Title Page
Contents
국문초록 11
ABSTRACT 14
I. INTRODUCTION 17
II. LITERATURE REVIEW AND HYPOTHESES DEVELOPMENT 24
2.1. Background of Other Comprehensive Income 24
2.2. Value Relevance of Other Comprehensive Income 28
2.3. Effect of Reporting Location 31
2.4. Mispricing of Earnings 35
2.5. Hypotheses Development 37
III. DATA AND RESEARCH DESIGN 42
3.1. Data 42
3.2. Research Design 43
IV. EMPIRICAL RESULTS 49
4.1. Descriptive Statistics 49
4.2. The Implications of OCI for Future Earnings 56
4.3. Market Mispricing on OCI 61
4.4. Future Abnormal Stock Returns Based on Hedge Strategy 64
4.5. Analysts' Earnings Forecast Errors and OCI 68
V. ADDITIONAL TEST 74
5.1. OLS for the Effect of OCI on Future Stock Returns 74
5.2. Market Mispricing on the Components of OCI 82
5.3. Market Mispricing on OCI Based on Materiality of OCI 91
5.4. The Implications of OCI for Future Comprehensive Income 93
VI. CONCLUSION 96
REFERENCES 100
Table 1. The History of Other Comprehensive Income Reporting Regulation 27
Table 2. Distribution for Sample Firms and Mean (Median) Value of Other Comprehensive Income by Industry and Item 50
Table 3. Descriptive Statistics and Correlations for Sample Used in the Mishkin (1983) Test 55
Table 4. Predictive Value of Other Comprehensive Income for Future Earnings 60
Table 5. Test of Market Mispricing on Other Comprehensive Income 63
Table 6. Future Abnormal Stock Returns Based on Other Comprehensive Income Deciles 65
Table 7. Descriptive Statistics and Correlations for Sample Used in the Test of Analysts' Forecast Errors 69
Table 8. Test of the Relation between Analysts' Earnings Forecast Errors and Other Comprehensive Income 72
Table 9. Descriptive Statistics and Correlations for Sample Used in the OLS Regressions 77
Table 10. OLS for the Effect of Other Comprehensive Income on Future Stock Returns 80
Table 11. Descriptive Statistics and Correlations for Sample Used in Mishkin (1983) Test Using Each Component of Other Comprehensive Income 84
Table 12. Test of Market Mispricing on Each Component of Other Comprehensive Income in Full Sample 87
Table 13. Test of Market Mispricing on Each Component of Other Comprehensive Income in Restricted Sample 89
Table 14. Test of Market Mispricing on Other Comprehensive Income Based on Materiality of Other Comprehensive Income 92
Table 15. Predictive Value of Other Comprehensive Income for Future Comprehensive Income 95
Figure 1. Distribution of Comprehensive Income 52
Figure 2. Distribution of Other Comprehensive Income Based on Comprehensive Income Interval 53
Figure 3. Future Abnormal Stock Returns Based on Other Comprehensive Income Deciles 67