위험회피목적 파생상품의 정보유용성

Derivatives for hedging purpose are used for forecasting future earnings by decreasing future earnings volatility. Information users modify their earnings forecasts by confirming ahead future fair values of underlying assets. Information of derivatives is relevant to information users because it can make a difference for their decision making. Due to recent raw material prices and exchange rate fluctuations, management environments of domestic firms are becoming difficult to manage. Increases of interest rate fluctuations also increase uncertainty of management performances of domestic firms. Their use of derivatives to control this uncertainty is increasing fast. This means that firms manage uncertainty of business operations by using derivatives. In spite of increases in derivatives usage, studies on the impact of using derivatives on the capital market in Korea have been rare. The objective of this study is to investigate the impact of using derivatives on the usefulness of accounting information. Specifically, it examines the difference of ERC for companies with derivatives usage, investigates the influence of using derivatives usage on information asymmetry and verifies the impact of using derivatives on the cost of capital. Derivatives contract values denominated in a foreign currency of a particular year are translated into Korean Won using an average exchange rate of that year. Stock return volatility, analyst forecast accuracy and analyst forecast dispersion are used as a proxy for the information asymmetry. The firm’s cost of capital is calculated using the MPEG model and GM model. Our empirical Korean data were collected from the listed in the Korean Stock Exchange from 2000 to 2010 fiscal year since the accounting for derivatives was established in 1998 and began to be applied to financial reporting comprehensively. Financial statement data were available on TS-2000 and Fn-Guide database. Information regarding derivatives for hedging came from footnotes in the annual audit reports of electronic disclosure system of the Financial Supervisory Board. Our sample includes only those firms which can identify derivatives contract values for hedging purpose. One-year-ahead and two-year-ahead analysts’ earnings forecasts with positive values are available on Fn-Guide database. The empirical results revealed that there is a positive correlation between using derivatives and ERC, a negative correlation between using derivatives and stock return volatility, analyst forecast dispersion and a positive correlation between derivatives usages and analyst forecast accuracy. This meant that derivatives usages decrease information asymmetry. The results also revealed a negative correlation between derivatives usages and the cost of capital. This meant that derivatives usages decrease the cost of capital. The contribution of this study is that it used derivatives contract values for hedging purpose in testing. Prior studies focused on using derivatives and firm risks, firm values or determinants of using derivatives. From the relevant information perspective this study provides the first empirical evidence on the relation between derivatives usage and earnings response coefficient(ERC), information asymmetry, and the cost of capital in Korea. It proved that using derivatives increased ERC and reduced information asymmetry and the cost of capital. The results of the study will provide valuable implications to regulatory agencies that control derivatives and to stakeholders that use derivatives information.