한국 주식시장에서 환위험에 대한 외국인 투자자의 반응

박종원,이우백,권택호 한국재무관리학회 2008 財務管理硏究 Vol.25 No.4

Foreign investors who invest in the Korean stock markets are exposed to two kinds of foreign exchange rate risk, the economic exposure and the translation exposure. The former is the foreign exchange rate exposure in return generating process of the assets invested and the latter is the foreign exchange rate exposure in the translation of domestic return into foreign investors' currency. Domestic investors, however, are exposed only to foreign exchange rate exposure in the asset invested. This different situation on foreign exchange rate exposure between foreign investors and domestic investors can induce different response to exchange rate change by investor groups. Previous studies on foreign exchange rate exposure of Korean firms reported that quite a few Korean firms are exposed to foreign exchange risks and suggested to manage the foreign exchange risks. Also, many studies on the market segmentation showed that a market can be practically segmented according to the characteristics of investor groups. These studies support the hypothesis that the Korean stock market can be practically segmented by the foreign investors’ attitude to the foreign exchange rate exposure. This study examines the response of both foreign investors and domestic investors to the foreign exchange rate exposures in Korean stock markets. Test results show that foreign investors increase their sell transactions when the foreign exchange rate exposure of the previous day is negative. This result can be possible when foreign investors attempt to actively manage the decrease in value of their assets due to rising of exchange rate. Analysis on the sell order data is also supportive to this interpretation. Foreign investors also increase their buy transactions when the foreign exchange rate exposure of the previous day is negative. This result can be possible when foreign investors use actively the relation between the increase in asset value and the translation gain due to declining of exchange rate. Analyses on buy order data, however, do not show the same result as the analyses on transaction data. This difference may come from the difference of information contained in transaction data and order data. In summary, the result of the paper supports the hypothesis that foreign investors response differently to foreign exchange rate exposure compared with domestic, Korean investors. Two groups do not show different response when exchange rate exposure is positive, i.e., as foreign exchange rate is increase (decrease), the asset value is increase (decrease). However, foreign investors’ response is different from that of domestic investors when exchange rate exposure is negative, i.e., as foreign exchange rate is increase (decrease), the asset value is decrease (increase). These results mean that foreign investors and domestic investors are placed in different situations related to foreign exchange rate exposure, and these differences are reflected in the Korean stock markets. And domestic investors need to consider foreign investors’ different attitude to the foreign exchange rate exposure when they analysis foreign investors’ trading behavior. 외국인 투자자가 한국 시장에 투자를 하는 경우 외국인 투자자는 투자자산에 내재된 환위험과 함께 수익을 환산하는 과정에서의 환위험에 노출된다. 외국인 투자자의 이러한 상황은 투자자산에 내재된 환위험만을 고려하면 되는 국내 투자자와는 구분되는 상황이다. 이러한 차이는 외국인 투자자가 환위험에 대해 국내 투자자와는 다르게 반응하는 원인이 될 수 있다. 환위험에 관한 국내의 기존 연구는 한국 기업들이 환위험에 노출되어 있고 이에 대한 관리가 필요하다는 점을 잘 보여주었다. 또한 동일한 시장이라 하더라도 시장 참여자의 특성에 따라 시장이 분할 될 수 있다는 증거들이 보고되었다. 이러한 기존 연구 결과는 환위험이 시장을 분할하는 요인이 될 수 있음을 지지하는 것이다. 이 연구는 한국유가증권시장에서 외국인 투자자들의 환위험에 대한 반응을 거래량 자료와 주문량 자료를 이용하여 분석하였다. 분석 결과 외국인 투자자는 환위험을 나타내는 공분산이 음수인 경우 매도거래를 증가시킨다. 이는 환율이 상승하면서 주식수익률이 하락하는 환위험을 적극적으로 관리하기 위한 거래의 결과로 해석할 수 있다. 주문자료에 대한 분석 결과도 이러한 해석을 뒷받침한다. 한편, 외국인 투자자는 공분산이 음수인 경우 매입거래도 증가시키는 것으로 분석 되었는데 이는 환율이 하락하면서 주식수익률이 상승하고 투자수익의 환산이익도 함께 증가하는 관계를 적극적으로 활용하기 위한 거래의 결과로 해석할 수 있다. 그러나 외국인 투자자의 매입주문비율 분석 결과는 거래자료 분석 결과와는 달리 유의적인 결과가 나타나지 않았다. 이 연구의 분석 결과는 외국인 투자자는 국내 자산에 내재된 환위험에 대해서 국내 투자자와는 다른 반응을 보인다는 가설을 지지한다. 외국인 투자자는 환율이 상승(하락)하는 경우 기업가치가 상승(하락)하는 방향의 환위험에서는 국내 투자자와 차별적인 반응을 보이지 않는다. 그러나 환율이 상승(하락)하면 기업 가치가 하락(상승)하는 방향의 환위험에서는 국내투자에 비해 거래를 증가시키는 차별적인 특성을 보인다. 이러한 결과는 한국유가증권시장에서 외국인투자자는 환위험에 대하여 국내 투자자와는 다른 평가를 하고 있으며 이러한 차이는 투자자산의 평가에 반영되고 있음을 나타낸다.

