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.

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.

외국인투자자의 투자성과와 보수주의 및 국제회계기준

김영,이정엽 한국회계학회 2015 회계저널 Vol.24 No.3

The size of foreign investment has been increasing and in the financial study field, whether foreign investors can have a better performance than domestic investors has been main issue. In general, foreign investors’ performance can be superior to domestic’s. But this thought could not remain for such a long time, because of sample period, market category, and research methodology. So we cannot for sure that performance of foreign investors are better than domestic investors. Many prior literatures said that foreign investors have specialized international experiences in investment, a good ability for analysis and interpretation for firm and market informations. They can use this ability for invest decision making, so that they can have a better profit rate than here in Korea. But other studies said that foreign investors have a difficulty in getting informations of firm and market. So their investment profit is not as good as we thought. In Korea security market, foreigners’ investment was active after 1998 financial crisis, many prior study has been processed using before IMF crisis data. Considering the prior research (foreign investor’s performances are better than other’s after IMF crisis), there is possibility of different results if we use current market data. In addition, many prior studies used buy-and-hold return for calculating profit rate. This measure is proper for individual firm’s performance, but not for invertor (Dichev and Yu 2011). So we measure foreigners’ performance using internal rate of return (IRR). Basically by using share price and number of share, we estimate foreign investors’ and domestic investors’ cash flow. After that, we estimate each investors’ IRR. We expect that foreign investors are more prefer conservative accounting than others. So they have more interesting in conservative firm. In short-term perspective, conservative accounting is negative to firm’s profit, but has positive effect to firm’s value in the long-term perspective. If foreign investors consider short-term and long-term effect, then using this conservative information data in investing process, they get more. We also expect adoption of IFRS has effect on this process. IFRS accounting information has many advantages in comparison information in different countries and foreigners are more accustomed to IFRS. That has more positive effect on foreigners’ profit. This paper examines whether foreign investors earn higher return than domestic investors’ due to the differences of information analysis ability. In addition to this topic, we also analyze the impacts of conservatism and adoption of IFRS to the foreign investors performance. We use Dichev(2007)'s IRR(Internal rate of return) to measure investor's performance, and measure conservatism using Khan and Watts(2009) and Paek and Lee(2004)’s methodology. Our sample consists of 3,394 firm-years from 2002 to 2012. The findings of this study are as follows. First, foreign investors’ IRR is higher than that of domestic investor on our test periods. It implies that foreign investors may have ability to sophisticated investment skills. Second, the degree of conservatism makes differences of investment return between foreigners and domestic investors. In other words, the foreign investor had higher returns on the more conservative firms. This result shows that foreign investors use the information of firms's conservatism more effectively on the investment decision making process than do domestic investors. Third, adoption of IFRS makes bigger differences of investment return between foreigners and domestic investors. We interpret that IFRS plays an important role in decreasing information asymmetry between foreign and domestic investors. We contribute to previous accounting literatures by using new measure of investment performance between foreign and domestic investors, conservatism and adoption of IFRS. 본 연구는 외국인투자자가 우월한 정보분석 및 해석능력으로 내국인투자자보다 우수한 투자성과를 이루었는지 분석하고, 외국인투자자의 투자성과에 영향을 미칠 것으로 예상되는 보수주의 및 국제회계기준 도입과의 관련성을 분석한다. 외국인투자자의 투자성과 측정을 위해서 투자자의 성과측정치로서 적합한 Dichev(2007)의 내부수익률(IRR)을 적용한다. 2002년부터 2012년까지 외국인이 투자한 기업을 대상으로 총 3,394기업-년도의 표본에 대하여 분석을 수행하였으며, 주요 실증분석 결과는 다음과 같다. 첫째, 분석기간 동안 외국인투자자는 내국인투자자보다 우수한 투자성과를 보인 것으로 나타났다. 이는 외국인투자자의 정보분석능력과 해석능력이 내국인투자자보다 우월함을 의미한다. 둘째, 보수적인 회계처리를 수행한 기업일수록 외국인투자자의 투자성과와 내국인투자자의 투자성과 차이는 심화되는 것으로 나타났다. 이러한 결과는 외국인투자자가 보수적인 회계처리를 수행하는 기업들에서 내국인 투자자들보다 우수한 수익률을 얻었음을 의미하는 것으로서, 외국인투자자가 투자의사결정과정에서 내국인투자자들에 비해 기업의 보수주의 정보를 보다 효과적으로 이용하고 있음을 시사한다. 셋째, 국제회계기준의 도입 이후에 외국인투자자의 투자성과와 내국인투자자의 투자성과 차이는 심화되는 것으로 나타났다. 이는 국제회계기준의 도입으로 인하여 국가간 회계정보의 비교가능성이 증대되어 외국인투자자가 보다 수월하게 해당 기업의 회계정보를 분석하고 해석할 수 있게 되었음을 의미한다. 본 연구는 투자자의 현금흐름을 추정하여 내부수익률(IRR)을 이용한 투자성과를 적용하고, 외국인투자자의 투자성과와 보수주의 및 국제회계기준 도입과의 관련성을 분석하였다는 점에서 선행연구와 차별화된다.

