Analysts’ Forecast Consistency and Investor Responsiveness to Earnings Information

나종길,신희정,김영겸 이화여자대학교 경영연구소 2019 신산업경영저널 Vol.37 No.2

This study investigates how analysts’ forecast consistency is associated with investor responsiveness to earnings information. Hilary and Hsu (2013) reported that forecasts issued by analysts with more consistency of earnings forecast are more informative. Thus, we expect that analyst forecast with consistent error (i.e. error with low standard deviation) contributes to mitigating the investors’ under-reaction to earnings information. Consistent forecast errors, meanwhile, may lead to investors’ under-reaction to unexpected earnings. If investors fail to unravel the information in earnings persistence regarding future earnings change, forecast consistency may intensify investors’ under-reaction to earnings information, resulting into a more delayed stock price reaction. Thus, the effect of forecast consistency on the investors’ response to earnings information is an empirical question. Using 2005-2015 firms listed on Korean Stock Exchange, empirical result shows that analysts’ forecast consistency has positive relation to abnormal returns subsequent to earnings announcement date. Given that abnormal returns following earnings announcement date are due to investors’ under-reaction to earnings information, it appears analysts’ forecast consistency makes such a under-reaction to information stronger. Moreover, this result holds even after controlling for analysts forecast accuracy and addressing cross-sectional correlation between analysts. This means that investors do not fully understand the implication of consistent biases in analysts’ forecasts and consequently under-react to the information for future earnings. By showing the significant impact of analysts’ forecast consistency on a delayed stock price reaction, this study suggests analysts’ forecast consistency as a critical determinant of investor response to earnings information in stock market.

자사주매입과 주가반응에 관한 연구

박용철 진주산업대학교 2001 산업과학기술연구소보 Vol.- No.8

The purpose of this study is to investigate Stock Repurchase and its stock reaction. In the date of Stock Repurchases declaration, the capital market response significantly positive. To know about the factor, multiple regression model is used and the variables are CASH, DBTR, BOND, SIZE. CASH, DBTR, BOND are positively correlated the market response. But SIZE is not correlated the response.

