不實企業豫測指標에 관한 實證的 硏究

Abstract

Since it is now required to produce cash flow statements in compliance with generally sccepted accounting standards, it is incumbent upon business entities to ascertatin whether the information provided in a cash flow statement under the new regime is more useful to the users of the information than information based on traditional financial ratios. Against this backdrop, study aims to examine the validity of cash flow information by creating a corporate financial distress forecast model based on cash flow information and comparing such data with discriminant analysis based on existing financial ratios. To this end, this study defines the concept of financial distress of companies, categorizes its types and causes and encapsulates the need for its forecast. At the same time, this study delves into previous research on corporate financial distress projection in order to garner an insight into the usefulness and importance of cash flow information. In an effort to apply objectivity, reliability and validity to the substantive test of its logic, this study selects, out of the companies whose stocks are listed on the Korea Stock Exchange. 50 companies that fell into a financial malaise from 1997 to 2000 and 50 normal companies that are in the same line of business with a similar level of assets as a control parallel sample. According to the information on cash flows from their operating, investing and financing activities for three years, this study devises a financial distress forecast model. Then, it analyzes the usefulness of cash flow information and the forecast model described above by performing a comparative analysis of the discrimination power of the forecast model and multivariate discriminant functions based on traditional financial ratios (non-cash flow ratios) put forward by Altman. In the process of selecting variables of a financial distress forecast model, this study analyzes the variance in the average of the two parallel groups of companies so as to verify the significance of the cash flow information. Variables used in the analysis are specified in the table below. <Table> Independent Variables used for the Analysis ◁표 삽입▷(원문을 참조하세요) Based on the null hypothesis that there is no significant variance between the two groups of companies in terms of cash flow variables, this study performs an analysis at a significance level of 5%. The analysis result reveals that normal and financially distressed companies showed a significant discrepancy regarding X1, X2, X4, X5, X7, X13, X14, X16 and X17. With the variables selected on the basis of the univariate analysis and the subsequent significance test, this study drew linear discriminant functions for the prediction of financial distress of companies according to their cash flow information. As a result, five out of the nine variables above were excluded, leaving only four variables. CFO/sales, CFI/sales, CFF/sales and CFF/total assets, These four variables carry a weight of 0.041, 2.048, 2.350 and - 1.202, respectively, which indicates that CFF/sales has the strongest influence. Thus, determinant functions with 87.5% of the analysis sample prediction power and 75% of the test sample prediction power were produced. To test the prediction potential of cash flow information-based determinant functions, the study compares it with the forecasting power of the Altman model under the dual classification method by using the financial information of financially distressed companies one, two and three years, respectively, before they fell into financial trouble. According to the analysis result, the prediction power of the Altman model and the cash flow information-based determinant functions is summarized as follows: 67.5% and 87.5%, respectively, regarding one year before their financial distress, 63.75% and 88.75% as regards two years before and 63.75% and 81.3% concerning three years before. It demonstrates that the prediction potential of cash flow information-based determinant functions is superior to and more significant than that of determinant functions based on traditional financial ratios when it comes to pinpointing financially distressed companies. This proven result attests to the efficacy and importance of cash flow information in terms of both academic and practical undertakings related to accounting. The sample subjects for this study consisted of companies that fell into financial trouble from 1997, right after the currency crisis that led to the bailout of the Korean economy by the International Monetary Fund, to 2000. During this period, such adverse conditions as the sharp rise in the cost for imports of raw materials may have sent some companies in the black out of business. Therefore, cash flow information during such a volatile period may be less useful as a financial distress forecast index. Under the circumstances, a possible comparison between the result of this study and an analysis result of companies which have plunged into financial distress from 2000 to 2002 may help to substaniate the value of cash flow information as a corporate financial distress forecast index.