지속적인 세무전략이 정보비대칭과 자본비용에 미치는 영향

This study investigate whether firms with sustainable tax strategies is associated with lower information asymmetry and lower cost of capital. For the purpose of comparison, I also investigate whether the firms with minimization tax strategies is associated with information asymmetry and higher cost of capital. Prior research indicates firms with sustainability tax strategies is the “dimension of a firm’s tax strategy that focuses on maintaining consistent tax outcomes over time [i.e., a narrow range of effective tax rates (ETRs)]” (McGuire et al. 2013). Prior research documents that firms with sustainable tax strategies experience more persistent earnings (McGuire et al. 2013). Neuman et al. (2013) shows that firms with sustainable tax strategies are associated with more transparent information environments. Therefore, I extend this line of research expect firms with sustainable tax strategies to exhibit lower information asymmetry and lower cost of capital. Scholes et al. (2008) suggest that such myopic tax minimization is not equivalent to effective tax planning；rather, effective tax planning incorporates non-tax strategies and costs to improve overall after-tax returns and firm value. For this analysis, I construct a measure of tax strategy sustainability (hereafter STS) using the coefficient of variation for annual Cash (GAAP) ETRs over a five-year period following McGuire et al. (2013). This is, the coefficient of variation for Cash (GAAP) ETRs is the standard deviation of annual Cash (GAAP) ETRs scaled by the absolute value of mean of Cash (GAAP) ETRs over the same five-year period (i.e., over the period t－4 to t). And I employ tax avoidance (hereafter TAVO) as if its five-year Cash (GAAP) ETR in the long-terms, measured from year t－4 to t. I exploit information asymmetry (hereafter VOLA) is calculated by standard deviation of daily stock returns and cost of capital (hereafter COC) employ WACC comes from KISVALUE databases. I test related each STS (or TAVO) measure to one-year-ahead VOLA and COC. This study sample covers KOSPI and KOSDAQ listed firms based on the test variable (dependent variable) from 2003 to 2017 (from 2004 to 2018), final samples is 9,146 firm-year observations. This study empirical results reveal the following. First, after controlling for several variables that affect the dependent variable (VOLA), I expect to find that a negative and significant coefficients on STS in all specifications of the model, which suggests that firms with sustainable tax strategies have lower information asymmetry. In contrast, I find that positive and significant coefficients on TAVO, which indicating that firms with minimization tax strategies have significantly higher information asymmetry. Second, after controlling for several variables that affect the dependent variable (COC), I expect to find that a negative and significant coefficients on STS in all specifications of the model, which suggests that firms with sustainable tax strategies have lower cost of capital. In contrast, I find that positive and significant coefficients on TAVO, which indicating that firms with minimization tax strategies have significantly higher cost of capital. These results are qualitatively similar when using a alternative measure as GAAP ETR instead of Cash ETR. Furthermore, my results are robust to controlling for pre-tax earnings volatility. In sum, I find that the sustainability of a firm’s strategy is negatively associated with information asymmetry and cost of capital, which is consistent with Scholes et al.’s (2008) argument that effective tax planning may not be focused solely on tax minimization. Thus, my results is consistent with the Scholes et al.’s framework. This study results suggest that the most effective tax strategy for a firm is focused on sustainable tax strategies rather than tax minimization. This is the first study to address the association between sustainable tax strategies and information asymmetry or cost of capital. Therefore, my results can provide additional novel evidence to the related sustainable tax strategies and/or tax avoidance.