Are foreign institutional investors long-term investors?: Korean evidence

Kyung Soon Kim,Jin Hwon Lee,Yun W. Park 한국재무학회 2020 한국재무학회 학술대회 Vol.2020 No.08

There has been limited research on the incentives foreign institutional investors face in foreign markets. We investigate whether foreign institutional investors are long term investors using the Korean stock market data. We measure the influence level of foreign institutions using the trading share of foreign institutions in the total trading volume of a firm as well as ownership of foreign institutions. We find a positive relationship between the influence level of foreign institutional investors and opportunistic earnings management. This result suggests that they have a short investment horizon and seek information-based trades. We also find that the positive relationship between foreign institutional investors and earnings management intensifies during periods of low market growth, and in firms with lower managerial ownership or firms unaffiliated with large conglomerates. These findings suggest that monitoring incentive and investment horizon of foreign institutional investors depend on economic environment, market growth and corporate governance characteristics in emerging markets.

외국인의 투자 성향과 이익조정의 관련성

김상일,곽지영 한국회계정보학회 2012 한국회계정보학회 학술대회발표집 Vol.2012 No.2

본 연구는 외국인 투자자의 속성을 일일 매수 및 매도 거래량을 이용하여 외국인 투자자 지분의 변동 정도에 따라 단기적 투자 성향이 높은 일시적 외국인 투자자와 장기투자 성향을 보이는 장기성 외국인 투자자로 구분하여, 투자 성향 별 이익 조정의 정도를 살펴보았다. 연구 결과, 가설과 같이 단기적 외국인 투자자 지분율의 크기와 회계적 이익조정의 정도의 관계는 유의수준 1% 하에서 양(+)의 값을 보였다. 이는 일시적 외국인 투자자 지분의 비중이 높은 기업일수록 이익조정이 증가한다는 본 연구의 가설을 지지하는 결과이다. 또한 본 연구에서 독립된 가설로 설정하지는 않았지만 외국인 투자자 지분율을 단기 투자 성향과 장기 투자 성향으로 구분하여 동일한 분석을 수행한 결과 일시적 외국인 투자자들은 단기간의 투자실적에 민감하므로 양(+)의 이익조정 동기가 존재한다. 회귀계수는 예측대로 양(+)의 값을 보였고, 유의수준 1% 하에서 유의한 것으로 나타나고 있다. 그러나 장기 투자 성향의 외국인 투자자인 경우에는 중장기적인 기업 가치 하락에 부정적인 영향을 미치는 이익조정을 적극적으로 억제할 동기를 가질 것으로 예측되므로, 회계기간 말 시점의 외국인 지분율과 이익조정간의 회귀계수는 예상대로 음(-)의 값으로 10% 수준에서 유의한 결과를 보여주었다. 본 연구는 외국인 투자자의 성향의 차이에 따라 이익조정의 유인이 상이하게 달라지는 진다는 실증적인 증거를 제공한다. 따라서 외국인 투자자의 상충된 역할 및 기업 의사결정에 미치는 영향을 고려함에 있어서 기업의 장기적 기업 가치에 관심을 가지는 장기 투자 성향의 외국인 투자자와 단기 투자 실적에 관심을 가지는 단기 투자 성향의 외국인 투자자로 구분하여 적용하여야 한다는 시사점을 제시한다. This study empirically analyzed the effects of foreign investors type(transient foreign investor/long-term foreign investor) by volume of the foreign investors Daily Quotes. Separated by a transient foreign investors and short-term investments have a tendency propensity to look long-term investments Long-term foreign investors in accordance with the investment propensity examined the degree of earnings management. According to the results of this study, as expected, transient foreign investor ownership, the higher the (FRN×FRNT) significant under the 1% significance level showed a positive (+) value. Results that support the hypothesis of this study, a high proportion of transient foreign ownership of firms that increased earnings. Independent hypothesis in this study did not set the foreign investment of capital and transient foreign investments and long-term propensity separated by investors to perform the same analysis, the results of transient short-term investment performance of foreign investors are sensitive to the positive (+) earnings motives exist. The regression coefficient was predicted as positive (+) value appears to be significant under the 1% significance level. However, if a long-term investment characteristics of foreign investors will have to be motivated to actively suppress negatively impact earnings in the decline in the value of long-term corporate forecasts predicted as negative (-) value of the regression coefficients of the regression FRN shows the 10% level of significance, showed significant results. The purpose of this study provide empirical evidence on the different incentives of earnings varies is depending on the difference in disposition of the investment of the foreign investor. Thus, in considering the impact of the conflicting role of foreign investors and corporate decision-making in long-term investments with an interest in the company s long-term corporate value and the propensity of foreign investors. Should be separated by a short-term investment propensity of foreign investors are interested in transient investment performance implications exist.

