The Accrual Anomaly in the Corporate Bond Market: Korean Evidence
- Authors
- 김영준; 강형구; 권세원
- Issue Date
- Aug-2018
- Publisher
- 한국재무학회
- Keywords
- Accruals; Accrual Anomaly; Corporate Bonds; Earnings Fixations Hypothesis
- Citation
- 재무연구, v.31, no.3, pp.399 - 414
- Indexed
- KCI
- Journal Title
- 재무연구
- Volume
- 31
- Number
- 3
- Start Page
- 399
- End Page
- 414
- URI
- https://scholarworks.bwise.kr/hanyang/handle/2021.sw.hanyang/32937
- DOI
- 10.37197/ARFR.2018.31.3.3
- ISSN
- 1229-0351
- Abstract
- Almost all prior studies on the Korean accrual anomaly focus on the stock market. In contrast to prior studies, our study examines whether or not the accrual anomaly exists in the Korean corporate bond market. Using the corporate bond data traded in the Korean market from 2000 to 2011, we find supporting evidence of the accrual anomaly in the Korean corporate bond market using three approaches: (1) hedge portfolio return test, (2) the Fama-French five factor (three equity market factors plus two bond market factors) time series regression test, and (3) the Fama-MacBeth cross sectional test. Next, we examine whether the unique Korean corporate governance system, chaebol, affects the magnitude of the accrual mispricing in the corporate bond market and find evidence that the accrual anomaly exists only for bonds issued by non-chaebol firms. This finding indicates that bond investors’ expectation about explicit or implicit subsidy from chaebol-affiliated subsidiaries dampens accrual mispricing of a chaebol firm. Taken together, our results suggest that investors in the Korean corporate bond market fixate on earnings, in particular, for non-chaebol firms.
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