본 연구는 실물활동을 통한 이익조정 정도에 따른 시장의 가치평가 오류현상에 외국인지분율이 미치는 영향을 살펴보았다. 각종 회계정책의 강화로 인해 실물활동을 통한 이익조정이 증가하는 추세에서, 상대적으로 탐지가 쉽지 않은 실물활동이익조정에 대한 투자자들의 가치평가에 주목하였다. 또한 외국인지분율이 실물활동을 통한 이익조정 크기와 상관관계를 갖고 있는 상황에서 이를 시장의 투자자들이 충분히 인지하여 효율적으로 의사결정에 활용하고 있는지 살펴보았다. 실증분석을 위해 2001년부터 2009년까지 한국거래소에 상장된 기업을 대상으로 분석하였고, 가치평가 오류현상을 확인하기 위해서 Mishkin(1983)의 검증방법을 사용하였다. 실증분석 결과 외국인지분율이 낮아질수록 실물활동을 통한 이익조정 측정치가 이익을 증가시키는 방향으로 커지는 것을 확인하였고, 이러한 실물활동이익조정의 측정치가 상대적으로 큰 경우에 이익지속성을 과대평가하는 가치평가 오류현상이 발생하는 것을 관찰하였다. 또한 외국인지분율의 크기를 고려하게 되면, 외국인지분율이 낮고 실물활동이익조정 정도가 큰 경우에 효율적인 가치평가가 이루어지는 것으로 나타났다. 그러나 외국인지분율이 낮고 실물활동이익조정 정도 역시 낮은 경우에는 이익지속성을 오히려 과소평가하는 경향이 있었고, 외국인지분율이 상대적으로 높은 경우에는 실물활동이익조정 측정치의 크기에 상관없이 이익지속성에 대해 과대평가하는 경향이 있는 것으로 나타났다. 이러한 실증결과는 시장에서 외국인지분율과 실물활동이익조정 간의 상관관계 정도를 과도하게 고려하여 이에 따른 가치평가 오류현상이 발생하기 때문인 것으로 보인다. OLS를 이용하여 검증한 추가분석결과도 본문의 분석과 질적으로 다르지 않았다. 본 연구는 실물활동을 통한 이익조정이 증가하는 추세에서 자본시장의 투자자들이 이를 가치평가에 효율적으로 반영하고 있지 못하다는 것을 발견하였다는 점에 의의가 있다. 또한 실물활동을 통한 이익조정은 외국인지분율이 증가할수록 감소한다는 점을 시장에서 의사결정에 반영하고 있지만, 그 상관관계에 대해 과도한 평가를 함으로써 오히려 이익지속성에 대해 과대평가하는 경향이 있음을 발견하였다. 따라서 외국인지분율이 높은 기업의 가치평가 시에 좀 더 신중한 의사결정이 필요하다는 점을 밝혀냈다는 것에 시사하는 바가 있을 것으로 기대한다.

This study investigates whether and how 1) capital market participants incorporate the implications of firm`s earnings management through real activities when determining stock prices, and 2) the foreign investors` ownership influences market mispricing. Generally, foreign investors are considered to have sophisticated abilities and superiority in accessibility of firm`s information. Prior accounting studies suggest that managers` discretion in accounting policies are associated with aggregated ownership of foreign investors. Most existing research show that percentage of outstanding shares owned by foreign investors is negatively related to the income increasing earnings management using accrual and Kim et al.(2012) argue that foreign investors constrain managers` opportunistic behavior through real operating decisions. Recently, however, there are a number of anecdotal evidences about the negative influences of foreign investors on firm value. Because foreign investors who invest for short period of time might have interested in short-term profits. In this context, Park et al.(2009) report that the magnitude of earnings management is positively associated with foreign investors` ownership. As the ownership percentage increases, the level of earnings management increases. From the overall evidences, existence of foreign investors seems to relate to managerial discretion choice although the association between foreign investors` ownership and managers` discretion choice is inconsistent. According to prior studies, income increasing real earnings management in operating activities has increased significantly because of reinforcement of several accounting regulations such as SOX and Securities Litigation Act. Furthermore, Graham et al.(2005) assert that real earnings management is hard to detect and less likely to be checked by external auditors and investors. Sloan(1996) reports that the stock market overprices the implications that accruals influence on the following performance, and Xie(2001) conjectures that this overpricing comes from market failure of recognizing earnings management using accruals. We, thus, predict that market participants overprice implications of earnings which is managed through real activities as well. Moreover, the premise of difficulty about detecting real earnings management is likely to make investors depend on environmental factor of accounting information process when determining stock prices. The existence of foreign investors might be one of the environmental factor. Because the level of foreign investors` share holdings are related to the level of earnings management through real activities. If investors recognize the negative association between foreign investors` ownership and managers` discretion choice through real earnings management, they consider that the extent of real earnings management with larger foreign investors` ownership is less. We examine market mispricing using a large sample of firms listed on the Korea Exchange over the 9-year period, 2001-2009. To test rational pricing we used Mishkin(1983) test method applied by Sloan(1996) and OLS regression employed by Kraft et al.(2007). Our empirical results are as follows. Above all, consistent with prior research, foreign investors` ownership is negatively associated with the income increasing real earnings management. Second, we find the evidence for market mispricing on earnings management through real activities. Finally, our results indicate that market participants overprice the implications of earnings with larger percentage of outstanding shares owned by foreign investors regardless of extent of real earnings management. On the other hand, our analysis shows that investors underprice the persistence of earnings with relatively small foreign investors` ownership and less amount of earnings management through real activities. Consequently, we find that investors not only acknowledge the negative association between foreign investors` ownership and level of real earnings management but also they overestimate the correlation. Our findings have several implications. The stock market is far from efficiency due to real earnings management. Therefore, the stock market has not played a role as invisible hand. In addition, our results imply that external investors should be prudent to price the implications of earnings with larger percentage of outstanding shares owned by foreign investors.