조세회피와 기업위험 ―장기유효세율을 중심으로―

Abstract

This paper empirically examine whether corporate tax avoidance is associated with greater overall firm risk. Specifically, this study examine whether higher levels of tax avoidance (as reflected by low effective tax rates in the long-run) is associated with increased firm risk, as perceived by capital market participants (i.e., investors regarding expected future cash flows), thus this study use market-based measure of one-year-ahead stock return volatility and systematic risk as proxies for firm risk. Recent studies report empirical evidence consistent with the idea that tax avoidance is associated with higher firm-wide risk (e.g., Hutchens and Rego 2015；Kim and Kim 2016 etc.). However, the extent to which investors measure and evaluate a firm’s exposure to tax risk is well unknown in Korean Stock Exchange Market. Therefore, I test whether tax avoidance are associated with greater firm risk, two proxies of overall firm risk, included the volatility of future stock returns and future systematic risk (i.e., beta). For analysis, this study utilize two different proxies that prior research indicates capture tax avoidance and greater tax-related uncertainty. Following Dyreng et al. (2008), I calculate the CASH (GAAP) ETRs as the ratio of the sum of the cash tax payments (tax expense) over a five-year period to the sum of pre-tax accounting earnings over the same five-year period. Consistent with Hutchens and Rego (2015) and Guenther et al. (2017), I calculate the volatility of CASH (GAAP) ETRs as the standard deviation of annual cash tax payments (tax expense) divided by pre-tax accounting earnings over a five year period. Meanwhile, in regression analyses I multiply CASH (GAAP) ETRs by negative one, so that larger values indicate greater tax avoidance. Each of these measures captures tax decisions that potentially impose significant costs on firms and thus, should influence the market’s assessment of current and future after-tax cash flows (Hutchens and Rego 2015). This study predict that higher values for each of these tax avoidance metrics are associated with assessments of increased firm risk by investors. This study sample covers listed firms (i.e., KOSPI and KOSDAQ firms) in non-financial industries with fiscal year-end from 2003 to 2015. The empirical findings of this study are following. First, after controlling for several factors that affect firm risk, on average, this study find that firms with relatively low effective tax rates significantly increase in future stock return volatility and systematic risk in the full samples. Second, when this study partition the sample into KOSPI and KOSDAQ firms, I find that the positive relation between tax avoidance and firm risk (i.e., future stock return volatility and systematic risk) is more pronounced among KOSDAQ samples, whereas this paper not find the predicted positive relation between tax avoidance and firm risk in the KOPSI samples. Third, in the additional analysis when the study classify sample into KOSPI versus KOSDAQ firms, I find that the positive relation between ETR volatility and firm risk is more pronounced among KOPSI samples, whereas this paper not find the positive relation between ETR volatility and firm risk in the KOSDAQ samples. Overall, these results suggest that low effective tax rates measure over a long-run period and ETR volatility over a five-year period are superior proxies for a firm’s exposure to tax risk that leads to increased uncertainty about a firm’s future cash flows. Thus, this study conclude that only certain tax risk metrics capture investor uncertainty regarding a firm’s future cash flows, as reflected in the volatility of future stock returns and future systematic risk and commonly-used market-based measures of firm risk. This study makes several contributions to the tax accounting literature. First, this study provide evidence on the extent to which investors evaluate tax-related uncertainties(i.e., tax avoidance and ETR volatility), and whether those uncertainties lead to assessments by investors of higher overall firm risk. Second, in the study results indicate that two tax risk metrics (i.e., low ETR and ETR volatility) capture tax-related uncertainties that are consistently associated with increased firm risk. Furthermore, this study provide the novel evidence that the positive association between low ETR and firms risk, and the positive associated between ETR volatility and firms risk systematically vary according to KOSPI versus KOSDAQ firms conditions. Therefore, this study provides empirical findings that add to an understanding of the economic consequences of tax avoidance. Moreover, this study should be of interest to researchers that examine corporate tax avoidance [as proxied by CASH (GAAP) ETRs] and the volatility of annual CASH (GAAP) ETRs over the five prior years as a proxy for tax risk and the extent to which capital market participants understand the implications of tax-related information in financial statements. It should also be helpful to tax authorities, regulators, and policymakers in determining whether greater tax avoidance and volatility in CASH (GAAP) ETRs increases uncertainty about a firm’s future cash flows.