환율변동과 이익조정

Abstract

With an economic structure that has a lack of resources and a higher external dependence, Korea is vulnerable to international environment like politics, economics and financial changes, resulting in facing greater foreign impacts compared to other countries. Among those risks, especially exchange rate fluctuation has a significant effect on Korea, as highly depends on exports and it produces the goods with resources imported from overseas. Namely, exchange rate fluctuation affects the Korean companies’ international competitiveness level, it changes the expectations about their future cash flows and it finally affects the values of the companies. Therefore, this exchange rate fluctuation is a significant variable which needs to be taken into account when making decisions regarding companies’ activities. Considering these factors, this paper explains the relationship between exchange rate fluctuation and earnings management. Specifically, it analyzed that weather the company’s exchange rate elasticity of sales has an effect on earnings management scale and additionally, conducted an empirical analysis in relation to the relationship between earnings management scale and stock price. The tests are performed based upon the firm data between 2003 and 2010 focusing on the companies of the korea stock exchange. Before conducting the empirical analysis, T-exam has been performed in order to analyze the relationship between the company’s exchange rate elasticity of sales and the size of discretional accruals. The result shows that average difference of absolute value of discretional accruals between the group with absolute value of exchange rate elasticity of sales is more than 1 and the group with less than 1 is meaningful, and the bigger the company’s exchange rate elasticity of sales, the greater the company’s earnings management is. Additionally, the result from the T-exam for discretional accruals after classifying between the group with exchange rate elasticity of sales more than 1 and the group with less than -1 was not statistically significant. And it was found that the average difference of discretional accruals between the companies which has negative impact and the ones with positive impact, when there is exchange rate fluctuation, is not significant. Furthermore, in order to exam weather the company’s exchange rate elasticity of sales has an influence on the size of the discretional accruals, regression analysis with CAR as a dependent variable was conducted. As a result, there is a significant positive (+) relationship between exchange rate elasticity of sales and the size of the discretional accruals, meaning that the greater the company’s exchange rate elasticity of sales is, it is likely that the company will have the bigger discretional accruals. Finally, multiple regression analysis was performed with the purpose to find out the relationship between this discretional accruals and returns on stock. The result of the regression analysis with the stock’s cumulative abnormal return (CAR) as a dependent variable is the following: There is no statistically significant relationship between CAR and size of the discretional accruals. This is because stock market doesn’t respond to the size itself of discretional accruals. Greater size of the discretional accruals means that it includes the element that profit is adjusted to negative (-), and when this happens, there is an effect that the absolute size of the profit itself becomes smaller.