횡령 및 배임사건이 보고이익에 대한 투자자 반응에 미치는 영향

초록

Fraud might be broadly divided into two categories: misappropriation (including breach of trust) and fraudulent financial reporting. Misappropriation or breach of trust is differentiated from financial statements fraud in that it is related to the misusage of resources in the organization or trust violation. The purpose of this paper is to test empirically the impact of reported earnings released by a fraud firm on investor responsiveness. Following the misappropriation or breach of trust detected, a fraud firm is likely to be driven by several structural changes (e.g. the improvement of corporate governance, the auditor's increased efforts for auditing, etc.) to help enhance the credibility of financial reporting. On the other hand, it is believed that the firm's deteriorated reputation tends to be dominant over any other factors in valuation process and the influence of it sometimes lasts for a long time. In this regard, it can be stated that the investor responsiveness to reported earnings of a fraud firm basically tends to be determined by the relative dominance between two factors: the credibility of financial reporting and the deteriorated reputation. The result shows that the earnings response coefficient (i.e. the degree to which abnormal earnings explains abnormal stock returns) of fraud firms is statistically significantly lower than that of non-fraud firms. The improvement in corporate governance is statistically positively associated with the earnings response coefficient of fraud firms. In addition, the result shows that the influence of deteriorated reputation on the earnings response coefficient is differential between two markets (e.g. KOSPI market and KOSDAQ market). The additional analysis based on the propensity score matching is consistent with this result. It does not also make the results changed to include all the lower-order variables in the model. It is found that the difference of earnings response coefficients between fraud firms and non-fraud firms does not disappear in the period following the occurrence of misappropriation. The additional analysis based on the sign of reported earnings shows that the results can be differential between two groups (e.g. positive earnings vs. negative earnings). Finally, it is found that the larger amount of misappropriation is associated with the lower level of earnings response coefficient.

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