유효법인세율의 유연화와 주가정보성 = GAAP ETR Smoothing and Stock Price Informativeness

다국어 초록 (Multilingual Abstract)

This study investigates the effect of GAAP ETR smoothing on stock price informativeness using the future earnings response coefficient model for the corporations listed on the Korea Stock Exchange from 2001 to 2015. Smoothing effective tax rates through tax accruals is a reporting practice that reduces the volatility of GAAP effective tax rates relative to the volatility of cash effective tax rates. Demere et al.(2019) argued that, as the level of GAAP ETR smoothing increases, the predictability of future cash effective tax rates with the current GAAP ETR improves incrementally, and the probability of financial restatement decreases. However, it is unknown whether stock market investors also find it useful in forming expectations for future earnings as the level of GAAP ETR smoothing increases. Whether GAAP ETR smoothing provides better information, or may exacerbate information asymmetry depends on the manager’s subjective judgment and discretionary choices due to the complexity, ambiguity, or uncertainty involved in the application of accounting standards and corporate tax law. If a manager smooth GAAP ETR based on her private information about the firm’s future cash tax payments, the ability to predict future cash effective tax rates through the current GAAP ETR will improve, and, if investors utilizes this information in formulating their expectations for future earnings, the information will ultimately be reflected in current stock returns, which will lead to an increase in the future earnings response coefficient. However, for example, if GAAP ETR smoothing is performed simply for the purpose of avoiding tax audits, it will be difficult to expect that GAAP ETR smoothing communicates value relevant information to the market, and, if investors recognize GAAP ETR smoothing as a means of managing earnings, future earnings response coefficients may be reduced. The empirical analysis confirmed that the higher the level of GAAP ETR smoothing, the more future earnings information is reflected in current stock returns. Additionally, there is evidence that the positive relationship between GAAP ETR smoothing and future earnings information is driven by discretionary factors rather than non－discretionary ones of GAAP ETR smoothing. The key results were confirmed to be robust even when the analysis was repeated by dividing GAAP ETR smoothing into variance of tax accruals and covariance between tax accruals and cash effective tax rates, and with controlling the tax planning sustainability. The robustness of the empirical results was also maintained when other alternative measures of GAAP ETR smoothing were used. This paper contributes to the study on corporate tax smoothing by presenting evidence on the positive effect of GAAP ETR

국문 초록 (Abstract)

본 연구는 유효법인세율의 유연화가 주가정보성에 미치는 영향을 미래이익반응계수모형을 사용하여 2001년부터 2015년까지 유가증권시장에 상장된 법인을 대상으로 분석하였다. 세무발생액을 통한 유효법인세율 유연화는 유효법인세율의 변동성을 세무발생액을 이용하여 현금유효세율의 변동성에 비하여 상대적으로 낮추는 보고 행위를 말한다. Demere et al.(2019)은 세무발생액을 통한 유효법인세율의 유연화 수준이 높을수록 당기 유효법인세율의 미래현금유효세율 예측능력이 증분적으로 향상되며, 재무제표 재작성 확률도 낮아진다고 주장하였다. 하지만, 시장투자자들도 세무발생액을 통한 유효법인세율의 유연화 수준이 높을수록 미래이익에 대한 기대치 형성에 유용하다고 인식하는지는 알려져 있지 않다. 법인세와 관련된 회계기준과 세법 적용은 복잡성, 애매모호함 또는 불확실성 때문에 경영자의 주관적 판단과 재량적 선택에 따라 유효법인세율의 유연화는 정보성을 갖게 될 수도 있고 반대로 정보성을 악화시킬 수도 있을 것이다. 경영자가 미래현금납부세액에 대한 사적 정보를 바탕으로 유효법인세율을 유연화한다면 당기의 유효법인세율이 미래 현금유효세율을 예측하는 능력은 보다 향상될 것이고, 투자자들이 이러한 정보내용을 미래이익 기대치의 형성에 반영한다면 궁극적으로 주식수익률에 반영될 것이므로 미래이익반응계수의 증가로 이어질 것이다. 그러나, 예를 들어, 유효법인세율 유연화가 단순히 세무감사를 피하기 위한 목적으로 수행된 것이라면 유연화가 정보성을 가지기 어려울 것이고, 또는 투자자들이 유연화 정보를 이익조정의 수단으로 인식하거나 정보내용을 충분히 이해하지 못할 경우에도 미래이익반응계수는 오히려 감소 혹은 비유의적인 모습을 보일 수 있다. 실증분석결과, 유효법인세율의 유연화 수준이 높을수록 주가에 보다 많은 미래이익정보가 반영되고 있음을 확인할 수 있었다. 즉, 유효법인세 유연화 수준이 높은 기업일수록 주가정보성이 높다는 결과를 얻었다. 또한, 유효법인세율 유연화와 주가정보성 간의 양(＋)의 관계는 유효법인세율 유연화의 비재량적 요인보다는 재량적 요인에 의하여 견인되고 있다는 증거도 얻었다. 유효법인세율 유연화 변수를 세무발생액의 분산 및 세무발생액과 현금유효세율간의 공분산으로 나누어 미래이익반응계수에 미치는 영향을 살펴 보거나, 세무계획의 지속가능성 수준을 통제하고 분석을 재수행하여도 주요 분석결과에 강건성이 있음을 확인하였다. 유효법인세율 유연화의 다른 대용측정치들을 사용한 경우에도 실증분석 결과의 강건성은 유지되었다. 본 논문은 유효법인세율 유연화가 갖는 긍정적인 주가정보성 효과에 대한 증거를 제시함으로써 법인세 관련 유연화 연구문헌에 기여하고 있으며, 유효법인세율 유연화가 미래이익반응계수의 추가적인 횡단면적 결정 요인임을 제시하였다는 공헌점도 갖는다.