통상임금에 관한 대법원 판결에 따른 시장반응 분석

김수인,김정권 이화여자대학교 사회과학연구소 2015 사회과학연구논총 Vol.31 No.1

Ordinary wages are referred to as the wages with periodicity, uniformity, and fixity characteristics. As ordinary wages are the base for the calculation of such benefits as allowances for extended work, night work and holiday work, and annual paid leave allowance, if the scope of ordinary wages is expanded, financial performance of companies will be negatively affected by additionally increased labor costs. In December 18, 2013, the Supreme Court of Korea made full bench decisions on the scope of ordinary wages. We investigate how capital market reacted to this Supreme Court ruling on ordinary wages. Since market reflects investor’s expectations and capital resources are allocated by market reaction, we examine economic effect of this ruling by market reaction. Hence we expect that market responds differently by wage structure of companies. We expect the ruling affects negatively to firm value because the labor cost of companies increases by the ruling on ordinary wages. We hypothesize that negative market response on the ruling, especially more negative market response on companies belong to the industry which have many allowances than companies belong to the industry which have a few allowances. Also, we hypothesize that more negative market response on companies which have big burden of labor cost when companies belong to the same industry. For our investigation, we use the companies listed on Korea Exchange and accessible financial data through KisValue, excluding financial and insurance activities industry. There are 661 observations in our samples. The empirical results show that the capital market reactions to this ruling which would increase the scope of ordinary wages are generally negative. In addition, companies in those industries with extremely large overtime wage burdens experience relatively negative abnormal returns around the Supreme Court ruling announcement than those in other industries. Finally, the effect of the labor cost to total revenue ratio is negative on cumulative abnormal returns but not statistically significant around the Supreme Court ruling announcement for the industries only in which overtime wage burdens are not extreme. These results reflect the market expectation that the Supreme Court ruling on ordinary wages will negatively affect firm value. 통상임금은 정기성ㆍ일률성ㆍ고정성을 갖는 임금으로서 근로기준법에 의해 근로자에게 정기적ㆍ일률적으로 소정근로 또는 총 근로에 대하여 지급하기로 정하여진 시간급금액, 일급금액, 주급금액, 월급금액 또는 도급금액을 말하며, 해고예고에 갈음하는 수당, 연장 야간 및 휴일근로시의 할증임금, 연차유급휴가금의 산출기초가 되는 임금단위이다. 따라서 통상임금의 범위가 변화한다면 기업의 인건비 규모에 영향을 미치게 되어 기업의 재무성과와 직결될 것이므로 재계와 노동계의 공통 관심사이다. 이 통상임금의 범위에 대해 노사간에 격렬한 논쟁과 첨예한 분쟁이 지속되고 있는 가운데 대법원은 2013년 12월 18일에 통상임금의 범위에 대해 의미 있는 전원합의체 판결을 내렸다. 본 연구는 이 판결에 대한 시장 반응을 통해 이 판결의 영향을 실증적으로 분석하였다. 시장반응은 투자자의 기대를 반영하고, 이러한 시장 반응에 따라 자본이 재분배되기 때문에 이 판결에 대한 시장 반응을 통해 이 판결이 가지는 경제적인 영향을 분석할 수 있다. 따라서 통상임금 범위의 확대에 대한 투자자들의 평가는 산업별 기업별로 임금체계에 따라 달라질 것이기 때문에 시장반응도 차별적으로 나타날 것으로 기대하였다. 통상임금 범위를 확대시키는 이번 판결로 인해 각 기업에 최적화된 임금체계와는 상관없이 임금이 상승될 것으로 예상되기 때문에 단기적으로는 기업가치에 부정적인 영향을 미칠것이며, 따라서 이 판결에 대해 시장은 부정적인 반응을 보일 것이다. 특히 통상임금 범위 변동의 영향을 많이 받는 초과급여가 많은 임금체계를 가진 산업에 속하는 기업에 대한 시장 반응이 초과급여가 적은 임금체계를 가진 산업에 속하는 기업에 대한 시장 반응에 비해 더 부정적일 것이라고 예상하였다. 또한 임금체계가 유사한 동일 산업 내에서는 인건비의 부담이 큰 기업에 대한 시장의 반응이 부담이 적은 기업에 대한 시장 반응에 비해 더 부정적일 것이라고 예측하였다. 본 연구의 실증 분석 결과는 다음과 같다. 판결일 전후의 초과수익률 및 누적초과수익률 분석결과, 통상임금의 범위를 확대시키는 이 판결에 대한 시장반응은 대체로 부정적으로 나타났다. 또한, 정액급여 대비 초과급여비율이 상대적으로 높은 임금체계를 가진 산업에 속하는 기업에 대한 시장 반응은 그렇지 않은 산업에 속한 기업에 대한 시장 반응에 비해 부정적으로 나타났다. 마지막으로, 동일 산업 내에 속하지만 매출액 대비 인건비율이 다른 기업에 대한 시장 반응은 산업별로 다르게 나타났는데, 초과급여비율이 극단적으로 높거나 낮은 산업에 속한 기업에 대한 시장 반응은 개별 기업의 인건비율과는 무관하게 나타났다. 반면에, 초과급여비율이 극단적이지 않은 산업에 속한 기업에 대한 시장 반응은 대체로 해당 기업의 매출액 대비 인건비율이 높을수록 부정적으로 나타났다. 이는 통상임금 범위의 확대를 판결한 대법원 판결이 인건비 부담을 통해 기업가치에 부정적인 영향을 줄 것이라는 시장의 기대를 반영한 결과라 하겠다.

Determinants of Shareholder Activism of the National Pension Fund of Korea

위경우,이재현,Francis In,길재욱,박영석 한국증권학회 2018 Asia-Pacific Journal of Financial Studies Vol.47 No.6

This paper identifies the determinants of shareholder activism of the National Pension Fund of Korea (NPF), and investigates its stock market reaction. In the case of article amendments, the NPF exercises its voting right actively when the firm has concentrated ownership, and does not belong to chaebols. The NPF is active when the firm has diffused ownership, and is not a chaebol affiliate if the agenda up for vote is auditor appointments. The event studies show that a long position in the NPF “Yes” vote stocks and a short position in the “No” vote stocks produce positive abnormal returns.