외국인투자자가 재량적 발생액에 미치는 영향 연구 -외국인투자기간을 활용하여-

류예린 ( Ryu Ye-rin ),지상현 ( Ji Sang-hyun ) 한국세무회계학회 2018 세무회계연구 Vol.0 No.56

본 연구는 이익조정을 제어하는 데 있어 외국인투자자의 역할을 검증하였다. 이를 위해 본 연구에서는 외국인투자자의 대리변수(proxy)로 외국인지분율과 외국인투자기간을 활용한다. 특히 본 연구에서는 이익조정을 제어하는 데 있어 외국인투자자의 대리변수로 외국인투자자의 투자기간에 초점을 맞추었다. 외국인투자자의 투자기간은 Gaspar et al.(2005)와 김성민·장용원(2012)에서 제시한 투자회전율로 측정하였다. 그리고 본 연구에서 이익조정 측정치로 활용된 재량적 발생액은 Dechow et al.(1995)에서 제시한 수정Jones모형으로 측정하였다. 실증분석 결과, 외국인투자자 투기기간이 장기일 경우 그 기업의 재량적 발생액이 더 낮게 나타났다. 또한, 외국인투자자 투자기간이 단기일 경우에는 외국인지분율은 기업의 이익조정 수준에 유의한 영향을 미치지 않으며, 특히 외국인투자자 투자기간이 단기이며 외국인지분율이 높은 경우에는 재량적 발생액 수준이 더 높은 것으로 나타났다. 따라서 본 연구는 기업의 이익조정을 제어하는 데 있어 외국인투자자의 영향은 외국인지분율이 아니라 외국인투자자의 투자기간이 더 중요할 수 있으며, 외국인투자자의 대리변수로 외국인지분율보다 외국인투자기간이 더 적절할 수 있음을 보여준다. 본 연구는 지금까지 외국인투자자의 대리변수로 주로 외국인지분율을 활용한 선행연구를 확장하여, 외국인투자자의 투자기간을 대리변수로 활용하여 투자기간에 따른 재량적 발생액 수준을 검증하였다는 점에서 연구의 의의가 있다. 본 연구가 건전한 자본시장의 발전 및 외부정보이용자들의 경제적 의사결정에 조금이나마 도움이 되기를 희망한다. We investigate the role that foreign investors play in restraining earnings management activities of firms. For this study, we use two variables, equity ratio and investment horizons of foreign investors. as the proxies of foreign investors. Especially, we focus on investment horizons of foreign investors as the proxy of impact of foreign investors on earnings management. The investment horizons of foreign investors is measured as the investor turnover is suggested by Gaspar et al.(2005) and Kim and Jang(2012). And earnings management, discretionary accruals is measured by the modified Jones model(Dechow et al., 1995). We find that the discretionary accruals is less prevalent when Long-term foreign investors are among shareholders. Our study shows that if investment horizons of foreign investors is short, equity ratio of foreign investors would be not influence to facilitate mitigation of managers’ use of earnings management. Especially, if investment horizons of foreign investors is short and equity ratio of foreign investors is high, it could be facilitate acceleration of managers’ use of earnings management. This means that it can be more important to consider for investment horizons of foreign investors than equity ratio of foreign investors on testing the impact of foreign investors on the earnings management by this paper. And the investment horizons of foreign investors can be better proxy of foreign investors than equity ratio of foreign investors.

외국인 투자자의 투자성향과 정보비대칭

정석윤(Jung Suk-yoon),진승화(Jin Seung-hwa),차상권(Cha Sang-kwon) 한국국제회계학회 2016 국제회계연구 Vol.0 No.68