연구논문 : 외국인투자자의 투자성과와 보수주의 및 국제회계기준

김영(제1저자) ( Young Kim ),이정엽(교신저자) ( Jung Youp Lee ) 한국회계학회 2015 회계저널 Vol.24 No.3

본 연구는 외국인투자자가 우월한 정보분석 및 해석능력으로 내국인투자자보다 우수한 투자성과를 이루었는지 분석하고, 외국인투자자의 투자성과에 영향을 미칠 것으로 예상되는 보수주의 및 국제회계기준 도입과의 관련성을 분석한다. 외국인투자자의 투자성과 측정을 위해서 투자자의 성과측정치로서 적합한 Dichev(2007)의 내부수익률(IRR)을 적용한다. 2002년부터 2012년까지 외국인이 투자한 기업을 대상으로 총 3,394기업-년도의 표본에 대하여 분석을 수행하였으며, 주요 실증분석 결과는 다음과 같다. 첫째, 분석기간 동안 외국인투자자는 내국인투자자보다 우수한 투자성과를 보인 것으로 나타났다. 이는 외국인투자자의 정보분석능력과 해석능력이 내국인투자자보다 우월함을 의미한다. 둘째, 보수적인 회계처리를 수행한 기업일수록 외국인투자자의 투자성과와 내국인투자자의 투자성과 차이는 심화되는 것으로 나타났다. 이러한 결과는 외국인투자자가 보수적인 회계처리를 수행하는 기업들에서 내국인 투자자들보다 우수한 수익률을 얻었음을 의미하는 것으로서, 외국인투자자가 투자의사결정과정에서 내국인투자자들에 비해 기업의 보수주의 정보를 보다 효과적으로 이용하고 있음을 시사한다. 셋째, 국제회계기준의 도입 이후에 외국인투자자의 투자성과와 내국인투자자의 투자성과 차이는 심화되는 것으로 나타났다. 이는 국제회계기준의 도입으로 인하여 국가간 회계정보의 비교가능성이 증대되어 외국인투자자가 보다 수월하게 해당 기업의 회계정보를 분석하고 해석할 수 있게 되었음을 의미한다. 본 연구는 투자자의 현금흐름을 추정하여 내부수익률(IRR)을 이용한 투자성과를 적용하고, 외국인투자자의 투자성과와 보수주의 및 국제회계기준 도입과의 관련성을 분석하였다는 점에서 선행연구와 차별화된다. The size of foreign investment has been increasing and in the financial study field, whether foreign investors can have a better performance than domestic investors has been main issue. In general, foreign investors`` performance can be superior to domestic``s. But this thought could not remain for such a long time, because of sample period, market category, and research methodology. So we cannot for sure that performance of foreign investors are better than domestic investors. Many prior literatures said that foreign investors have specialized international experiences in investment, a good ability for analysis and interpretation for firm and market informations. They can use this ability for invest decision making, so that they can have a better profit rate than here in Korea. But other studies said that foreign investors have a difficulty in getting informations of firm and market. So their investment profit is not as good as we thought. In Korea security market, foreigners`` investment was active after 1998 financial crisis, many prior study has been processed using before IMF crisis data. Considering the prior research (foreign investor``s performances are better than other``s after IMF crisis), there is possibility of different results if we use current market data. In addition, many prior studies used buy-and-hold return for calculating profit rate. This measure is proper for individual firm``s performance, but not for invertor (Dichev and Yu 2011). So we measure foreigners`` performance using internal rate of return (IRR). Basically by using share price and number of share, we estimate foreign investors`` and domestic investors`` cash flow. After that, we estimate each investors`` IRR. We expect that foreign investors are more prefer conservative accounting than others. So they have more interesting in conservative firm. In short-term perspective, conservative accounting is negative to firm``s profit, but has positive effect to firm``s value in the long-term perspective. If foreign investors consider short-term and long-term effect, then using thisconservative information data in investing process, they get more. We also expect adoption of IFRS has effect on this process. IFRS accounting information has many advantages in comparison information in different countries and foreigners are more accustomed to IFRS. That has more positive effect on foreigners`` profit. This paper examines whether foreign investors earn higher return than domestic investors`` due to the differences of information analysis ability. In addition to this topic, we also analyze the impacts of conservatism and adoption of IFRS to the foreign investors performance. We use Dichev(2007)``s IRR(Internal rate of return) to measure investor``s performance, and measure conservatism using Khan and Watts(2009) and Paek and Lee(2004)``s methodology. Our sample consists of 3,394 firm-years from 2002 to 2012. The findings of this study are as follows. First, foreign investors`` IRR is higher than that of domestic investor on our test periods. It implies that foreign investors may have ability to sophisticated investment skills. Second, the degree of conservatism makes differences of investment return between foreigners and domestic investors. In other words, the foreign investor had higher returns on the more conservative firms. This result shows that foreign investors use the information of firms``s conservatism more effectively on the investment decision making process than do domestic investors. Third, adoption of IFRS makes bigger differences of investment return between foreigners and domestic investors. We interpret that IFRS plays an important role in decreasing information asymmetry between foreign and domestic investors. We contribute to previous accounting literatures by using new measure of investment performance between foreign and domestic investors, conservatism and adoption of IFRS.

