환위험 기업에 대한 재무분석가 이익예측 특성

This study explores whether firms' foreign currency risk exposure and the effectiveness of foreign currency risk management are associated with analysts' forecast properties. Jacque (1979) suggests that foreign currency risk can be divided into economic exposure to foreign currency risk and accounting exposure to foreign currency risk conceptually. The view of economic exposure to foreign currency risk implies that the performance volatility of firms increases as firms' foreign assets and liabilities increases. The increased volatility makes analysts' forecasting more complex and thereby affects analysts’ forecast property. Because many prior studies suggest that analysts' forecasts are optimistically biased and inaccurate when the complexity in forecasting increases (Clement 1999), we expect analysts' forecasts to be optimistically biased and inaccurate when economic exposure to foreign currency risk is high. The view of accounting exposure to foreign currency risk suggests that managers are more liklely to put their effort on minimizing the net income effect incurred from foreign currency. If the management of foreign currency risk turns out to be effective, then net income effect from foreign currency would be insignificant, and analysts' forecasts inaccuracy due to the unpredictable changes of currency fluctuation is expected to decrease. Therefore we expect that analysts' earnings forecasts are not significantly different from actual earnings when the management of accounting currency risk is effective. If firm's risk management to foreign currency turns out to be less effective and the changes in foreign currency affect net income positively (negatively), analysts' earnings forecasts are expected to be pessimistic (optimistic) due to the unexpected currency effects. Using 12,987 firm-year observations provided by Fn-Guide database from 2001 to 2007, we find followings; First, analysts issue more inaccurate and optimistic forecasts, as firms' foreign assets and liabilities increases. It means that economic exposure to foreign currency risk increases uncertainty in analysts' forecasting and thereby makes their forecasts inaccurate and optimistic. Second, if net income effect from firms' foreign currency assets and liabilities is insignificant because the firms' management of accounting exposure to foreign currency risk has been effective, then analysts' earnings forecasts are not much different from actual earnings, i.e. accurate. On the other hand, analysts' forecasts turn out to be pessimistic (optimistic) and inaccurate when net income effect of firms' currency risk management has been positive (negative), suggesting the firms' currency risk management have not been effective. Our results show that analysts' forecast properties are associated with firms' foreign currency risk exposure and firms' effectiveness of foreign currency risk management. These imply that analysts and investors should give additional consideration when they issue forecasts or make investment decision for firms those facing foreign currency risk. This study also contributes to prior research by providing empirical evidence about the relationship among foreign currency, derivatives accounting, and analysts' forecast properties.