유형자산 재평가 공시효과와 공시요인에 대한 연구

이봉학,오원정,권해숙 한국기업경영학회 2011 기업경영연구 Vol.18 No.4

Recent papers on the case of companies that have implemented the asset revaluation examine the relationship between revaluation surplus and debt ratio, and verify that the companies have improved their financial structure and reduced the debt ratio through revaluation. However, studies on stock price change due to revaluation have not been much conducted. If revaluation prompts financial improvement such as decrease in debt ratio, investors will respond positively to the revaluation event,and as previous studies show, there will be significant positive CAR around the time of public notice;in short, the stock price will go up. In this research, we analyze market response to revaluation news by considering CAR before and after the day the revaluation decision is made. Furthermore, by examining financial variables that affect CAR, we certify that the investors respond positively to revaluation and the financial structure of companies that employ revaluation. This paper uses Market model as a proxy for the stock price reaction. Our research shows that AR(abnormal return) of the day before (-1) and disclosure day (day0) are statistically significant, and that CAR (-1 to +1) and CAR (0 to +1) are significantly positive. This, in turn, reveals that the revaluation decision causes noticeable effect of information in the stock market. This study uses the regression analysis to examine the relevance of profitability to asset revaluation, using CAR (-1 to +1)and CAR (0 to +1). The debt ratio on the day of revaluation announcement (day0) is significantly negative. For the firms that revealed larger difference between the debt ratios before and after the re-valuation, the value of (ROE) and the loss carry forwards are positively significant. Such results confirm that the market reacts positively to the revaluation notice. 최근의 자산재평가 관련 논문은 주로 재평가모형을 도입한 기업들의 경우 재평가차액으로 인하여발생하는 부채비율의 감소 등 재무구조 개선효과, 그리고 재평가 잉여금과 부채비율 변수의 추가관련성 등을검증하였으나, 자산재평가에 따른 주가반응에 관한 연구(event study)는 본격적으로 이루어지지 않았다. 만약선행연구들에서 밝히고 있는 바와 같이 자산재평가로 인하여 부채비율 감소 등 재무개선 효과가 발생한다면,투자자들은 자산재평가라는 사건(event)에 대하여 긍정적으로 반응할 것이고, 공시시점을 전․후하여 양(+)의유의한 초과수익률(CAR), 즉 주가가 상승할 것이다. 본 연구는 ‘자산재평가 실시 결정일(day 0)’을 전․후한누적초과수익률(CAR)을 이용하여 자산재평가 정보의 시장반응을 분석하고, 나아가 누적초과수익률(CAR)에영향을 미치는 재무변수들을 분석함으로써 투자자들이 자산재평가와 재평가를 도입한 기업의 재무구조에 대한정보를 긍정적으로 받아들이는지에 대하여 실증적으로 검토하였다. 이러한 분석을 위해 자산재평가에 대한 주가반응의 대용치로 시장모형(market model)을 이용하여 계산한초과수익률을 사용하였다. 검토결과 재평가 정보의 공시 전날(-1)과 공시일(day 0)에 초과수익률(AR)이 유의한양(+)의 값으로 나타났고, 또한 공시일 전⋅후 (-1∼+1) 그리고 (0∼+2)의 누적평균초과수익률(CAR)이 유의한양(+)의 값으로 나타났다. 따라서 자산재평가 공시 정보가 주식시장에서 정보효과를 갖는다고 해석할 수 있다. 또한 공시일과 공시일을 전⋅후해 통계적으로 유의한 기간의 누적초과수익률(CAR)을 사용하여, 초과수익률과 자산재평가 동기에 관하여 회귀분석한 결과 공시일(day 0)의 경우 부채비율은 초과수익율과 음(-)의 유의한값이, 재평가 전⋅후 부채비율의 차이가 큰 그룹의 경우 초과수익률과 양(+)의 유의한 값이, 그리고 자기자본이익률(ROE)과 이월결손금 여부가 초과수익률과 양(+)의 유의한 결과를 보였다. 이러한 연구결과는 재평가로 인해부채비율의 감소폭이 큰 기업일수록 상대적으로 재평가로 인한 정보효과가 크게 발생하여, 시장에서 긍정적으로반응한다는 것을 뒷받침한다.

