조세회피를 통한 정보의 불투명성과 주가급락에 관한 연구
Tax Avoidance, Information Quality and Crash Risk
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초록
기업 수준에서 주가급락 위험은 수익률이 비정상적으로 급격히 하락하는 사건이 발생하거나 낮은 수익률에서 변동성이 증가하는 비대칭적 변동성으로 정의될 수 있다. 본 연구는 1999년부터 2012년 까지 유가증권시장에 상장된 제조업 기업을 대상으로 조세회피와 관련된 기업의 불투명성이 기업의 주가급락 위험에 미치는 영향을 실증적으로 분석하였다. 이러한 분석은 조세회피가 경영자의 사적인 이익을 추구하거나 기업 내부의 부정적 정보들을 은폐하기 위한 것이라는 대리인 이론에 근거하고 있으며, 이를 통해 누적된 부정적 정보들이 시장에 급격히 유출되면서 주가급락 위험을 증가시킨다는 가설을 확인하기 위한 것이다. 이러한 가설을 검정하기 위해 본 연구에서는 기업의 조세회피와 그 변동성이 증가할수록 기업의 불투명성이 증가하는 것으로 간주하였으며, 조세회피의 크기와 변동성이 증가될수록 기업의 주가급락 위험이 증가하는 결과를 일관되게 관찰하였다. 이러한 결과는 기업의 불투명성이 증가할수록 주식 수익률의 급락 위험이 높아진다는 Jin and Myers(2006)의 논의를 다시 확인하는 것이다. 연구의 추가분석에서는 교차항 분석을 통해 기업의 규모나 애널리스트 커버리지가 조세회피와 주가급락 간의 관계에 미치는 효과를 추정하였다. 위의 두 변수는 주식시장 내에서 정보전달의 속도에 영향을 미치는 변수들을 선택한 것이며, 분석 결과 기업규모와 애널리스트 커버리지는 주가급락 위험을 유의하게 감소시키는 것으로 관찰되었다. 또한 기업지배구조를 이용한 교차항 분석을 통해 기업지배 구조가 건전할수록 조세회피 및 조세회피 변동성이 주가급락위험에 미치는 영향이 유의하게 감소하는 것을 확인하였다. 마지막으로 이익조정의 영향을 통제한 후에도 조세회피가 주가급락 위험을 유의하게 증가시키는 것으로 관찰되어 조세회피가 기업의 불투명성을 측정하는 추가적 정보효과를 갖는다는 것을 확인하였다.
Abstract
In the literature, crash risk can be characterized by negative skewness, a tendency for volatility to increase with negative return. Although conventional explanations are based on asset pricing or market microstructure theories, recent views focus on agency perspective of corporate governance and transparency. In particular, Jin and Myers (2006) develop a model that predict stock price crash as accumulated negative firm-specific information suddenly releases to the stock market. In this paper, we investigate the relation between the information quality of firm and stock price crash risk. To examine the firm-level relation between them, we construct three measures of firm-specific crash risk：(1) the occurrence of future negative, extreme firm-specific weekly return, (2) negative conditional skewness of firm-specific weekly return, and (3) down-to-up volatility. Firm-level opaqueness is proxied by the absolute value and volatility of tax avoidances. With a sample of Korean listed and non-financial firms for the period 1999 through 2012, we find that firms with larger tax avoidances (in both level and volatility) are more likely to experience stock price crashes in the future. These results are consistent with our hypothesis that tax avoidance activities enables manage to withhold and accumulate negative firm-specific information within the firm, which increase future crash risk. We further examine whether these relations vary with the firm size and/or analyst coverage. This additional empirical exercise is motivated by studies suggesting that information diffusion depends on size, analyst coverage, and the external monitoring mechanism (Hong et al., 2000, Chen et al., 2001). We find that the positive relation between opacity and future crash risk is attenuated for firms with larger sizes and for firms under analyst coverage. We also find that the corporate governance can address agency problems relating to tax avoidance and consequently lower the crash risk. Finally, after controlling for the effect of alternative measure of firm opacity, three year’s moving sum of the absolute value of earnings management, we demonstrate that firm’s tax avoidances can still predict future stock price crashes reliably.
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