본 연구는 외국인투자자의 투자성향이 정보비대칭에 미치는 영향에 대해 검증하였다. 외국인투자자가 기업 가치에 미치는 순기능적 역할은 투자 성향에 따라 상이할 수 있고 이를 보다 세부적으로 검증한다는 데 선행연구와 차이점이 존재한다. 이를 위해, Gaspar et al.(2005)와 고윤성 · 서영미(2014)의 연구에서 제시한 외국인 투자자의 투자성향 분류방법을 활용하였으며 종속변수인 정보비대칭은 조중석 · 조문희(2010)의 연구에서 제시하는 측정방법을 적용하였다. 실증분석 결과, 외국인 투자자가 장기적 투자성향을 보일 때에는 정보비대칭이 감소하는 것으로 나타났으며 단기적 투자성향을 보이는 집단인 경우에는 정보비대칭을 증가하는 것으로 나타났다. 추가적으로 투자성향으로 집단을 구분하여 살펴보았을 때에도 마찬가지로 단기적 투자성향을 보이는 집단에서는 그렇지 않은 집단에 비해 정보비대칭이 증가하는 것으로 나타났다. 이는 외국인투자자의 투자성향에 따라 관련 선행연구에서 살펴본 것과 같이 적용되지 않을 수 있음의 실증적 증거를 나타낸 것이다. 보다 강건한 결과 도출을 위해 군집된 표준오차를 고려한 추정에서도 같은 결론을 내릴 수 있었다. 본 연구는 투자성향에 대한 외국인 투자자의 역할에 대해 재조명(revisiting)하는 동시에 자본시장에서 외국인투자자의 역할에 대한 기업과 자본시장 참여자들의 보다 명확한 이해를 필요로 한다는 점을 제시한다는 데 의의가 있다. There are some standards to classify the investors in stock market. Investors who have ownerships of firms then they would be shareholders and Investors who have bonds like right to receiving money, then they would be creditors. if we classify investors according to the principal investment, one would be individual investors and institutional investors. According to the investors nationality, we can divide investors into native investors and foreign investors. lastly, according to investment horizon, we can classify into short-term investors and long-term investors. Generally, Institutional Investors, foreign investors, or long-term investors have large ownerships and take high returns so they are called “well-known” investors. Transient Investors do not look into firms’ possibility of future cash flow or growth. they are only interested in looking for low-priced stocks and invest those stocks. then at the time that the stocks fewer increased than they bought, they sell the stocks. they concentrated in short-term investment for finance gain. Look at the other hand, there are dedicated investors. They do not care about the present price. Judging from their own decisions, they buy stocks no matter the stock price is high. if the company’s long-term performance increase than present then the profit will be included the stock price. They understand exactly the firm’s strategy and value at the investment time. Dedicated investors relatively well-informed investors and monitor the firms. The role of foreign investors have been encouraged in capital market.(Kim et al. 2010) Especially, They reduce information asymmetry, monitor the firm’s decision making, and have more ability to earn money in stock market because they are well-informed investors. Recently, The studies have coming up that the roles of foreign investors does not work anymore. In other words, the precedent researches did not consider propensities and discolored foreign investors have been growing up and account for huge proportion of foreign investors. According to article, so-called ‘Black-hair’ foreign investors are the one of reasons. The paper is to expanding precedent researches the foreign investors and information asymmetry. we classify foreign investors into four groups using investment horizons and ownerships. To measure the foreign investors horizon, we use the same method in Gasper et al.(2005) and Ko and Seo(2014). We find there is a positive relation between short-term foreign investor. which means short-term foreign investors do not play the roles that decreasing information asymmetry. Long-term foreign investors, however, reduce information asymmetry. These findings suggest there is different relationships among foreign investors.

외국인두자자의 특성과 실제이익조정 -외국인대주주의 역할을 중심으로

전성빈,김성혜,이아영 서강대학교 경영연구소 2011 서강경영논총 Vol.22 No.1

본 연구는 2003년부터 2009년의 상장기업을 대상으로 외국인투자자의 특성이 실제활동을 통한 이익조정에 미지는 영향에 대해 분석한다. 연구의 실증 분석 결과는 외국인 지분 율이 높아질수록 기업의 실제활동을 이용한 이익조정이 낮아지고 있음을 보여주고 있다. 이는 정 보 수집 및 분석 능력이 뛰어나며 상대적으로 장기적이고 안정적인 투자를 하는 외국인투자 자가 내부정보를 이용해 사적 목적을 달성시키려는 경영자의 이익조정을 감소시키는 역할을 하고 있는 것으로 판단된다. 또한 이러한 실제조정의 억제효과는 주로 해당기업의 지분을 5% 이상 보유하는 외국인대주주 (foreign blockholders) 의 역할에 기인하는 것으로 보인다. 이 는 외국인대주주가 일반적인 외국인 소액주주보다 기업의 의사결정에 장기적이고 실질적인 영향력을 발휘할 수 있기 때문인 것으로 해석된다. 그러나 외국인대주주가 해당기업의 최대 주주가 될 경우에는 오히려 해당기업이 실제활동을 이용하여 이익을 상향 보고하는 것으로 나타났다. 이는 일정지분율 이상을 확보하여 기업의 가지 제고에 긍정적인 역할을 하는 외국인투자자가 최대주주가 되는 경우 기업의 가지와 상반되는 의사결정에 동조할 수 있음을 의미한다는 점에서 주목된다. This study investigates whether and how a firm`s earnings management through real activities is influenced by the characteristics of foreign investors` ownership structure, using a large sample of firms over the 6-year period, 2003-2009. There have been several studies which investigated the association between foreign investors` ownership and earnings management, but no prior studies investigated the real earnings management. Managers have a greater willingness to manipulate earnings through real activities rather than accruals because real manipulations requiring profound understanding about all aspects of the business are less likely to draw auditor or regulator scrutiny than accrual-based management. However, Roychowdhury (2006) said that the presence of sophisticated investors restricts the extent of real activities manipulation, which suggests that even though these activities enables managers to meet short-run earnings targets, the are unlikely to increase long -run firm value. Therefore, we focused on foreign investors as typical institutional investors who have made an impressive quantitative growth in participating Korean Securities market since the market liberalization in 1992, foreign investors are known as sophisticated institutional investors who have a greater ability to analyze the long-term implications of current managerial actions. Therefore, the activity of outside foreign investors can make managers mitigate private information that would adversely affect the managerial actions. This would act as a disincentive for managers to engage in real activities manipulation, particularly if such manipulation reduces long-run firm value. Consistent with our prediction, the regression results show that the aggregated ownership of foreign investors is negatively related to the income-increasing earnings management through real activities. Another important finding of our study is that diversified types of foreign investors which compose aggregated foreign ownership play a different role in constraining managers` opportunistic behavior. The existing studies have concentrated mostly on just aggregated ownership of foreign investors. However, foreign blockholders, who have more than 5% of ownership, are important to managers because they have sufficient voting power to put pressure on management if they observe managers ``self-serving behavior to sacrifice the firm`s value. Consistent with this, we find that control-ownership of foreign blockholders make managers engage less in opportunistic earnings management through real operating decisions. Since the foreign blockholders show larger and more significant coefficients, we confirmed that most of decline in real-based management by foreign investors mainly results from the 5˚ shareholders` control power. On the contrary, when a foreign shareholder is in charge of the largest shareholder, they tend to engage more aggressively in real earnings management. This means that even foreign investors, they might use their control powers to maximize their own private benefit by reporting overstated accounting numbers when they hold the largest equity positions in a company. All results are robust to sensitivity analysis, such as the inclusion of Discretionary accruals measured by Modified Jones `` model to consider for relationship between two means of managing earnings or the the inclusion of lag regressor variables to control for endogeneity.