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.

외국인소유주의 사회적 책임활동에 대한 통제능력

김선화 ( Sun Hwa Kim ),정용기 ( Yong Ki Jung ) 한국회계학회 2012 會計學硏究 Vol.37 No.2

기업의 사회적 책임(CSR)과 사회책임투자 (SRI)에 대한 요구가 날로 증가하고 있음에도 불구하고 국내기업들의 사회적 책임활동은 소극적 경향을 보이고 있다. 그 원인과 관련하여 다양한 분석결과가 제시되고 있긴 하지만, CSR활동은 특히 장기적 차원의 자원배분 의사결정과 관련되기 때문에 지배구조의 관점에서 접근할 필요가 있다. 그 중에서도 외국인투자자들은 장기적 투자성향을 가지고 있는 것으로 알려져 있기 때문에 CSR활동에 적극적일 가능성은 높지만, 이에 대한 검증결과는 찾아보기 어렵다. 따라서 본 연구에서는 외국인투자자들이 CSR활동에 미치는 영향과 관련하여 CSR활동에 대한 통제 성향과 이와 관련된 투자성향의 양방향관계에 초점을 맞추어 차별적인 분석을 수행해 보고자 하였다. 분석결과에 의하면, 첫째, 외국인투자자들은 기업의 사회적 책임활동에 있어 지배주주를 효과적으로 통제함으로써 외국인투자자지분율이 높을수록 CSR활동에 보다 적극적이며, 또한 CSR활동이 좋은 기업에 투자하는 경향이 있는 것으로 분석되었다. 둘째, 지분의 5%이상을 소유한 외국인주요주주들이 존재한 기업과 그렇지 않은 기업으로 나누어 분석한 결과에서는, 5%이상을 소유한 외국인주요주주들이 존재하는 기업의 경우 통제성향과 투자성향 모두에서 영향력이 있는 것으로 나타났으나, 5%이상을 소유한 외국인주요주주들이 없는 경우 투자성향은 보이고 있으나 통제성향은 발견하지 못하였다. 셋째, 투자목적과 관련해서는 전략적 투자목적을 가진 외국인주요주주들이 재무적 투자목적을 가진 외국인주요주주들 보다 CSR활동을 보다 적극적으로 통제하는 것으로 나타났다. 넷째, 전략적 투자목적을 가진 외국인주요주주들은 건전성 및 환경성과와 경제발전에 대한 기여 부문에서 긍정적인 영향을 미치고 있는 것으로 나타났으며, 재무적 투자목적을 가진 외국인주요주주들은 건전성과 경제발전에 대한 기여 부문에서만 긍정적인 영향을 미치고 있는 것으로 나타남으로써 투자자 유형에 따라 CSR활동에 대한 통제유인이 다른 것으로 해석할 수 있다. 추가분석에서는, 최대주주가 개인인 경우에는 CSR활동에 부정적인 영향을 미쳤으나 금융기관인 경우에는 CSR활동에 긍정적인 영향을 미침으로써 최대주주의 유형(개인, 금융기관, 기업)에 따라 CSR활동에 미치는 영향이 차이가 있음을 발견하였다. 그러나 기관투자자와 기관투자자의 유형(은행, 연기금, 기타금융기관)이 CSR활동에 미치는 영향은 발견하지 못했다. 외국인주주들이 CSR활동에 영향을 미친다는 본 연구의 결과는 장기적인 CSR성과 개선을 위한 기업과 자발적인 CSR활동을 유인하는 정부의 정책방향설정에 시사하는 바가 크다. 또한 외국인투자자들이 CSR활동이 활발한 기업에 대한 투자를 선호하는 것으로 검증됨에 따라 SRI펀드 등 사회책임투자가 활성화될 수 있는 계기가 될 것으로 판단된다. 특히, CSR활동이 투자자의 의사결정에 미치는 영향을 고려해 볼 때, 비 재무적 성과측정치로서 CSR관련정보의 측정 및 공시와 관련하여 보다 심도 깊은 논의와 연구가 이루어져야 할 것으로 본다. Today`s corporations are aware of the importance of maintaining a balance between social responsibility and their pursuit of financial goals in order to ensure their continued survival and prosperity. Therefore, corporate social responsibility (CSR) is a core component of corporate strategy. Moreover, as a result of recent initiatives of institutional investors, particularly those based in Europe and North America, the socially responsible investment (SRI) movement has spread rapidly throughout global financial markets, with an eye toward directing investments in socially responsible businesses that more successfully fulfill the public`s demands. However, Korean controlling shareholders have generally evidenced a negative propensity toward CSR practices, as they tend to increase private benefits and enhance the growth of chaebol group. In this case, the increase in CSR activities can be connected to a reduction in firm value, which can expropriate the advantages of outside minority shareholders. Minority shareholders may be regarded as a source of motivation for controlling CSR activity, and thus, they may play an important role in CSR. In the Korea Exchange (KRX), domestic institutional investors (as outside minority shareholders) typically do not exert effective monitoring power over management activity because they tend to engage in short-term investment activity, and thus, foreign investors are more likely to exercise effective monitoring power than domestic institutional investors. For this reason, foreign investors are likely to have considerable influence on