배당의 미래이익 예측력과 외국인투자자

This paper investigates whether the dividend payout predicts future earnings and the predictability varies depending on the proportion of investors. Specifically, this paper examines the effect of foreign investors on the relationship between dividend change and the predictability of future earnings in Korean firms. Reasoning from the hypothesis that dividend changes convey new information about a firm’s future profitability, a dividend increase is seen as a positive signal about the firm’s future earnings and profitability. However, the results from prior studies are controversial. Some papers have suggested that dividend changes would mean different things depending on a firm’s dividend policy and the motives behind its managers’ decision to pay dividends. In addition, a firm's governance is considered as one of important factors that affects dividend policy. In the Korean security market, foreign investors owned about 38% of the stock in 2007. As the percentage of foreign ownership had grown, many researchers have analyzed the effect of this ownership on dividend policy. However, prior studies found mixed results and have focused on the association between foreign investors and the level of the dividend or dividend change. They also suggest that predictability of dividend on future earnings is influenced by applied assumption on earnings and other factors like governance as well. We revisit the dividend signaling issue in the light of the catering theory of dividends suggested by Baker and Wurgler (2004). Lintner (1956) argued that managers unwilling to change payout ratio without any important change on the firm’s future performance. Won and Kim (1992) report that managers are more likely to be concerned about the internal factors such as net income, divisible surplus, predicted future performance, and the shareholders’ preference for dividend policy. More importantly, several studies suggest that the foreign investors have a significant effect on the Korean market. Park (2004) reports that foreign investors’ participation in firms generally pushes up the dividend payments while pulling down investments made in facilities no matter which industry a company is in. Sul and Kim (2006) show that those companies whose majority shareholders are foreign investors tend to pay higher dividends than others whose majority shareholders are domestic investors. In contrast to negative effect of foreign investor, there are empirical studies claiming positive impact of foreign investor in Korean market. Ahn, Shin, and Chang (2005) suggest that foreign investors prefer firms with lower information asymmetry. The study also shows that foreign investors can effectively monitor the management of firm in lessening information asymmetry. Similarly, Park and Lee (2006) suggest that foreign investors’ participation in investment of domestic firms can help them make more efficient management decision by improving their corporate governance. Thus, Park and Lee claim that it is problematic to generalize the negative role of foreign investors in the Korean market. Based on this argument, we predict that if foreign investors play an effective monitoring role in a dividend policy, dividend change for firms with higher level of foreign investors is a good indicator in predicting future earnings than for firms with lower level of foreign investors. However, if foreign investors play a negative role in dividend decision process, predictability of dividend decreases. We test this prediction by using the modified model with several control variables that can affect earnings changes. Using 6,720 observations from 1993 to 2007, we find that the dividend change predicts future earnings for next one year relative to the dividend change year. Specifically, the coefficient on RDIV is 0.045 (t=6.85) and this indicates the dividend increases is a good indicator in predicting future earnings. When it comes to model specification, adjusted R2 of modified model is greater than that of the basic model, which means that the modified model is well specified in explaining earnings changes. The result of the effect of foreign investors on predictability of dividend is not significant. This finding implies that managers, on average, decide to pay dividend as a response to demand from foreign investors.