조세소송 경과에 따른 주식시장 반응:G사의 사례를 중심으로

정재현 한국회계정책학회 2022 회계와 정책연구 Vol.27 No.3

[Purpose]This study analyzed the reaction of the stock market in accordance with the progress of tax litigation through the case of Company G. Company G’s tax litigation process was confirmed in the order of first trial, appeal trial, trial by the Supreme Court, and reversed and remanded trial. [Methodology]The tax authorities levied tariffs and value-added tax (VAT) on the use of BOG as fuel generated while importing and introducing liquefied natural gas into South Korea by Company G in the vessel as it was provided free of charge. Even though some of the freight was paid in kind, it was deemed to be omitted when reporting customs duties. The stock market reaction was analyzed in this study, with the focus on the process of the lawsuit filed by Company G to revoke the imposition of tariffs and VAT. [Findings]As a result of the study, no significant stock price reaction in the stock market could be found in the first trial and appeal trial where Company G lost. In addition, no significant stock price response could be confirmed in the Supreme Court’s appeal trial, which ruled in favor of Company G. The stock market seems to have judged that the final court ruling has not been made. There was a significant positive (+) stock price reaction in the reversed and remanded trial in which the imposition was canceled. Accordingly, it has been verified that the stock market did not show any significant reaction conservatively until a final court decision was made. [Policy Implications]This study partially identified the causes of previous studies that could not confirm a significant stock price reaction in the Supreme Court ruling. Through the case of Company G, evidence was presented that if the Supreme Court reversed and remanded the case to the original court, a significant reaction may not appear until a final judgment is made. [연구목적]본 연구는 조세불복이 기업가치에 미치는 영향을 분석하기 위하여 조세소송의 경과에 따른 주식시장의 반응을 G사의 사례를 통하여 분석하였다. G사의 조세소송 과정을 제1심, 항소심, 상고심, 파기환송심의 순서에 따라 확인하였다. [연구방법]과세당국은 G사가 액화천연가스를 선박으로 수입하여 국내에 도입하는 과정에서 발생하는 기화천연가스(BOG, Boil Off Gas)를 해당 선박에서 연료로 사용하게 된 부분에 대하여 무상으로 제공한 것으로 보아 관세와 부가가치세를 부과하였다. 운임 중 일부를 현물로 지급하였는데도 관세 등 신고시 과세가격에 포함되는 운임을 누락하였다고 본 것이다. 본 연구에서는 G사가 제기한 관세와 부가가치세 부과처분취소소송의 과정을 중심으로 주식시장의 반응을 분석하였다. [연구결과]분석의 결과 G사가 패소한 제1심과 항소심에서는 주식시장에서 유의한 주가반응을 명확하게 확인할 수 없었다. 또한 G사에게 유리한 파기환송 판결을 내린 대법원의 상고심에서도 유의한 주가반응을 확인할 수 없었다. 주식시장에서는 대법원에서 최종적인 법원의 판결이 내려지지 않은 것으로 판단한 것으로 보인다. 실질적으로 부과처분이 취소된 파기환송심에서는 유의한 양(+)의 주가반응이 나타났다. 이에 따라 주식시장에서는 보수적으로 최종적인 법원의 판결이 있을 때까지 유의한 반응을 보이지 않을 수 있다는 것을 확인하였다. [정책적 시사점]본 연구는 대법원 판결에서 유의한 주가반응을 확인할 수 없었던 선행연구의 원인을 일부 확인하였다. G사의 사례를 통하여 대법원이 원심에 대하여 파기환송한 경우 최종적인 판결이 있을 때까지 유의한 반응이 나타나지 않을 수 있다는 증거를 제시하였다.