외국인투자자의 특성과 실제이익조정 -외국인대주주의 역할을 중심으로

김성혜 ( Sung Hye Kim ),이아영 ( A Young Lee ),전성빈 ( Sung Bin Chun ) 한국회계학회 2012 회계학연구 Vol.37 No.2

본 연구에서는 2003년부터 2009년의 상장기업을 대상으로 외국인투자자의 특성이 실제활동을 통한 이익조정에 미치는 영향에 대해 분석하였다. 실증 분석결과, 외국인 지분율이 높아질수록 평균적으로 기업의 실제활동을 이용한 이익조정이 낮아지는 것으로 나타났다. 이는 정보 수집 및 분석 능력이 뛰어나며 상대적으로 장기적이고 안정적인 투자를 하는 외국인투자자가 내부정보를 이용해 사적목적을 달성시키려는 경영자의 이익조정을 감소시키는 역할을 하고 있는 것으로 판단된다. 또한 이러한 실제조정의 억제효과는 주로 해당기업의 지분을 5%이상 보유하는 외국인대주주(foreign block-holders)의 역할에 기인하는 것으로 보인다. 이는 외국인대주주가 일반적인 외국인 소액주주보다 기업의 의사결정에 장기적이고 실질적인 영향력을 발휘할 수 있기 때문인 것으로 해석된다. 그러나 외국인대주주가 해당기업의 최대주주인 경우 해당기업이 실제활동을 이용하여 이익을 상향 보고하는 것으로 제시되었다. 이는 일정지분율 이상을 확보하여 기업의 가치제고에 긍정적인 역할을 하는 외국인투자자가 최대주주가 되는 경우 오히려 기업의 가치와 상반되는 의사결정에 동조할 수도 있음을 의미한다. This study investigates whether and how a firm`s earnings management through real activities is influenced by the characteristics of foreign investors` ownership structure, using a large sample of firms over the 6-year period, 2003-2009. There have been several studies which investigated the association between foreign investors` ownership and accrual-based earnings management. To our knowledge, however, none of previous research has documented the monitoring role of foreign investors on real earnings management. Managers have a greater willingness to manipulate earnings using real activities rather than accruals because real activities manipulation that typically requires a manager`s depth of insight and understanding of underlying aspects of business are less likely to draw auditors` and/or regulators` scrutiny than accrual-based earnings management. However, Roychowdhury(2006) argues that the presence of sophisticated investors restricts the extent of real activities manipulation, because they know that even though these activities enable managers to meet short-run earnings targets, they are unlikely to increase long-run firm value. We focus on foreign investors as typical institutional investors who have increasingly become significant investors in Korean Securities market since the market liberalization in 1992. Foreign investors are known as sophisticated institutional investors who have a greater ability to see through the long-run implications of current managerial actions. Therefore, monitoring activities of foreign investors reduce the benefits from private information that would adversely affects the managerial actions. This would act as a disincentive for managers to engage in real activities manipulation, particularly if such manipulation reduces firm`s economic value. Consistent with our prediction, the regression results show that the aggregated ownership of foreign investors is negatively related to the income-increasing earnings management through real activities. Another important finding of our study is that the existence of blockholders among foreign investors plays an important role in constraining managers` opportunistic behavior. Most existing studies have concentrated on just aggregated ownership of foreign investors. However, foreign blockholders, who are defined to have more than 5% of ownership, are important to managers because they have sufficient voting power to put pressure on management if they find managers` self-serving behavior to sacrifice the firm`s value. Consistent with this hypothesis, we find that control- ownership of foreign blockholders makes managers less engage in opportunistic earnings management through real operating decisions. Since the foreign blockholders variable shows larger and more significant coefficients in regression analyses, we confirm that most of decline in real-based management by foreign investors is derived from the blockholder owners` control power. On the other hand, our analysis shows that when firms have foreign shareholders as the largest shareholders, they tend to engage more aggressively in real earnings management. This is consistent with the argument that even foreign investors use their control power to maximize their own private benefit by reporting overstated accounting numbers when they hold the largest equity shares of a company. All empirical results of our study are robust to supplemental analysis, such as the inclusion of discretionary accruals measured by Modified Jones model to consider the relationship between two means of managing earnings, or two-stage least squares method to control for simultaneous equation bias. Our study contributes to the literature on the role of foreign investors in corporate governance by showing somewhat different results on the role of foreign investors who have often been regarded as just transient investors who only focus on short- term profits and therefore cannot afford to take a long-term view in investment decisions. They are sophisticated investors possessing the power to acquire and process information and interested in long-term prospects of companies. Therefore, they can reduce the managers` incentives for real earnings management, thereby mitigate agency problems caused by information asymmetry between inside managers and outside investors, and increase the firm`s value. Moreover, we do not only show that on average earnings are less likely to be managed via real actions when the level of foreign shareholdings are high, but also show that the sub-category of foreign investors (specifically those with more than 5% share holdings, and those with the largest equity positions) may exert pressure on manages regarding operational activities in different ways. These findings suggest a new approach to investigating the relation between earnings management and foreign investors` ownership, and give new insight in drawing inferences on the impact of foreign investors on earnings management using accruals as well as real activities.

