본 연구는 발생액 과대반응현상이 발생액의 신뢰성에 기인한다는 Richardson et al.(2005)의 결과를 토대로 발생액과 투자자의 반응을 분석하였다. 선행연구와는 달리 재무이익과 세무이익의 차이에 영향을 미치는 지 여부에 따라 발생액을 회계발생액(book accruals)과 회계-세무발생액(book-tax accruals)으로 세분하여 분석하였다. 경영자들이 발생액을 이용하여 이익조정을 하는 경우 재무이익과 세무이익에 미치는 영향이 상이한 회계발생액 뿐만아니라 재무이익과 세무이익에 동시에 영향을 미치는 회계-세무발생액을 이용하는 점을 고려함으로써 발생액 선택과정에서 세금이 미치는 역할을 강조하였다. 분석결과를 요약하면 다음과 같다. 첫째, 발생액의 신뢰성이 낮을수록 발생액의 지속성이 현금흐름의 지속성보다 낮게 나타났다. 둘째, 발생액 이상현상은 회계발생액과 회계-세무발생액 모두에서 존재하고 상대적으로 신뢰성이 낮은 발생액에서 과대반응이 존재하였다. 셋째, 신뢰성이 낮은 발생액에서는 회계발생액이 회계-세무발생액에 비해 과대반응의 차이가 큰 것으로 나타났다. 넷째, 시장합리성 검증과 수익률 분석의 결과를 종합해 보면 발생액의 이상현상은 주로 신뢰성이 낮은 회계발생액과 신뢰성이 낮은 회계-세무발생액에 기인하는 것으로 나타났다. 이상의 분석결과는 시장이 회계발생액 뿐만 아니라 회계-세무발생액의 지속성이 미래성과에 미치는 결과를 합리적으로 이해하지 못하고 있으며 이에 따라 투자자들이 회계발생액과 회계-세무발생액을 과대평가하는 현상이 존재한다는 해석과 일치하는 것이다. 그리고 회계발생액에 대한 과대반응이 회계-세무발생액의 경우보다 큰 것은 상대적으로 신뢰성이 낮은 회계발생액에서 투자자들이 과대반응하는 정도가 크다는 것을 시사한다. 본 연구의 결과를 보수적으로 해석하면 투자자들이 당기 발생액이 미래이익의 지속성에 미치는 영향을 합리적으로 이해하지 못하며 이는 신뢰성이 낮은 회계발생액과 신뢰성이 낮은 회계-세무발생액에서 기인하는 것으로 보인다는 것이다. 본 연구는 발생액 선택과정에서 세금에 미치는 역할을 강조함으로써 발생액 이상현상 연구 및 재무이익-세무이익의 차이 연구에 추가적인 공헌점을 제공한 것으로 판단된다.

Sloan(1996) reports that the persistence of accruals for future earnings is lower than that of cash flows, but, investors do not properly reflect the persistence of earnings components. After he first documents the accrual anomaly characterized by investors` underpricing of cashflows and overpricing of accruals, many studies extend the accrual anomaly. Richardson et al.(2005) categorize the accruals according to their reliability and test whether less reliable accruals lead to lower earnings persistence and whether investors rationally reflect lower earnings persistence. They find that less reliable accruals lead to lower earnings persistence and investors do not rationally reflect lower earnings persistence, leading to significant stock mispricing. Even though, these studies consider the valuation implications of accruals, they do not examine how taxes affect the extent to which the market uses financial information efficiently. The accrual anomaly reported is mainly based on data from the U.S. capital markets. Pincus et al.(2007) investigate whether the accrual anomaly generalizes to other countries and whether the occurrence of the accrual anomaly is associated with country-level accounting and institutional structures. They find that the accrual anomaly is present in only four countries, Australia, Canada, the U.K. and the U.S. out of 20 countries considered. They also find that the accrual anomaly is more likely to occur in countries having a common law legal tradition, where extensive use of accrual accounting permitted, where concentration of share ownership is lower, and where outside shareholder rights are weaker. Notwithstanding the numerous evidence of accrual anomalies in U.S. market and preliminary evidence in Korean market, there is only a few papers which deals with the question whether accraul anomaly exists in Korean capital market. This paper examines accrual reliability and investors market pricing based on the spirit of Richardson et al.(2005) that less reliable accruals lead to lower earnings persistence and that investors do not fully anticipate the lower earnings persistence leading to significant security mispricing. Different from prior studies, this paper emphasizes the role of taxes in accrual pricing and examines how market prices book accruals and book-tax accruals in Korean capital markets. For this purpose, total accruals are decomposed according to accrual components reliability and book-tax conformity. More specifically, accruals are decomposed into low reliable book accruals, high reliable book accruals, low reliable book-tax accruals and high reliable book-tax accruals. Book accruals are defined as accruals that affect solely reported earnings and have no effect on a firm`s taxable income and book-tax accruals are defined as accruals that affect both reported earnings and taxable income. The sample consists of manufacturing firms listed on Korean Stock Exchange for 12 years from 1994 to 2005. The results are summarized as follows. First, The results of market response to earnings and their components show that accrual anomaly exists not only in book accruals but also in book-tax accruals, and investors` overreaction mainly focuses on relatively low reliable accruals. Second, The magnitude of mispricing for book accruals are larger than that for book-tax accruals. Third, comparing low reliable accruals, the magnitude of investors` market mispricing are larger in low reliable book accruals than in low reliable book-tax accruals. Forth, investors` market mispricing are mainly caused by low reliable book accruals and low reliable book-tax accruals. These results conform to the explanation that investors do not rationally understand the persistence of book accruals and book-tax accruals and this leads to accruals mispricing. The result that the market inability to correctly assesses the persistence of accruals is more severe for book accruals than the book-tax accruals implies that investors relatively over-estimates book accruals which has lower earnings persistence. This study contributes to accrual anomaly and book-tax differences study by providing an evidence that the accrual anomaly exists in Korean capital market and is amainly caused by low reliable book accruals and by low reliable book-tax accruals.