- 32-2003 1 9,,, 1 1987 Wallace,Chow (1988) Menon Williams(1994) Baber (1995) (Insurance hypothesis) ;, (Ronen,2002;Dontoh & Ronen,2008) :,,, 3 : (Menon & Williams,1994), ; ;
( ) 2010 3 (insurance) KPMG (assurance),, Menon Williams (1994) Laventhol Horwath(L&H), L&H,,L&H ( [2003]2 ),,Menon Williams (1994) L&H L&H, Menon Menon Williams (1994) :Menon Williams (1994) Williams(1994), ;,, L&H Menon Williams (1994), L&H, L&H, 1998 L&H, ;, ( ),,Menon Williams L&H 2002 1 15, (, [2001]43 ), 2005 KPMG 2005 8 23, KPMG KPMG Brown (2008) KPMG, 900 2005 Brown (2008) 2001 9 21 8 23 ~8 24,KPMG ; KPMG 2003 1 9, - 33 -
( [2003]2 ) 3 : :(1) ;(2) ; (3) ;(4) (,1995), ( ) : : ( ) ; (1) 2007 6 11, ( [2007]12 ),,,,, ;, [2003]2 : (2), ;, 4, [2007]12,, :( ) [2003]2 ;( ), [2003]2 2,,, ;( ),, (3),,,,,, - 34 -
( ) 2010 3 (4),, 5 ( [2003]2 ),,,, ;,,,,,,, 1,,,,,,,, 1, 2001 H1: 2002,,,,,,,, H3: 2001 2002, H4: H2:,,,,, 1, - 35 -
, H7:,,, H5:,, H6a: ;,, : H6b:,,,,, 1, ( [2003]2 ),, 2003 1 9 β 360 5 10 β (AR) CAPM (Sharpe,1964; Lintner,1965), (CAR) Ball Brown(1968) (Re- - 36 -
turn stock ), (Return market ) (Return free ) ( ) 2010 3 β :,Income t t,cash t t t t t,asset t-1,ppe t t,rev t t TA(Total Accrual) t NDA (Non Discretionary Accrual) Jones 2002 1 ~2003 1 A, 1163 7, 2003 1 Jones, 9 ~2003 1 22 ( 4 (Jones,1991;,2003) 10 ), :, 2003 1 1 ~2003 1 22 2002, 10, 5 99% 1% [2003]2 959 81% 8 2 [2003]2, - 37 -
2 9 5 10, ( 96%) H2 2 5 H1, T, (Deep Pocket);, 10 T,H3,5 ; 5, 10,H4 ; 5 10, 360 H5 ; 5 OLS 10, 360 (0 :2003 1 9 ),H6, ; 5 10, 2 2 # $ =5 C A R 5 = 10 C AR 1 0! " % & T P T P Intercept -0.0 071 0.00 52-1.35 0.17 63-0.016 7 0.00 76-2.2 0.027 9 B IG 5 + H 1 0.02 16 0.01 06 2.03 0.04 26-0.000 3 0.01 53-0.02 0.983 2 CLEA N + H 2 0.0089 0.0031 2.88 0.004-0.0007 0.0045-0.16 0.8732 C LEA N B IG 5-0.0 202 0.01 12-1.81 0.07 13 0.0 019 0.01 62 0.1 2 0.905 8 B R C H + H 3 0.00 02 0.00 33 0.06 0.955 0.0 093 0.00 48 1.9 5 0.050 9 D A + H 4 0.02 86 0.01 46 1.96 0.05 08 0.0 192 0.02 12 0.9 1 0.364 3 R ET UR N - H 5-12.90 77 1.07 71-11.9 8 <.00 01-23.6 836 1.59 81-14.8 <.00 01 V AR _ M - H 6a -63.52 23 6.46 47-9.83 <.00 01-53.4 909 9.45 16-5.66 <.00 01 V A R _ E + H 6b 10.67 5.99 29 1.78 0.07 53 59.55 43 9.17 83 6.4 9 <.00 01 R OE + 0.00 06 0.00 11 0.57 0.56 65-0.001 4 0.00 16-0.86 0.389 7 L EV - -0.007 0.0041-1.7 0.0886 0.0118 0.006 1.97 0.0495 CU RREN T + -0.0002 0.0004-0.57 0.5662 0.0007 0.0006 1.19 0.2333 L EGA L + H 7 0.00 15 0.00 03 4.62 <.00 01 0.0 009 0.00 05 1.8 2 0.068 8 R -Square= 0.2 422 A dj R -Sq =0.23 26 R -S quare=0.24 31 A dj R -Sq= 0.233 4 F F V alu e= 25.43 P r <0.0 001 F V alue=2 5.07 Pr <0.00 01-38 -
