법인세 발생액의 질이 주가급락위험에 미치는 조건부 효과

Abstract

The purpose of this study is to investigate the relationship between the measure of opportunistic tax avoidance (the quality of corporate tax accrual) and future stock price crash risk. Choudhary et al. (2016) argue that the quality of corporate tax accruals measured by the volatility of past abnormal tax accruals is useful as a tool to detect opportunistic tax avoidance by managers. We extend the previous study to analyze whether companies with low corporate tax accrual quality have a higher risk of a stock price plunge. In addition, we focus on finding the situational determinants that influence the relationship between the quality of corporate tax accrual and stock price crash risk. For empirical analysis, this study selects a sample of companies listed on the KOSPI and KOSDAQ markets from 2015 to 2019 and analyzes the effect of the quality of corporate tax accrual on future stock price crash risk. The analysis results are summarized as follows. First, we find that future stock price crash risk is higher in companies with low corporate tax accrual quality. Second, we confirm that the negative relationship between the quality of corporate tax accrual and stock price crash risk is stronger in the KOSDAQ market than in the KOSPI. We confirm that the negative relationship between the quality of corporate tax accrual and the risk of a stock price crash occurs in firms for which the forecasts of financial analysts are not provided. Fourth, we find that the negative relationship between the quality of corporate tax accrual and the risk of a stock price crash is stronger in companies with a low transaction ratio of sophisticated investors (institutional and foreign investors). Finally, we confirm that the negative relationship between the quality of corporate tax accrual and stock price crash risk is stronger in companies with low ownership concentration. Overall, the results of this study suggest that the quality of corporate tax accruals is useful as a tool to capture opportunistic tax avoidance of managers. In addition, it suggests that the risk of a stock price crash due to opportunistic tax avoidance by managers may increase in a situation where information asymmetry and agency problems are large.