외국인 투자자 지분율에 따른 이익지속성과 시장의 반응

I investigate the foreign investors' roles in indicating the persistence of earnings, accruals, and cash flows for one-year ahead earnings. I also examine whether the levels of foreign investors' share holdings influence investors' assessments of future earnings persistence. Prior research reveals that the accrual component of earnings is less persistent than the cash flow component, and that investors fail to fully appreciate their differing implications for future profitability(Sloan 1996) and numerous accounting studies(Sloan 1996; Xie 2001, and Hanlon 2005) claim that investors fail to rationally price accrual-related information and that investors are functionally fixated. I analyze firms listed on the Korean Stock Exchange as of December 31 of each year for the 1999 ~ 2006 period. To test hypothesis we used the multiple regression and the Mishkin(1983)-test method which Sloan(1996), Xie(2001), and Hanlon(2005) employed. My results indicate that earnings persistence is positively associated with foreign investors' share-holdings, and the cash flow and the accrual component of earnings are also positively associated with foreign investors' share-holdings. These results suggest that foreign investors contribute to mitigating information asymmetry between the investors and managers. When I investigate investors' expectations of future earnings for firm-years with the large foreign investors' share-holdings, the evidences suggest that investors irrationally overprice the persistence, or one-year ahead earnings implications of earnings, cash flows, and accruals in Korean stock market.