,H7 ( ) 2010 3,,, H8:,, 3, 5 10, : 3 ( Simunic,, 3, H8, ( [2003]2 3 ) 2003 f LNFEE ()*+ N "M /0 Sinofin 2002 INSURANCE!"#$ % & 1 2003.1.9 % ASSET ()*+,-. /0 CSMAR 1lnfee INVREC ()*+23456789,-.":; CSMAR 1lnfee SUBCNT ()*+<=>? @"A*+"B Wind 1lnfee CONSUM ()*+CDE"FGHIJKLMNO!P 1lnfee, ()*+Q RS5 CSMAR DA 1lnfee, T UVJones& $WXYZ % [W % SUBLINE \]^_= ( Ta-bXTa)/ c,-. CSMAR 1lnfee [ ()*+def( g" hijklm ST CSMAR 1lnfee 1 ijklmn0 oijklm ()*+D2001~2002 pq derstuvww BRCH CSMAR 1lnfee 1 rstuvwwn0 xyrstuvww PB ) z= g{k,) / c -.{K CSMAR 1lnfee VAR } ~ =} g CSMAR 1lnfee ROE -.Y z=q Ta/ c -. CSMAR 1lnfee LEV -. z=, /-., CSMAR 1lnfee CURRENT :z= -./ CSMAR 1lnfee ded C BIG5 1 h n0 CSMAR 1lnfee IND *+WX WX$ (GICS)" Wind 1lnfee - 39 -
1980;Francis and Simon,1987;Gul et al.,2003),,,,, 2001 2002,,Gul (2003) ;2001 2002 ; (2009), 968 (INSURANCE) RENT) (LEGAL), 2003 (3) ( ) :,, H8,, 2003 (2002 ) 78% T OLS 4,,, (1) 5 (CAR5), (ROE LEV CUR- (2) (3) (ROE LEV CURRENT) (LE- 4 GAL) ;,, H8, - 40 -
( ) 2010 3 4 T P T P T P Intercept 20.3069 165.7645 0.12 0.9025-36.1434 192.2094-0.19 0.8509 127.1733 318.0949 0.4 0.6899 INSURANCE 1.9992 0.9373 2.13 0.0332 2.4621 1.1119 2.21 0.0272 1.5769 1.6129 0.98 0.3299 ASSET 0.2626 0.0177 14.81 <.0001 0.2627 0.02 13.16 <.0001 0.2725 0.0363 7.51 <.0001 INVREC 0.2278 0.0911 2.5 0.0126 0.2781 0.1038 2.68 0.0076 0.2063 0.1829 1.13 0.2611 SUBCNT 0.0104 0.0018 5.77 <.0001 0.0102 0.0021 4.91 <.0001 0.0111 0.0034 3.31 0.0012 CONSUM <0.0001 <0.0000 1.83 0.067 <0.0000 <0.0000 1.91 0.0561 <0.0000 <0.0000-0.6 0.5519 DA 0.2474 0.2007 1.23 0.2182 0.1863 0.2315 0.8 0.4213 0.7776 0.3794 2.05 0.0422 ST 0.0506 0.0812 0.62 0.5336-0.015 0.1013-0.15 0.8822 0.2848 0.1243 2.29 0.0234 BRCH 0.043 0.0745 0.58 0.5641 0.0611 0.0929 0.66 0.5108-0.0282 0.1125-0.25 0.8024 PB -5.5771 12.1231-0.46 0.6456-1.0389 16.248-0.06 0.949-10.4702 16.9574-0.62 0.5379 VAR -13.1263 165.6574-0.08 0.9369 43.3007 192.1049 0.23 0.8217-120.0268 317.7574-0.38 0.7062 ROE -0.0119 0.021-0.57 0.5714 0.0359 0.0463 0.77 0.4387-0.0176 0.0209-0.84 0.3998 LEV 0.0531 0.0414 1.28 0.1992 0.0462 0.0471 0.98 0.3269 0.0245 0.0834 0.29 0.7696 CURRENT 0.0002 0.0074 0.03 0.9798 0.0016 0.008 0.2 0.843-0.0166 0.0203-0.82 0.4157 BIG5-0.0197 0.0544-0.36 0.7172-0.3631 0.0986-3.68 0.0002 0.1538 0.0672 2.29 0.0236 IND R-Square=0.3502 R-Square=0.5583 R-Square=0.3570 F F Value=15.93 Pr <0.0001 F Value=7.91 Pr <0.0001 F Value=18.87 Pr <0.0001 H8,,,,,,,, ;,, (SUBLINE) (PB) (VAR)4 10 4 (Factor_DA, (FGLS) Factor_SUBLINE,Factor_PB,Factor_VAR),FGLS OLS P,,, (DA), 2003 2003,,, 2003 2003 2003-41 -