모멘텀 현상과 투자자 유형별주식거래 행태의 관련성 분석

김근수 한국금융학회 2018 금융연구 Vol.32 No.4

Recent papers document that price momentum appears in the Korean stock market after the Asian financial crisis, while earlier papers find only return reversal before the crisis. This paper, however, presents that price momentum in Korea is limited because past winners do not outperform other stocks except past losers in the Korean stock market. Momentum strategies, based on past six-month compounded returns, tend to have positive returns which are only attributed to low returns of past losers. Thus, the positive returns of the momentum strategy in Korea may not be classified as price momentum since past winners are not future winners. This paper presents that foreign investors play a critical role in generating price momentum in the Korean stock market after the Asian financial crisis by showing the following empirical results. First, when stocks are sorted based on the turnover ratio of foreign investors, past winners (losers) become future winners (losers) in the KOSPI market for stocks with high turnover ratios of foreign investors. Second, the winner portfolio that foreign investors intensively buy achieves the highest B/M and size adjusted returns, while the loser portfolio that they intensively short has the lowest B/M and size adjusted abnormal returns. Third, the trade imbalance of foreign investors has positive impact on stock returns in the Fama and MacBeth’ cross-sectional regression analysis, but that of domestic institutional investors do not. Fourth, past six-month returns have positive effects on future returns for stocks with top 20% highest turnover ratios of foreign investors. However, for KOSPI stocks excluding those stocks, past six-month returns have negative effects on future returns. This result suggests that return reversal appears among stocks even after the financial crisis that foreign investors do not actively participate in. In addition, foreign investors are momentum traders before and after portfolio formation in case of the winner (loser) portfolio that they actively buy (short), while individual investors are contrarian traders. However, domestic institutional investors are not momentum traders even in case of the winner (loser) portfolio that they actively buy (short). Thus, the trade interaction of foreign investors and individual investors is essentially important in generating price momentum. Specially, since price momentum is not found among stocks that foreign investors do not actively trade, momentum trading of foreign investors is essential in generating price momentum in Korea after the Asian financial crisis. This result is not consistent with the risk-premium hypothesis that attempts to explain price momentum. If price momentum is due to rewards for high risk of winner stocks, it is difficult to find any reason why this risk premium depends on the trading activities of foreign investors. On the other hand, two possible hypotheses in behavioral finance can account for the dependence of price momentum on the trade imbalance of foreign investors. According to Chui, Titman, and Wei (2010) and Daniel et al. (1998), foreign investors pursue momentum trading in the process of overreaction caused by their overconfidence and biased self attribution. On the other hand, foreign investors may pursue momentum trading in the process of correcting underreaction as Hvidkjaer (2006) suggests. In this scenario, the contrarian trading of individual investors delay reflection of foreign investors’ private information on the prices of winners and losers. Thus, the contrarian trading of individual investors is regarded as irrational behavior, while the momentum trading of foreign investors is as rational one. 본 연구는 외환위기 이후에 외국인투자자의 거래가 한국 주식시장에서 모멘텀 현상을발생시키는 핵심적인 역할을 한다는 분석 결과를 제시한다. 외국인이 집중적으로 매수하는 승자포트폴리오와 집중적으로 매도하는 패자 포트폴리오에서 모멘텀 현상이 뚜렷하게 나타난다. 이들 포트폴리오에서 외국인투자자는 모멘텀 거래를 추구한다. 그러나 국내 기관투자자가집중적으로 매수 및 매도하는 모멘텀 포트폴리오에서 모멘텀 현상은 뚜렷하게 발생하지 않고, 외국인투자자와는 달리 국내 기관투자자는 모멘텀 거래의 행태를 보이지 않는다. 횡단면회귀분석 결과에 의하면 외국인투자자의 순 매수세는 미래 수익률과 양(+)의 관련성을 지닌다. 또한 외국인투자자가 활발히 거래하는 주식에서만 수익률의 모멘텀 현상을 확인할 수 있다. 그러나 외국인투자자가 활발하게 거래하지 않는 주식의 경우 과거 수익률은 미래 수익률과음(-)의 관련성을 지닌다. 한국 주식시장의 모멘텀 현상은 외국인투자자 집중적으로 거래하는주식에서 주로 발생하는 현상이고, 외국인투자자의 모멘텀 거래와 개인투자자의 추세 역행적거래의 상호작용으로 발생한다고 이해할 수 있다.

