기업의 조세전략에 대한 회사채 시장의 반응에 관한 연구 = The Effect of Corporate Tax Strategy on Corporate Bond Yields

다국어 초록 (Multilingual Abstract)

Previous studies have examined whether and how stock market participants assess corporate tax avoidance (Hanlon and Slemrod 2009；Wilson 2009；Koester 2011；Hutchens and Rego 2012；Goh et al., 2013). Some argue that tax avoidance reduces corporate tax payments and increases after－tax cash flows, so shareholders seeking to maximize firm value positively evaluate tax avoidance decisions of the firm. However, others report that shareholders view corporate tax avoidance activities negatively because firms should spend additional costs for tax strategies and potential risks for future tax investigation. Furthermore, firms also should pay for various non－tax costs such as the reduction in transparency and quality of financial reporting (Scholes et al. 2008). Most of these studies are based on equity investors, so the analysis of investors in the public debt market is very limited.
As capital market participants, creditors of the firms have quite different characteristics from shareholders. Unlike shareholders who have claims on the firm value, creditors only have fixed claims on the principal and interest of the bond. Thus, two groups of investors have conflicting views on the firms’ business decisions such as investment plans. In this respect, the creditors’ evaluation on corporate tax avoidance might be different from that of the shareholders. In order to analyze creditors’ assessment of corporate tax avoidance, this study investigates the effect of corporate tax avoidance on public debt cost and its interaction effect with tax avoidance consistency.
From a creditor’s point of view, corporate tax avoidance can be positively assessed if it leads to reduce firms’ default risks by increasing after－tax cash flows. On the other hand, tax avoidance activity can be negatively viewed if it increases operating risk, information asymmetry, and agency costs, resulting in greater uncertainty in future cash flows. Lim (2011) shows that tax avoidance lowers borrowing costs in Korean private debt market. On the other hand, Shevlin et al. (2013) reports that firms exhibiting greater tax avoidance tend to have higher return on corporate bonds due to the uncertainties in future cash flows. Korean bond market, in comparison with the U.S. bond market, has a greater demand for high quality corporate bonds due to investors’ concern over default after the 1997 global financial crisis. In this situation, we predict that bond investors in Korea can negatively evaluate corporate tax avoidance in hypothesis 1.
The effect of corporate tax avoidance on expected cash flows and risks can be different depending on which tax strategies the firms use to lower tax burdens. When the firms engage in tax strategies consistently, the persistence of tax savings increases and the persistence of earnings also increases (Chen et al. 2012). That is, the firms’ consistent tax strategies not only generate stable after－tax cash flows, but also lowers non－tax costs such as financial reporting costs. In our hypothesis 2, we question whether bond investors consider the consistency of corporate tax avoidance in investment decisions and we predict that consistent tax avoidance mitigates the positive relationship between tax avoidance and corporate bond yields.
Using firms listed on KOSPI and KOSDAQ markets from 2003 to 2011, we find a significant positive relationship between the level of tax avoidance and corporate bond spread. Given that tax avoidance increases the uncertainty of future cash flows and creates non－tax costs such as lower financial reporting quality, our result implies that bond investors negatively assess corporate tax avoidance and require higher bond offering yields on the tax avoiders. We also find that the consistency of corporate tax avoidance mitigates the positive relationship between tax avoidance and bond spread. It indicates that bond investors are less negative about the risk of the firms with consistent tax strate...

국문 초록 (Abstract)

본 연구는 기업의 조세전략에 대한 채권자들의 평가를 분석하고자 회사채 발행수익률과 기업의 조세회피 성향과의 관련성을 분석하였다. 또한 기업의 조세전략의 일관성에 따라 그 관계가 차별적인지 살펴보았다. 실증분석은 2003년부터 2011년까지 유가증권 및 코스닥 시장 상장법인을 대상으로 분석하였다.
가설1 검증결과, 기업의 조세회피 수준과 회사채 스프레드는 유의한 양(＋)의 관계를 보였다. 이는 기업의 조세회피 정도가 클수록 미래 현금흐름의 불확실성이 높아지고 재무정보의 불투명성 등 비조세비용이 증가하여 채권 투자자들의 요구수익률이 더욱 높아지는 것으로 해석할 수 있다.
가설2 검증결과 일관성 있는 조세전략을 수립한 기업의 경우에는 조세회피와 회사채 스프레드 간 양(＋)의 관계가 완화되는 것으로 나타났다. 이러한 결과는 기업이 일관성 있는 조세전략을 실행할 때 채권 투자자들은 기대현금흐름의 변동성을 낮게 평가한다는 것을 의미한다. 결국 기대현금흐름의 변동성이 낮아 채권 투자자의 미래 기대현금흐름에 대한 불확실성이 낮아지고 스프레드는 줄어드는 것으로 해석할 수 있다.
추가분석에서는 투자세액공제와 같은 세제혜택을 이용하여 세부담을 감소시킨 기업에 대해서는 채권 투자자들의 조세회피에 대한 부정적인 평가가 완화됨을 실증하였다. 이를 통해 채권 투자자들이 기업이 구사하는 조세전략의 성격을 고려함을 유추할 수 있다. 조세전략의 일관성을 측정함에 있어서 유효이자율 대신 보고이익차이를 활용한 분석도 진행하였다. 분석결과는 유효이자율을 활용한 가설2 검증 결과와 일관되었다.
본 연구의 실증분석 결과를 종합하면, 1997년 글로벌 금융위기 이후 위험에 민감한 국내 채권시장에서 회사채 투자자들은 발행 기업의 조세회피를 부정적으로 평가함을 알 수 있다. 하지만 회사채 발행 기업이 법인세납부액을 일관되게 유지하거나 세법에서 제공하는 세제혜택 기회를 활용하여 세부담을 줄일 때 조세회피에 대한 부정적인 평가가 완화되었는데, 이는 일관되고 위험이 낮은 조세전략을 통해 기업의 자본조달비용을 낮출 수 있음을 시사한다.

참고문헌 (Reference)

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