조세회피를 통한 정보의 불투명성과 주가급락에 관한 연구

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.