논문 : 배당의 미래이익 예측력과 외국인투자자

강태구 ( Tae Goo Kang ),이창우 ( Chang Woo Lee ),남혜정 ( Hye Jeong Nam ) 명지대학교 금융지식연구소 2013 금융지식연구 Vol.11 No.3

본 연구는 배당의 미래이익 예측력이 외국인 투자자들의 지분율에 따라 어떻게 달라지는지 검증하였다. 일반적으로 배당지급은 기업의 미래이익을 예측하는 데 유용한 정보로 여겨지고 있으나, 이에 대한 실증연구결과들은 혼재되어 있다. 또한 배당의사결정과 관련된 연구들은 투자자들의 배당선호현상에 따라 기업의 배당의사결정이 영향을 받고 있음을 제시하고 있으며, 특히 우리나라의 경우, 배당의사결정에 외국인투자자가 미치는 영향이 매우 높게 나타나고 있다. 이는 특정투자자집단의 배당요구가 높은 경우, 기업의 배당의사결정이 미래이익에 대한 사적정보의 전달수단이기 보다는 단기적으로 배당에 대한 투자자들의 요구를 반영한 결과로 나타날 수 있음을 보여준다. 나아가 이러한 배당의사결정은 배당의 미래이익 예측력을 낮게 만들 것으로 예측된다. 본 연구는 배당의 미래이익 예측력을 재검증하고, 나아가 외국인지분율에 따라 배당의 미래이익예측력이 달라지는지 검증하였다. 먼저, 배당의 미래이익 예측연구들은 자기자본이익률(ROE)의 평균회귀(mean reverting)현상과 배당증가 또는 배당감소가 이익변화에 미치는 비대칭적 영향을 고려하고 있으나, 이익변화에 영향을 미치는 여러 가지 변수들을 통제하지 않고 있다. 따라서 본 연구는 선행연구에서 제시되고 있는 기업규모(SIZE), 성장성(SGR), 부채비율(LEV), 그리고 연도더미를 추가하여, 이를 통제하고 난 후에도 배당의 미래이익예측력이 여전히 존재하는지 검증하였다. 둘째, 배당의 미래이익 예측력이 기업의 배당의사결정에 영향을 미치는 특정집단에 의하여 달라지는지 검증하였다. 2000년부터 2007년까지 배당지급을 한 6,720 기업-년 표본을 대상으로 분석한 결과, 기본 모형뿐만 아니라 여러 통제변수를 포함한 모형에서도 우리나라 기업들의 배당변화는 미래 1년 뒤의 이익변화와 유의한 양의 관계를 나타냈으나, 미래 2년 뒤의 이익변화와는 유의하지 않았다. 또한 이익변화에 영향을 미치는 변수들을 추가한 모형의 설명력(R2=0.46)이 기본모형의 설명력(R2=0.28)보다 급격히 증가함을 알 수 있었다. 그러나 이러한 관계는 외국인지분율을 통제할 경우, 유의하지 않게 나타났다. 이는 기업의 배당의사결정이 미래전망에 근거하여 이루어지기보다는 특정투자자집단의 배당요구를 반영하는 수단으로 사용되고 있음을 보여준다. 즉 우리나라의 경우, 배당의사결정이 외국인투자자들의 배당요구를 반영하여 이루어짐을 알 수 있다. 본 연구는 대부분의 선행연구들이 외국인투자자와 배당성향간의 동시적인 관계에 대한 결과들을 제시한 반면에, 외국인투자자가 우리나라 기업들의 배당의사결정에 미치는 영향과 함께 배당의 미래이익예측력의 관점에서 살펴보았다는 점에 의의가 있다. This paper investigates whether the dividend payout predicts future earnings and the predictability varies depending on the proportion of investors. Specifically, this paper examines the effect of foreign investors on the relationship between dividend change and the predictability of future earnings in Korean firms. Reasoning from the hypothesis that dividend changes convey new information about a firm`s future profitability, a dividend increase is seen as a positive signal about the firm`s future earnings and profitability. However, the results from prior studies are controversial. Some papers have suggested that dividend changes would mean different things depending on a firm`s dividend policy and the motives behind its managers` decision to pay dividends. In addition, a firm`s governance is considered as one of important factors that affects dividend policy. In the Korean security market, foreign investors owned about 38% of the stock in 2007. As the percentage of foreign ownership had grown, many researchers have analyzed the effect of this ownership on dividend policy. However, prior studies found mixed results and have focused on the association between foreign investors and the level of the dividend or dividend change. They also suggest that predictability of dividend on future earnings is influenced by applied assumption on earnings and other factors like governance as well. We revisit the dividend signaling issue in the light of the catering theory of dividends suggested by Baker and Wurgler (2004). Lintner (1956) argued that managers unwilling to change payout ratio without any important change on the firm`s future performance. Won and Kim (1992) report that managers are more likely to be concerned about the internal factors such as net income, divisible surplus, predicted future performance, and the shareholders` preference for dividend policy. More importantly, several studies suggest that the foreign investors have a significant effect on the Korean market. Park (2004) reports that foreign investors` participation in firms generally pushes up the dividend payments while pulling down investments made in facilities no matter which industry a company is in. Sul and Kim (2006) show that those companies whose majority shareholders are foreign investors tend to pay higher dividends than others whose majority shareholders are domestic investors. In contrast to negative effect of foreign investor, there are empirical studies claiming positive impact of foreign investor in Korean market. Ahn, Shin, and Chang (2005) suggest that foreign investors prefer firms with lower information asymmetry. The study also shows that foreign investors can effectively monitor the management of firm in lessening information asymmetry. Similarly, Park and Lee (2006) suggest that foreign investors` participation in investment of domestic firms can help them make more efficient management decision by improving their corporate governance. Thus, Park and Lee claim that it is problematic to generalize the negative role of foreign investors in the Korean market. Based on this argument, we predict that if foreign investors play an effective monitoring role in a dividend policy, dividend change for firms with higher level of foreign investors is a good indicator in predicting future earnings than for firms with lower level of foreign investors. However, if foreign investors play a negative role in dividend decision process, predictability of dividend decreases. We test this prediction by using the modified model with several control variables that can affect earnings changes. Using 6,720 observations from 1993 to 2007, we find that the dividend change predicts future earnings for next one year relative to the dividend change year. Specifically, the coefficient on RDIV is 0.045 (t=6.85) and this indicates the dividend increases is a good indicator in predicting future earnings. When it comes to model specification, adjusted R2 of modified model is greater than that of the basic model, which means that the modified model is well specified in explaining earnings changes. The result of the effect of foreign investors on predictability of dividend is not significant. This finding implies that managers, on average, decide to pay dividend as a response to demand from foreign investors.

