조세 최소화 전략과 투자자의 반응

If there exists information asymmetry between a manager and an investor, the manager adopts a tax minimization strategy(TMS) with monitoring stock market in real time, however, the investor could not observe the manager’s intention so that the investor’s reaction would be delayed. This study investigates whether information asymmetry exists regarding TMS by comparing the stock return of current fourth quarter and next first quarter. Independent variable, TMS proxied by tax avoidance is estimated accumulated effective tax rate(AETR) or cash effective tax rate(CETR), is deployed in the generalized linear model. Results show that TMS does not affect to the stock return of the current year’s fourth quarter, however, affects to that of the next year’s first quarter with positive sign significantly. This is an evidence of information asymmetry on TMS. In this research, Investors consider managers’ TMS as a good signal. Same result are deduced for AETR and CETR. This study does not find any evidence that corporate governance affect to TMS. In order to improve the goodness of fit of the model, we attempted to add some new independent variables to the model, however, we failed to improve the model.