Research Articles : Stock Price Reactions to News of Tax Aggressiveness in Korea

( Jeong Mi Lee ),( Ki Ho Choi ) 한국회계학회 2015 회계학연구 Vol.40 No.2

This study examines how stock prices react to news of tax avoidance in Korea by applying the view of Hanlon and Slemrod (2009) on how news of tax shelter involvement affects the stock prices. We extend Hanlon and Slemrod (2009) by examining the differences among market reactions to acts of corporate misconduct such as unfair trade practice and accounting fraud. We use an event-study research methodology to evaluate the market reaction to acts of corporate misconduct including tax avoidance, unfair trade practices, and accounting fraud. We test the following hypotheses through t-tests: (1) the market reacts negatively to news that a firm is involved in tax avoidance; (2) firms with a higher cash effective tax rate (ETR) experience a less negative (i.e. more positive) reaction to news of tax avoidance; (3) retail industry firms, which deal closely with customers, experience a more negative reaction than other firms; (4) poorly-governed firms experience a more negative market reaction than well-governed firms; and (5) firms alleged to tax avoidance experience a less negative reaction than firms alleged to unfair trade practices and accounting fraud. Cumulative average abnormal return is employed to investigate the relationship between market reaction and news of corporate misconduct such as tax avoidance, unfair trade practices, and accounting fraud. The cash effective tax rate(ETR), our measure of tax avoidance, is defined as cash taxes paid divided by pre-tax accounting income. The retail industry is used to reflect consumer reaction, and the ownership percentage of controlling shareholders, foreign shareholders, and institutional shareholders are employed as governance variables. The tax avoidance sample was drawn from newswire searches in the Mediagaon database using "탈세" and "기업" as search terms for the period between January 1, 1990 and December 31, 2012. The samples were then restricted to cases where tax avoidance was revealed through prosecution since these combine illegal activity with tax avoidance. Similarly, the sample for unfair trade practices was drawn from a newswire search in the Mediagaon database using "불공정거래" and "기업" for the period between January 1, 2003 and December 31, 2012. Finally, the accounting fraud sample was obtained from the Financial Supervisory Service website and covers the period between January 1, 2003 and ending date of December 31, 2012. This study finds that news of tax avoidance in Korea, on average, affects a firm``s stock price negatively and that the reaction is worse for firms with low cash ETRs. The reputation effect also affects market reaction through consumer backlash. Market reactions concerning corporate governance are insignificant, but those concerning institution shareholders are significant, with an opposite sign. Finally, firms alleged to have engaged in unfair trade practice experience the strongest negative market reactions to corporate misconduct. This study contributes to several streams of literature. First, it contributes to the literature on market reaction to news of tax avoidance which encompasses the characteristic of legal and illegal. Studies have examined only those cases in which the firms actually committed tax evasion, only encompassing the characteristic of illegal (Lee and Jung 2008; Jung and Jun 2010; and Jung 2011), ignoring the possibility of positive market reactions to tax avoidance. Second, this study offers evidence concerning firms`` equity value losses when there are allegations of misconduct by addressing the reputation effect of a perceived lack of reliability, the "non-tax cost". No study has yet examined reputation effect of allegations of misconduct such as tax avoidance, unfair trade practice, or accounting fraud. This paper shows that the magnitude of the loss of equity is associated with the number of parties damaged through corporate misconduct rather than the magnitude of the legal sanctions. Two main implications for the investors and policymakers in this study are suggested. First, corporate misconduct that affects firm value should be disclosed on notes to financial statements to ensure symmetrical information, since it is relevant to a firm``s value. Second, a corporate social responsibility index should be developed to prevent corporate misbehavior flowing from a lack of corporate social responsibility since legal sanctions are not effective in penalizing irresponsible corporate behavior.

불성실공시법인 지정 및 벌점부과에 대한 주가반응

이용석(Yong Seok Lee),박희진(Hee Jin Park),이세철(Se Chul Lee) 한국경영학회 2014 經營學硏究 Vol.43 No.2

