세무위험 및 조세회피가 기업신용등급과 타인자본비용에 미치는 영향

• 영문명: The Effect of Tax Risk and Tax Avoidance on Credit Rating and Cost of Debt
• 발행기관: 한국세무학회
• 저자명: 박종일(Jong-Il Park) 김수인(Su-In Kim)
• 간행물 정보: 『세무와회계저널』제20권 제2호, 163~204쪽, 전체 42쪽
• 주제분류: 경제경영 > 회계학
• 파일형태: PDF
• 발행일자: 2019.04.30

국문 초록

본 연구는 세무위험이 신용평가기관과 채권투자자 측면에서 기업위험으로 반영하는지를 분석하였다. 또한 앞서와 비교목적으로 조세회피에 대해서도 살펴보았다. 세무위험을 다룬 최근 연구들은 세무위험이 높은 기업은 투자자 측면에서 미래 현금흐름의 불확실성을 증가시켜 전반적인 기업위험이 높다는 주장과 증거를 보고하였다(Hutchens and Rego 2015；Guenther et al. 2017；Drake et al. 2017 등). 따라서 본 연구는 투자자 측면에서 세무위험과 기업위험 간에 양(＋)의 관계가 있다는 선행연구를 확장하여 세무위험이 신용평가기관의 기업신용등급을 낮추는지 또한 채권투자자 측면에서 타인자본비용을 높이는지를 알아보았다. 분석을 위해 세무위험의 대용치는 과거 5년간 CASH ETR과 GAAP ETR의 표준편차를 이용하고(Hutchens and Rego 2015；Guenther et al. 2017), 조세회피는 과거 5년간의 장기유효세율을 이용하였다(Dyreng et al. 2008). 분석기간은 관심변수를 기준으로 할 때 2003년부터 2015년까지이고, 표본은 12월 결산의 상장기업이다. 실증결과는 세무위험이 높으면 기업신용등급은 낮고, 타인자본비용이 높았다. 이와 달리, 조세회피가 높으면 기업신용등급이 낮고, 타인자본비용도 낮게 나타났다. 이러한 본 연구결과는 세무위험이 증가하면 신용평가기관과 채권투자자 모두에게 부정적인 영향을 초래하나, 조세회피 성향의 증가는 신용평가기관에게 부정적인 영향을 주지만, 채권투자자에게는 오히려 대리인 관점보다는 파산위험이나 채무불이행 위험의 감소로 인지되어 긍정적인 영향을 주는 것으로 나타났다. 본 연구는 세무위험을 신용평가기관과 채권투자자 측면에서 비교하여 살펴본 처음의 연구로서 의의가 있다. 또한 본 연구의 발견은 조세회피뿐 아니라 세무위험 역시 신용등급 및 타인자본비용의 중요한 결정요인임을 시사한다.

영문 초록

This paper empirically investigate the impact of tax risk on the credit ratings or cost of debt. For the purpose of comparison, we also investigate the effect of corporate tax avoidance on the credit ratings or cost of debt. Specifically, we examine whether higher levels of tax risk or tax avoidance are associated with increased firm risk, as perceived by capital market participants (i.e., credit rating agencies as well as creditors). Recent studies in the tax literature suggests that tax risk is an important construct, and a few studies have introduced potential academic tax uncertainty or tax risk measures. These studies examine the association between tax risk and firm risk(e.g., Hutchens and Rego 2015；Kim and Ko 2016；Guenther et al. 2017；Drake et al. 2017；Kang et al. 2017 etc.). For example, Hutchens and Rego (2015) and Guenther et al. (2017) examine the positively association between tax risk (i.e., as measured by cash ETR volatility) and current and future stock return volatility as measure of firm risk. Also, in prior study examining whether investors view increased tax risk as value-increasing or value-decreasing, these results finds that tax risk are negatively associated with firm value (e.g., Kim and Ko 2016；Drake et al. 2017). However, these studies investigate only investors side. Tax risk is increasing in tax uncertainty, this is, tax-related uncertainties include uncertainty in the application of tax law to company facts, the likelihood of audit by tax authorities, uncertainty in the financial accounting for income taxes and also the quality of the accounting information on which tax decisions are based. Taken together, these tax-related uncertainties can impose substantial costs on firms, both in current and future time periods. But the extent to which credit rating agencies and creditors measure and evaluate a firm’s exposure to tax risk is not well understood. Meanwhile, corporate tax avoidance activities could induce higher uncertainty about the magnitude and volatility of the firm’s future profits and cash flows. Kim and Cho (2012), Shevlin et al. (2013), Hasan et al. (2016) find firms that avoid more income taxes have higher debt costs. Given the asymmetric payoffs of creditors, the authors conclude that creditors view tax avoidance more negatively than equity investors. Taken together, these studies provide evidence that greater corporate tax avoidance leads to higher debt costs, and higher future cash taxes paid. For analysis, following Hutchens and Rego (2015), Guenther et al. (2017), and Kang et al. (2017) we use the volatility of annual both cash effective tax rates and GAAP effective tax rates over the five prior years t-4 to t as a proxy for tax risk (hereafter TAXRISK). Following Dyreng et al. (2008), we compute cash (GAAP) effective tax rate measure over a long-run period, as the sum of cash taxes paid (tax expense) during years t-4 to t divided by the sum of pre-tax incomes during years t-4 to t. Then, tax avoidance (hereafter TAXAVOID) is (-1) times the cash (GAAP) effective tax rate of a firm in period t. Consistent with Park and Yoon (2013), we use firm’s credit ratings estimated by credit rating agencies, and we use the average interest rates and yield spread of interest rates as proxies for the cost of debt. Our sample of observations covers KOSPI and KOSDAQ listed firms based on the test variable from 2003 to 2015 (based on the dependent variable from 2004 to 2016), thus we use 7,319 firm-year observations in Korean Stock Exchange Market. Briefly, our results reveal the following. First, after controlling for several factors that affect credit ratings, we find that a significantly negative association between credit raring and tax risk, consistent with our predictions. Moreover, after controlling for several factors that affect the cost of debt, we also find that a significantly positive association between the cost of debt and tax risk, consistent with our exp

목차

Ⅰ. 서 론

Ⅱ. 선행연구의 검토와 가설의 제시

Ⅲ. 연구모형의 설계 및 표본의 선정

Ⅳ. 실증분석결과

Ⅴ. 결 론

참고문헌

키워드

세무위험 조세회피 유효세율의 변동성 장기유효세율 기업신용등급 타인자본비용 Tax risk Tax avoidance ETR volatility Long-run effective tax rates Credit ratings Cost of debt