, ;, 2003, 0 2003 Factor_DA,Factor_SUBLINE, Factor_PB,Factor_VAR,, (2005) 2000 2004 13, Jones (DA) (SUBLINE), 1 9 5 10, 1 Jones, 9 ; 10, (, ), 5 10, ; 2003 1 2 ~ 1 2, ; ; [2003]2 3 [2001]43 [2003]2 [2007]12, ( ) [2003]2 ( [2003]2 ), ( [1993]15 ) 3, 4-42 -
( ) 2010 3,,2009 4 (6)Baber, W. R., K. R. Kumar and T. Verghese, 1995, Client, Security Price Reactions to the Laventhol and Horwath Bankruptcy, Journal of Accounting Research, 33(2), pp.385~395. ; (7)Ball, R. and P. Brown, 1968, An Empirical Evaluation of Accounting Income Numbers, Journal of Accounting Research, 6 (Autumn), pp.159~178., (8)Brown, D., S. Shu and G. M. Trompeter, 2008, The Insurance Hypothesis: The Case of KPMG s Audit Clients, http:// 5, ssrn.com., (9)Chow, C., L. Kramer and W. Wallace, 1988, The Environment of Auditing, In Research Opportunities in Auditing: 6 (2007) The Second Decade, Sarasota, FL: American Accounting Association. (10)Dontoh, A., J. Ronen and B. Sarath, 2008, Financial 4 Statements Insurance, http://ssrn.com. 7, (11)Francis, J. R. and D. T. Simon, 1987, A Test of Audit Pricing in the Small -client Segment of the US Audit Market, 8 The Accounting Review, 62(1), pp.145~157. 9 (12)Gul, Ferdinand A., Charles J. P. Chen and Judy S. L. (BIG5) (CLEAN) Tsui, 2003, Discretionary Accounting Accruals, Managers Incentives and Audit Fees, Contemporary Accounting Research, 10 20(3), pp.441~464. (13)Jones J. J., 1991, Earnings Management During Import Relief Investigation, Journal Of Accounting Research, 29 (2),, pp.193~228. ( Jones (14)Lintner, J., 1965, The Valuation of Risk Assets and ) T the Selection of Risky Investments in Stock Portfolios and Capital :, Budgets, Review of Economics and Statistics, 47, pp.13~37. (15)Menon, K. and J. D. Williams, 1994, The Insurance Jones Hypothesis and Market Prices, The Accounting Review, 69 (2), Jones pp.327~342.,t, (16)Ronen, J., 2002, Policy Reforms in the Aftermath of Jones Accounting Scandals, Journal of Accounting and Public Policy, 21(4~5), pp.281~286. (1) : (17)Sharpe, W. F., 1964, Capital Asset Prices: A Theory of,,2005 4 Market Equilibrium Under Conditions of Risk, Journal of Finance, 19, pp.425~442. (2) : (2006),,2007 (18)Simunic, D. A., 1980, The Pricing of Audit Services: (3) : Theory and Evidence, Journal of Accounting Research, 18(1),,,2003 2 pp.161~190. (4) :,1995 (19)Wallace, W., 1987, The Economic Role of the Audit in Free and Regulated Markets: A Review, Research in Accounting (5) : Regulation, 1, pp.7~34. - 43 -