The purpose of this study is to observe the capital market reaction concerning designation as an unfaithful disclosure company and imposition of penalty points. For this purpose, two methodologies are used in the study. The first methodology is the event study method which analyzes the stock market return before and after unfaithful disclosure designation due to reasons such as disclosure failure, disclosure overturn and disclosure change. The second methodology is the regression analysis method where the dependent variable is set as the daily stock return of the unfaithful disclosure company and the explanatory variable is set as the unfaithful disclosure penalty point. Information disclosure to the capital market performs the function of enabling efficient allocation of resources by alleviating the information asymmetry problem that exists between the internal and external users of companies. If the reliability and accuracy of the information disclosure which performs these functions are not secured, the market participants will have doubts on the reliability of the information provided by the companies, and there will be difficulty in assessing the objective value of the companies. Being designated as an unfaithful disclosure company means there is an error in the speed, accuracy and reliability of the information disclosure of the company, and it can be said that the gravity of the violation is heavier when the penalty is higher. If market participants interpret unfaithful disclosure designation and imposition of a penalty as increased uncertainty of information disclosure and a decline in reliability, the resulting negative perception will be reflected in the stock prices. Therefore, if the designation of unfaithful disclosure has an additional information effect in the capital market, the corresponding company is expected to have a negative stock price reaction on the day of unfaithful disclosure designation. This expectation has been validated by Sohn(2001) and Choi et al.(2013). However, since there is a chance that the results of previous studies such as these are due to many other factors of unfaithful disclosure of a corporation, it cannot be concluded with certainty that the cause of the negative stock price reaction is only due to unfaithful disclosure. Therefore, in addition to the case studies of previous studies, this study conducts regression analysis on the profit rate of the date of unfaithful disclosure company designation and penalty points for unfaithful disclosure, to verify aspects previous studies failed to verify due to inadequate material on penalty points. The analysis result shows a drop in the stock market return from the day of the designation of unfaithful disclosure, and a statistically significant negative cumulative return. This result signifies that stock market participants perceive designation of unfaithful disclosure as a negative event that impacts stock prices. Meanwhile, though the negative response was expected to increase proportionally with the imposed penalty points during the quarter of penalty imposition, the penalty points and negative reaction of the capital market were found to be unrelated. On the other hand, the negative response of the capital market was found to increase according to the level of penalty accumulation through past designation of unfaithful disclosure. This study is differentiated from previous studies as it directly observes the effect of penalties through a short-term stock price reaction based on the date of unfaithful disclosure designation. In addition, the study presents an intuitive result that the expense of a firm may increase due to the designation of unfaithful disclosure. Furthermore, the result of this study that unfaithful disclosure penalties accumulated from the past is related to the capital market reaction on the day of unfaithful disclosure designation is expected to provide significant implications to information users such as executives,

기업의 이연법인세자산과 부채에 대한 자본시장반응 : 2009년 법인세율 인하유예

문예영 ( Yeyoung Moon ),최기호 ( Giho Choi ),최보람 ( Boram Choi ) 한국회계학회 2016 회계저널 Vol.25 No.4