참고문헌 (Reference)

• 1 주현기, "조세감면규정을 이용한 법인세 평준화 현상" (9) : 277-298, 1993
• 2 박성원, "세무이익유연화가 조세회피와 세무이익의 정보효과에 미치는 영향" 한국세무학회 33 (33): 101-128, 2016
• 3 정규언, "법인세유연화에 관한 연구" 16 : 339-360, 1993
• 4 전춘옥, "법인세유연화 연구" 7 : 63-95, 1996
• 5 Hanlon, M., "What does tax aggressiveness signal? Evidence from stock price reactions to news about tax shelter involvement" 93 (93): 126-141, 2009
• 6 Dechow, P., "Understanding earnings quality : A review of the proxies, their determinants and their consequences" 50 (50): 344-401, 2010
• 7 Barth, M. E., "The relevance of the value relevance literature for financial accounting standard setting : another view" 31 (31): 77-104, 2001
• 8 Subramanyam, K. R, "The pricing of discretionary accruals" 22 (22): 249-281, 1996
• 9 Zuo, L., "The informational feedback effect of stock prices on management forecasts" 61 (61): 391-413, 2016
• 10 Armstrong, C. S., "The incentives for tax planning" 53 (53): 391-411, 2012
• 11 Cazier, R., "The impact of increased disclosure requirements and the standardization of accounting practices on earnings management through the reserve for income taxes" 20 (20): 436-469, 2015
• 12 Plumlee, M. A, "The effect of information complexity on analysts’ use of that information" 78 (78): 275-296, 2003
• 13 Laux, R. C, "The association between deferred tax assets and liabilities and future tax payments" 88 (88): 1357-1383, 2013
• 14 Beck, P. J., "Tax uncertainty and voluntary real-time tax audits" 89 (89): 867-901, 2014
• 15 McGuire, S. T., "Sustainable tax strategies and earnings persistence" 2013
• 16 Mayberry, M. A., "Smoothness and the value relevance of taxable income" 37 (37): 141-167, 2015
• 17 Marquardt, D. W., "Ridge regression in practice" 29 (29): 3-20, 1975
• 18 Ciconte, W., "Predictable uncertainty：The relation between unrecognized tax benefits and future income tax cash outflows" 2016
• 19 Krull, L. K, "Permanently reinvested foreign earnings, taxes, and earnings management" 79 (79): 745-767, 2004
• 20 Choudhary, P., "Measuring income tax accrual quality" 21 (21): 89-139, 2016
• 21 Kothari, S. P., "Managing for the moment : The role of earnings management via real activities versus accruals in SEO valuation" 91 (91): 559-586, 2016
• 22 Dyreng, S. D., "Long-run corporate tax avoidance" 83 (83): 61-82, 2008
• 23 Collins, D. W., "Lack of timeliness and noise as explanations for the low contemporaneuos return-earnings association" 18 (18): 289-324, 1994
• 24 Guenther, D. A., "Is tax avoidance related to firm risk?" 92 (92): 115-136, 2017
• 25 Graham, J. R., "Incentives for tax planning and avoidance : Evidence from the field" 89 (89): 991-1023, 2013
• 26 Wagener, T., "GAAP ETR Management to Beat Relevant Thresholds"
• 27 Mills, L. F., "FIN 48 and tax compliance" 85 (85): 1721-1742, 2010
• 28 Petersen, M. A, "Estimating standard errors in finance panel data sets : Comparing approaches" 22 (22): 435-480, 2009
• 29 Hribar, P., "Errors in estimating accruals : Implications for empirical research" 40 (40): 105-134, 2002
• 30 Jayaraman, S, "Earnings volatility, cash flow volatility, and informed trading" 46 (46): 809-851, 2008
• 31 Schrand, C. M., "Earnings management using the valuation allowance for deferred tax assets under SFAS No. 109" 20 (20): 579-611, 2003
• 32 Leuz, C., "Earnings management and investor protection : an international comparison" 69 (69): 505-527, 2003
• 33 Drake, K. D., "Does tax risk affect investor valuation of tax avoidance?" 34 (34): 151-176, 2019
• 34 Tucker, J. W., "Does income smoothing improve earnings informativeness?" 81 (81): 251-270, 2006
• 35 Hutchens, M., "Does greater tax risk lead to increased firm risk?" 2015
• 36 Guan, Y., "Do school ties between auditors and client executives influence audit outcomes?" 61 (61): 506-525, 2016
• 37 Weber, D. P, "Do analysts and investors fully appreciate the implications of book-tax differences for future earnings?" 26 (26): 1175-1206, 2009
• 38 Demere, Paul, "Do Smoothing Activities Indicate Higher or Lower Financial Reporting Quality?"
• 39 Hoopes, J. L., "Do IRS audits deter corporate tax avoidance?" 87 (87): 1603-1639, 2012
• 40 Badertscher, B. A., "Discretionary accounting choices and the predictive ability of accruals with respect to future cash flows" 53 (53): 330-352, 2012
• 41 Francis, J., "Costs of equity and earnings attributes" 79 (79): 967-1010, 2004
• 42 Lundholm, R., "Bringing the future forward : the effect of disclosure on the returns-earnings relation" 40 (40): 809-839, 2002
• 43 Dechow, P. M, "Accounting earnings and cash flows as measures of firm performance : The role of accounting accruals" 18 (18): 3-42, 1994
• 44 Hribar, P., "A new measure of accounting quality" 19 (19): 506-538, 2014
• 45 White, H, "A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity" 48 (48): 817-838, 1980