GAAP ETR의 유연화가 기업신용등급 및 타인자본비용에 미치는 영향

• 영문명: The Effect of Smoothing of GAAP Effective Tax Rates on Credit Ratings and the Cost of Debt
• 발행기관: 한국세무학회
• 저자명: 신상이(Sang-Yi Shin) 박종일(Jong-Il Park)
• 간행물 정보: 『세무와회계저널』제21권 제5호, 9~57쪽, 전체 49쪽
• 주제분류: 경제경영 > 회계학
• 파일형태: PDF
• 발행일자: 2020.10.30

국문 초록

본 연구는 기업이 GAAP ETR의 유연화(이하 유효세율의 유연화)를 하면 신용평가기관과 채권투자자 측면에서 어떻게 평가하는지를 알아보았다. Demere et al.(2019)은 과거 3년간으로 측정되는 유효세율의 유연화 측정치를 처음 제안한 후 이 측정치가 높은 재무보고의 질과 관련이 있다는 주장과 실증적 증거를 보고하였다. 그러나 앞서의 연구는 유효세율의 유연화에 대한 시장반응을 살펴보지는 않았다. 따라서 본 연구는 유효세율의 유연화 정보에 대해 기업신용등급 및 타인자본비용과의 관계를 살펴보았다. 이를 위해 본 연구는 시차모형을 이용하여 관심변수를 기준으로 2003년부터 2018년까지의 유가증권과 코스닥기업을 대상으로 분석하였다. 분석결과는 첫째, 일정 변수뿐 아니라 세전이익의 유연화, 그리고 조세회피까지 통제한 후에도 유효세율의 유연화는 기업신용등급과 음(-)의 관계로 나타났다. 또한 이러한 결과는 본질적 또는 재량적 유효세율의 유연화로 분해하여 살펴본 경우에도 일관된 증거를 보였다. 둘째, 유효세율의 유연화와 타인자본비용 간에는 일관된 유의한 관계를 관찰하기는 어려웠다. 다만, 스프레드로 측정된 타인자본비용과 본질적 유효세율의 유연화 간에는 기대와 달리 양(＋)의 관계로 나타났다. 셋째, 시장유형별로 나누어 분석하면 앞서의 결과들은 신용평가기관의 경우 별다른 차별적 반응이 나타나지 않은 반면에, 채권투자자의 경우 KOSPI와 KOSDAQ에 따라 서로 다른 반응을 보이는 것으로 나타났다. 이를 요약하면, 본 연구는 유효세율의 유연화 정보에 대해 신용평가기관과 채권투자자 측면에서 처음 시장반응을 살펴본 연구라는 점에서 의의가 있고, 또한 본 연구는 Demere et al.(2019)의 주장과 다른 실증적 결과 역시 관찰될 수 있음을 보여주었다는 점에서 관련연구에 추가적인 공헌을 제공한다.

영문 초록

In this study, we investigate whether credit rating agencies and debtholders take into account smoothing of GAAP effective tax rates (ETRs) (hereafter, GSMO), indicates higher or lower financial reporting quality. Demere et al. (2019) develop a new measure of GSMO as the inverse difference in volatilities of GAAP ETRs and cash ETRs over prior three years (i.e., t-2,t), suggest that smoothing of GAAP ETRs through tax accruals is associated with higher overall financial reporting quality. Thus, they insist that managers are likely to use tax accruals to smooth out volatilities in GAAP ETRs to communicate a long-term sustainable tax rate, and also they are restrained from using accruals for earnings manipulation. Therefore, Demere et al. (2019) assure that such a GAAP ETR smoothing serves as a credible indicator for overall reporting quality. But prior research do not investigate on the market response. An open question in the market participants is whether GAAP ETR smoothing activities are associated with higher or lower financial reporting quality. To fill this void, our study investigates whether credit rating agencies and debtholders perceive GSMO to be a financial reporting risk increasing or decreasing factor. We also distinguish between GSMO driven by economic fundamentals (innate GSMO) versus management choices (discretionary GSMO). For this purpose, our sample covers KOSPI and KOSDAQ listed firms based on the test variable from 2003 to 2018 (the dependent variable from 2004 to 2019), then final sample includes 10,415 firm-year observations. The empirical results are as follows. First, after controlling for several variables as well as pre-tax earnings smoothing, tax avoidance, and opaque financial reports that affect credit ratings, we find that a significantly negative association between credit rating and GSMO, as well as we find that both innate and discretionary factor has the potential to influence credit rating. These results indicate that credit rating agencies perceive GSMO to be associated with managerial opportunism, which leads them to downgrade credit ratings accordingly. Second, we also find no relation between the cost of debt and GSMO, only find that a significantly positive association between the cost of debt and innate GSMO. Third, we include interactive terms between GSMO and agency cost (e.g., the largest shareholder’s holdings), between GSMO and monitoring effects (e.g., foreign shareholder’s ownership) in the model, we find that the interactive terms are significant positive associated with credit ratings, respectively. Contrastively, we find that the interactive terms on the agency cost are significantly positive associated with the cost of debt, while we find that the interactive terms on the monitoring effect are significantly negative associated with the cost of debt. Thus, we observe a systematic differences between credit rating agencies and debtholders perceive GSMO to be associated with the financial reporting quality. Lastly, when we divided the full sample into KOSPI and KOSDAQ listed firms, we find that the first results obtain similar between the two subsamples. Whereas the second results vary in different market type. For example, GSMO is negatively (positively) associated with the cost of debt in the KOSPI (KOSDAQ) sample. In sum, our study contributes to the financial reporting and tax literatures by being the first to examine the economic consequence of GAAP ETR smoothing in the context of credit ratings and the cost of debt. Collectively, our results show that GAAP ETR smoothing perceive higher or lower financial reporting quality, which is different from the market participants. In that respect, our findings is inconsistent with Demere et al. (2019)’s argument and evidence. Therefore, our results contribute to related literature by providing additional and new evidence.

목차

Ⅰ. 서 론

Ⅱ. 선행연구의 검토와 연구가설의 설정

Ⅲ. 연구모형 및 표본의 선정

Ⅳ. 실증분석결과

Ⅴ. 결 론

참고문헌

키워드

GAAP 유효세율의 유연화 세전이익의 유연화 조세회피 기업신용등급 타인자본비용 GAAP ETR smoothing Pre-tax earnings smoothing Tax avoidance Credit ratings Cost of debt