정부는 세계적인 금융위기 및 재정악화로 인하여 2010년부터 예정되어 있던 법인세율 인하를 2년간 유예한다고 2009년 12월 22일에 발표하였다. 법인세율 인하는 이명박전 대통령의 중요한 대선 공약사항 중 하나였으며, 일부 여론의 법인세율 인하유예 요구에도 법인세율 인하를 고수할 것이라고 정부에서 여러 차례 천명한 바가 있었던 바, 이러한발표는 자본시장에서 매우 갑작스러운 사건이었다. 본 연구는 이러한 법인세율 인하유예발표일을 사건일로 하여 사건연구방법으로 기업의 이연법인세자산과 부채 및 유동성 구분표시에 대한 주가반응을 분석하였다. 모든 정보가 발생하는 즉시 기업의 주가에 반영되는 효율적인 자본시장이라면, 법인세율 인하유예가 미치는 복잡한 영향도 즉각적으로 자본시장에 반영되어야 한다. 그러나 투자자가 복잡하고 어려운 세법과 회계기준을 숙지하여 이연법인세자산과 부채 및 유동성을 구분하여 기업의 가치를 평가하는 것은 현실적으로 매우 어려운 일이다. 따라서 본 연구는 법인세율 인하유예사건을 매개로 하여 투자자들이 이연법인세자산과 부채 및 유동성 구분표시가 가지는 의미를 어느 정도 이해하고 있으며, 이에 따른 미래 법인세효익과 비용을 과연 고려하여 기업가치를 평가하고 있는지 종합적으로 살펴보고자 하였다. 우선 직관적으로 생각해보면, 법인세율 인하유예발표는 투자자들의 기업의 미래 기대이익과 현금흐름의 예측치를 감소시킬 것이며 이에 따라 기업의 평균적인 주가반응은 부정적일 것으로 예상된다. 다만, 부정적인 주가반응은 기업이 보유하고 있는 이연법인세자산 및 부채의 크기와 유동성 구분표시에 따라서 차별화될 수 있다. 이는 법인세율 인하유예로 인하여 이연법인세자산이 클수록 미래 법인세효익(tax benefit)이 증가하고, 이연법인세부채가 클수록 미래 법인세비용(tax cost)이 증가하기 때문이다. 또한, 법인세율 인하유예는 2010년 이후부터 적용되므로 2008년 결산시점에서 보면 비유동이연법인세에 대해서만 영향을 미치게 된다. 이에 따라 본 연구에서는 사건일을 전후하여 평균적으로 음(-)의 주가반응이 나타나지만, 이연법인세자산이 클수록 음(-)의 주가반응은 감소하고, 이연법인세부채가 클수록 음(-)의 주가반응이 증가할 것으로 예상하였다. 또한, 이러한 상반된 결과가 2008년 결산을 기준으로 비유동이연법인세에 대해서만 나타날 것으로 예상하였다. 이를 검증하기 위하여 12월 결산이면서, 기업의 재무자료와 주가자료를 이용할 수 있는 549개 기업을 표본으로 선정하여 분석하였다. 분석결과, 예상한 바와 같이 사건일을 전후하여 평균적으로 음(-)의 주가반응이 나타났지만, 이러한 음(-)의 주가반응이 이연법인세자산이 커질수록 감소하는 것이 관찰되었다. 이연법인세부채에 대해서는 통계적인 유의성은 관찰되지 않았지만, 음(-)의 주가반응이 증가하는 것이 계수값으로는 관찰되었다. 이연법인세부채에 대해서 통계적인 유의성이 관찰되지 못한 이유로는 첫째, 법인세율인하유예로 인한 부정적인 영향에 대한 구분실익이 미미하고, 둘째, 이연법인세부채는 실현가능성을 판단하지 않고 계상하기 때문일 수 있으며, 셋째, 법인세율 인하유예가 2년간 한시적이라는 점 등을 생각해볼 수 있다. 또한, 예상한 바와 같이 비유동이연법인세에 대한 주가반응만이 유의한 반응이 관찰되었다. 이를 통해서 자본시장이 이연법인세의 유동성을 구분하여 인식하고 있다는 것이 확인되었다. 추가분석에서는 법인세율 인하유예의 효과가 직접 나타나는 2010년 기업의 재무제표 공시일을 사건일로 하여 살펴보았으나 통계적으로 유의한 결과가 관찰되지 않았으며, 기업의 주석에서 총액으로 계상한 이연법인세자료를 분석한 결과에서도 아무런 반응이 관찰되지 않았다. 이는 법인세율 인하유예로 인한 이연법인세에 대한 효과가 법인세율 인하유예 발표일에 기업의 주가에 즉시 반영된다는 점과 법인세율 변동으로 인한 이연법인세의 효과를 총액으로 인식하는 것이 아니라 순액으로 인식한다는 것을 의미한다. 또한, 이익을 조정한 기업에 대해서는 부정적인 자본시장반응이 나타났고, 이연법인세에 대한 정보효과는 이익기업에서만 나타나는 것으로 확인되었다. 이러한 분석결과를 통하여 본 연구는 법인세율 변동과 주가와의 관련성을 직접 보여줄 뿐만 아니라 이연법인세자산 및 부채의 정보효과가 자본시장에서 존재한다는 점을 보여주었다는점에서 본 연구의 공헌점을 가진다. 또한, 본 연구는 이연법인세의 유동성 구분표시가 자본시장에서 고유한 정보가치를 갖고 있다는 것을 보여준다는 점에서도 추가적인 공헌점을 가진다. 따라서 본 연구를 통하여 우리나라 자본시장이 이연법인세에 대한 정보를 즉시 반영하는 효율적인 시장이라는 것을 확인할 수 있었으며, 한국채택국제회계기준 하에서 이연법인세회계에 적용되는 총액주의와 유동성을 구분하여 표시하지 않는 방법은 이연법인세의 정보효과를 낮춘다는 사실을 밝혀낼 수 있었다. December 22 2009, Korean government suddenly announced that they had decided to defer the reducement of corporate tax rate which was prearranged to come into force on and after 2010, due to the financial crisis and deterioration. It was a very sudden and shocking event. Because the reducement of corporate tax rate was one of the most important key pledge of the post president Myoungbak Lee, and while some public opinions insisted on deferment of the tax rate, the Korean government had declared that the reducement of corporate tax rate would be enforced as arranged previously. This study examined the response of the stock price to the announcement of the deferment and analysed the different responses of each company``s stock price according liquidity and the amount of deferred tax assets and liabilities. If the efficient-market hypothesis stand the complicated effect of the deferment of corporate tax rate should be reflected to the stock price immediately. But it is almost impossible that investors evaluate the value of corporation with consideration of the complicated tax law and complex accounting standards. So, this study focused on who well investors understand the difference between current deferred tax asset/liability and non current deferred tax asset/liability, also whether investors consider the tax benefit and cost for the valuation of corporations. In the short run, the deferment could result in reduction of cash flow and profit to companies. In this case, the deferment would bring the negative effects on the stock prices. And the scale of negative response to stock price could be differentiated based on the liquidity and the amount of deferred tax assets and liabilities. This can be explained by positive relation between the effect of tax benefit and the amount of deferred tax assets and between tax cost and deferred income tax liabilities. As the amount of deferred tax assets increases, the effect of tax benefit rises. Also, the bigger the deferred tax liabilities means the greater the tax cost in the future. In addition, since the deferment of tax reduction is applied after 2010, it has an effect only on non-current deferred income tax at the time of the 2008 settlement. In this respect, this study supposed that there would be negative effects on stock prices around the time of tax deferment, but the scale of the effect would be determined by the amount of deferred tax assets and by whether companies have deferred tax asset or deferred tax liability. Namely, the greater amount of deferred tax asset has positive effect on stock price change while bigger deferred tax liability negatively affect the price. And this study expected that the price effect would appear on long-term deferred tax asset and liability. For the verification of the hypothesis, this study selected the 549 companies which has available the fiscal date regarding deferred tax asset/liability and the stock price information as samples. As expected under the hypothesis, the negative price effect has been observed on the day tax deferment was announced. And the scale of the effect was inversely related to the scale of deferred tax asset which was standardized by averaged total asset. On the other hands, the effect on the deferred tax liability had not been observed. The reasons will be follows; First, the benefit of distinguishing of the negative effect of the deferment is insignificant. Second, deferred tax liability is accounted on, regardless of possibility of realization. Third, The deferment of corporate tax rat wasn’t permanent but just temporary for 2 years. statistically significant price effect appeared on the long-term deferred tax asset, not on the long-term deferred tax liability, so it is confirmed that the stock market and investors recognize the effect of the current and non current deferred tax differently. In this point of view, it is shown that the distinction of current and non current deferred tax asset/liability has important and instinct value. Not only does this study demonstrate the relation between stock prices and the corporate tax rate but it also shows the value of information of deferred tax assets and liabilities. This study also stress on the value of information of the current/non-current classification of deferred tax assets and liabilities by showing stock price response to company``s long-term deferred tax assets and liabilities and to short-term deferred tax assets and liabilities. That adds importance to this report.

