외국인투자자지분율에 따른 회계이익의 정보효과 분석

Abstract

The objectives of this study are ① to factor out propensity of foreign equity investment in the Korean stock market and ② to find foreign equity investors' favorite earnings numbers among three variables (discretionary accruals, non-discretionary accruals, and/or cash flow from operation (CFO)) for the investment of Korean stocks.

Ten years' stock market data covered from 2000 to 2009 was used for the regression analysis. The regression model utilizes cumulative abnormal return (CAR) as dependent variable and three earning related variables (discretionary accruals, non-discretionary accruals, and cash flow from operation) as independent variables. The dependent variable, CAR, is estimated by aggregating 21 days‘ abnormal returns from day -10 to day +10 surrounding the day of general shareholder's meeting. Two independent variables including discretionary accruals and non-discretionary accruals are computed by Jone's Model (1995). The study decomposes sample into two groups where Group 1 firms have 5% and more foreign investor´s ownership and Group 2 firms have less than 5% foreign investor´s ownership.

The empirical results of the regression analysis are as follows; 1) There is a significant differences for the favorite earing numbers between Group 1 and 2. 2) For the two groups, there is a negative association between CAR and unexpected cash flow from operations, which is opposite to the hypothesis. 3) For the Group 1, there is a positive association between CAR and unexpected discretionary accruals, which is opposite to the hypothesis. 4) There exists entrenchment effect when foreign investor´s ownership is more than 50%.

The overall results do not show functional role where foreign investors do not improve the quality of earnings.