외국인투자기간이 이익조정에 미치는 영향

이균봉 한국회계정보학회 2016 재무와회계정보저널 Vol.16 No.4

[Purpose] The objective of this research is to test the role that foreign investors play in restraining earnings management activities of firms. [Methodology] For this study, we use two variables, equity ratio and investment horizons of foreign investors, as the proxies of foreign investors. Especially, we focus on investment horizons of foreign investors as the proxy of impact of foreign investors on earnings management. The investment horizons of foreign investors is measured as the investor turnover is suggested by Gaspar et al. (2005). And earnings management is measured by the method of Dechow and Dichev(2002), McNichols, Dechow and Dichev(2002) and Ball and Shivakumar(2006). [Findings] We find that corporate earnings management is less prevalent when Long-term foreign investors are among shareholders. Our study shows that if investment horizons of foreign investors is short, equity ratio of foreign investors would be not influence to facilitate mitigation of managers’ use of earnings management. Especially, if investment horizons of foreign investors is short and equity ratio of foreign investors is high, it could be facilitate acceleration of managers’ use of earnings management. [Implications] This means that it can be more important to consider for investment horizons of foreign investors than equity ratio of foreign investors on testing the impact of foreign investors on the earnings management by this paper. And the investment horizons of foreign investors can be better proxy of foreign investors than equity ratio of foreign investors. [연구목적] 본 연구는 외국인투자자가 국내 증권시장에 미치는 영향이 점차 증대되는 시점에서 이들의 역할을 좀 더 정교하게 대리할 수 있는 방법론을 모색하고이를 통해 이들 외국인투자자의 역할을 이익조정 측면에서 검증하는 데 그 연구의 목적이 있다. [연구방법] 본 연구는 외국인투자자의 투자기간이 이익조정에 미치는 영향을 검증하였다. 이를 위해 이익조정의 대리변수로는 지금까지 이익조정 관련 연구에서 대표적인 이익조정 측정치로 활용되어온 재량적 발생액(Discretionary Accrual:DA) 을 활용하였으며, 외국인투자자의 투자기간은 이들의 투자회전율로 측정하였다. [연구결과] 실증분석 결과, 외국인투자자의 투자기간에 따라 이익조정에 미치는영향에 차이가 있는 것으로 나타났다. 이는 연구 전 예상과 동일한 결과로, 외국인투자자가 기업의 이익조정 수준에 미치는 영향을 검증함에 있어서는 이들의 보유지분율뿐만 아니라 투자기간을 함께 고려해야 함이 더 적절할 것으로 판단할 수있다. [연구의 시사점] 본 연구는 외국인투자자의 기말시점의 보유지분율이 아닌 이들의 투자기간을 고려하여 외국인투자가 이익조정 간에 미치는 영향을 검증함으로써, 기존의 연구와 차별성이 있을 것으로 기대된다. 특히 외국인투자자의 보유지분율이 높아도 이들의 투자기간이 짧은 경우에는 오히려 외국인투자자와 이익조정 간의 양(+)의 관련성이 나타난다는 결과는 기업들뿐만 아니라 증권시장에도의미 있는 메시지를 줄 수 있을 것으로 기대된다. 끝으로 본 연구가 증권시장의투자자들의 합리적인 의사결정에 미약하나마 도움이 되기를 기대한다.