Stock Price Reactions to News of Tax Aggressiveness in Korea

이정미,최기호 한국회계학회 2015 회계학연구 Vol.40 No.2

This study examines how stock prices react to news of tax avoidance in Korea by applying the view of Hanlon and Slemrod (2009) on how news of tax shelter involvement affects the stock prices. We extend Hanlon and Slemrod (2009) by examining the differences among market reactions to acts of corporate misconduct such as unfair trade practice and accounting fraud. We use an event-study research methodology to evaluate the market reaction to acts of corporate misconduct including tax avoidance, unfair trade practices, and accounting fraud. We test the following hypotheses through t-tests: (1) the market reacts negatively to news that a firm is involved in tax avoidance; (2) firms with a higher cash effective tax rate (ETR) experience a less negative (i.e. more positive) reaction to news of tax avoidance; (3) retail industry firms, which deal closely with customers, experience a more negative reaction than other firms; (4) poorly-governed firms experience a more negative market reaction than well-governed firms; and (5) firms alleged to tax avoidance experience a less negative reaction than firms alleged to unfair trade practices and accounting fraud. Cumulative average abnormal return is employed to investigate the relationship between market reaction and news of corporate misconduct such as tax avoidance, unfair trade practices, and accounting fraud. The cash effective tax rate(ETR), our measure of tax avoidance, is defined as cash taxes paid divided by pre-tax accounting income. The retail industry is used to reflect consumer reaction, and the ownership percentage of controlling shareholders, foreign shareholders, and institutional shareholders are employed as governance variables.