발생액 품질이 이익의 회사채 신용등급에 대한 정보성에 미치는 영향

초록

Since Kaplan and Urwitz(1979), quite a few studies have evinced the existence of positive relation between corporate bond ratings and corporate earnings. With the relation of this nature conceptualized as the informativeness of earnings with respect to corporate bond ratings, this paper explored whether quality of accruals would moderate it or not. Specific questions were (1) whether a higher quality would strengthen the informativeness of earnings levels with respect to the levels of bond ratings (hypothesis 1) and (2) whether an enhanced quality would increase the informativeness of changes in earnings or the levels thereof with respect to the changes in ratings (hypothesis 2). Raw materials for the quality measures were the equivalents of sresids per Dechow and Dichev(2002) and the unsigned replicates, dubbed |DA|s, of discretionary accruals per Jones(1991) à la Dechow et al.(1995). The level of quality was proxied by QD(QJ), an indicator variable with a value of 1 when sresid(|DA|) for a firm was less than a cross－sectional median for a year. And the change in quality was dichotomized into △QD(△QJ) according to the sign of annual change in QD(QJ). When the 19－notch(7－notch) detailed(broad) corporate bond ratings for 1,086(805) firm/year data were regressed, via ordered logistic regressions, on the earnings levels, the earnings interacted with quality, and the control variables, the coefficients for the interactions were found to be significantly positive rendering support to hypothesis 1. The tests of hypothesis 2 were conducted similarly with their dependent variables being changes in ratings. When the levels of earnings were interacted with the changes in quality, hypothesis 2 was supported. It was not the case, however, when the changes in earnings were used, implying that hypothesis 2 would only partially be supported. These basic findings were replicated by the further investigations with both QD and QJ (△QD and △QJ) employed in testing hypothesis 1 (hypothesis 2) and/or with qualities measured as continuous variables.

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