CSR activity. In this regard, the present study addresses this question by focusing on foreign investors as outside minority shareholders. The results of this study indicate that foreign investors tend to invest in firms with better CSR practices and that such firms tend to be managed on CSR practices. In addition, in terms of firms with no foreign blockholders, the results demonstrate that foreign investors prefer those firms with better CSR practices while pursuing management control. However, in terms of firms with foreign blockholders, the results demonstrate that foreign investors prefer firms with better CSR practices and exert control over controlling shareholders through CSR practices. These results imply that the control effects of foreign shareholders on CSR activities vary according to their share in a particular firm (i.e., whether they hold at least a 5% stake in the target firm) because foreign blockholders with at least a 5% ownership stake are often able to influence the company with the voting rights awarded with their holding. Further, the results indicate that strategic investors are motivated by nonfinancial goals such as obtaining control rights and developing a sustainable competitive advantage and are thus more likely to be motivated to control CSR activity than financial investors. Also, strategic investors exert effective control over controlling shareholders` CSR activities in terms of soundness, environmental performance, and contributions to economic development. On the other hand, financial investors exert effective control over controlling shareholders` CSR activities in terms of its soundness and contribution to economic development. In sum, this study`s results indicate that the effects of foreign investors on the seven sub-dimensions of CSR vary according to their acquisition purpose. Additionally, the results suggest that firms` CSR activities are influenced by the types of their largest shareholders, that the types of institutional investors have no significant on CSR practices. This study is, to the best of our knowledge, the first to confirm the interactive effects on the relationship between foreign ownership and CSR using a regular simultaneous equation system. Additionally, this study, as one of the few that relates to foreign ownership and CSR, is specifically targeted toward analyses of the relationship between CSR and foreign ownership according to the existence of foreign blockholders holding at least a 5% of shares in an individual firm. The results of this study make the following contributions to the current body of knowledge. First, in Korea, through the effects of governance, these findings may prove helpful to the social responsibility decision-making processes of companies and regulators. Second, our findings may prove helpful in allocating resources for firms that practice social responsibility activities. In particular, the results of this study may contribute to the disclosure policy of CSR for SRI (socially responsible investment) in the capital market, in the research field of accounting for measurement and disclosure.

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.

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.