsening capital structures than to the effect from the improving capital structures. Academically, this dissertation contributes in three major respects. First, it directly compares the effect of two capital financing types on earnings management apart from the prior studies about earnings management of the companies issuing equity or issuing bonds, respectively. Second, this thesis is meaningful as it analyzes two causes of earnings management by the types of capital financing separately. One is to affect stock prices directly and another is to improve capital structures. Third, stock returns are generated by complex factors at the time of financing. This study is significant in the respect that it investigates the influences of the signaling effect, the effect of capital structures change depending on capital financing types, and earnings management before financing on stock returns, separately. In the practical perspective, this thesis has implications that companies use earnings management prior to SEO to support stock prices thus the portion of that effect needs to be deducted from the prices when issuing equity. Second, companies use earnings management before financing in preparation for deterioration of capital structures therefore at the time of issuing bonds, the prices (interest rates) needs to be discounted the portion corresponding to that effect. Third, when engaged in the auditing, the external auditors should decide the number of associates, audit hours, and audit efforts considering the effect of earnings management prior to financing. Fourth, the influences of improvement in capital structures on stock returns are different from operating activities or financing capital. Therefore, companies should also take this into account when determining how to raise capital. Last, this dissertation tested the interactions among the well-known subjects- capital financing types, capital structures, earnings managements, and stock returns- and individual roles to each other rather than analyzing every subject independently. Thus, a new subject is created integrating individually different subjects.; This dissertation examines the effects of capital financing types and capital structures on earnings management as well as the effects of capital financing types, capital structures, and earnings management on stock returns. It appears that there are two main purposes of earnings management in the relationship of capital financing types and capital structures with earnings management. One is to affect stock prices directly and another is to improve capital structures. Prior to seasoned equity offerings (SEO), companies may use earning management to inflate stock prices. Highly leveraged companies may use earnings management to improve capital structures, in general. SEO improve capital structures and bond issues worsen capital structures. Before SEO, highly leveraged companies may not use earnings management which improves capital structures since SEO seem to enhance capital structures sufficiently. In other words, it is expected that these companies do much earnings management to support stock prices and do little earnings management which improves capital structures. It seems that there are three main effects of capital financing types, capital structures and earnings management on stock returns. To begin with, it is the signaling effect which claims that bond issues increase stock prices while SEO decrease stock prices. Secondly, there is the effect of earning management before financing on stock prices. Lastly, it is the effect of capital structures change by capital financing types on stock prices. Issuing bonds deteriorates capital structures while SEO improve them and these affect stock prices completely opposite directions to the signaling effect. Thus, this study analyzes these three effects separately. Samples of this study are the non-financial companies whose fiscal year ends in December 1992 to 2014 and listed in the Korea Exchange. Since the period of the samples includes the exceptional event of foreign exchange crisis in 1997, additional analysis will be conducted separating before and after the crisis. This thesis directly compared discretionary accruals before SEO with discretionary accruals before bond issues expecting that there should be different causes of earnings management. And the results suggest that more earnings management was detected in the companies issuing equity than in the companies issuing bonds. It means that companies use earnings management prior to SEO to affect stock prices directly. Also, earnings management based on capital structures was detected more in the companies with high real debt ratio relative to target debt ratio than the companies with low real debt ratio relative to target debt ratio. This result implies that the companies use earnings management to improve capital structures. In the analysis for the effects of capital financing types and capital structures on earnings management, the result shows that earnings management was not detected in the companies with high real debt ratio relative to target when raising capital by SEO. Presumably, it is because that SEO alone improve capital structures sufficiently. Furthermore, direct comparison of stock returns between the companies issuing equity and the ones issuing bonds indicates that stock returns of the former declines. This result appears to be consistent with the signaling effect that claims bond issues lead stock prices to rise while SEO make them fall. This study also investigates stock returns based on the interactions between capital financing types and earnings management and it finds that stock returns of the companies issuing equity shows even more drop in stock returns after financing due to earnings management prior to it. It implies that earnings management detected before financing through SEO affects stock returns negatively. Finally, SEO improve capital structures lowering real debt ratio relative to target debt ratio whereas issuing bonds worsens capital structures raising real debt ratio. On the other hand, the effect of capital structures change by capital financing types works on stock prices inversely to the signaling effect. In other words, the signaling effect influences stock returns positively in case of issuing bonds whereas the deterioration of the capital structures affects stock returns negatively. In the case of SEO, the signaling effect influences stock returns negatively whereas the improved capital structures affect stock returns positively. The consequence is consistent as expected when it examines the stock returns separating these two effects, besides the signaling effect seems to be prevailing over the effect of improving capital structures. Furthermore, the influences of improving or worsening capital structures on stock returns appear to be asymmetric. The change in the real debt ratio relative to target debt ratio by issuing bonds affects stock returns more than the change in the real debt ratio relative to target by SEO. In other words, stock returns are more sensitive to the effect from the worsening capital structures than to the effect from the improving capital structures. Academically, this dissertation contributes in three major respects. First, it directly compares the effect of two capital financing types on earnings management apart from the prior studies about earnings management of the companies issuing equity or issuing bonds, respectively. Second, this thesis is meaningful as it analyzes two causes of earnings management by the types of capital financing separately. One is to affect stock prices directly and another is to improve capital structures. Third, stock returns are generated by complex factors at the time of financing. This study is significant in the respect that it investigates the influences of the signaling effect, the effect of capital structures change depending on capital financing types, and earnings management before financing on stock returns, separately. In the practical perspective, this thesis has implications that companies use earnings management prior to SEO to support stock prices thus the portion of that effect needs to be deducted from the prices when issuing equity. Second, companies use earnings management before financing in preparation for deterioration of capital structures therefore at the time of issuing bonds, the prices (interest rates) needs to be discounted the portion corresponding to that effect. Third, when engaged in the auditing, the external auditors should decide the number of associates, audit hours, and audit efforts considering the effect of earnings management prior to financing. Fourth, the influences of improvement in capital structures on stock returns are different from operating activities or financing capital. Therefore, companies should also take this into account when determining how to raise capital. Last, this dissertation tested the interactions among the well-known subjects- capital financing types, capital structures, earnings managements, and stock returns- and individual roles to each other rather than analyzing every subject independently. Thus, a new subject is created integrating individually different subjects.