세금과 자본구조가 내재자본비용에 미치는 영향

초록

Whether stock prices capitalize corporate and investor level taxes has been long question, but still there is no consensus among researchers. If tax consequences of debt financing affect the price investors are willing to pay for a given security, then the discount rate implied by the relation between market price and expected future earnings should capture any tax related premium demanded by equity investors. This paper estimates the implied cost of capital using Korean market data and investigate the effect of taxes and leverage on these measures of the ex ante cost of equity capital to test for tax capitalization. The ex ante cost of equity capital is recognized as the theoretically relevant measure in tests for tax capitalization. As for the implied cost of capital, we estimate 3 different measures using the methods established by Gode and Mohanram(2003) and Easton(2004). This paper extends the prior research by examining the associations among leverage, corporate and investor level taxes, and the firm's cost of equity capital, and by examining the effect of dividend policy and leverage on the firm's cost of equity capital. The sample period is limited for 8 years from 2000 to 2007 considering the estimation of implied cost of capital, and final data contain 988 firm－years. Before－financing marginal tax rate is used to reflect corporate tax effect and personal income tax penalty variable is used to reflect personal income tax effect. To reflect dividend payout policy, dividend yield and dividend tax penalty variables are used. In this study, severe multicollinearity problems caused by using interaction variables. I use not only ordinary least squares but also ridge regression to overcome multicollinearity problem and to increase the reliability of the result. The results generally support the tax capitalization hypotheses. The firm's cost of equity is increasing in leverage and the positive relation between leverage and the cost of equity is decreasing in the firm's tax benefit from debt. Also, the positive relation between leverage and the cost of equity is increasing in the personal tax penalty associated with debt. Considering the firm's tax benefit from debt and personal tax penalty associated with debt together, I find that corporate tax effect dominates personal income tax effect. That is, if both marginal tax rate and personal tax penalty is increased, then the relation between leverage and the cost of equity is decreased. On the other hand, I can not find empirical evidence consistent with the hypothesis that the positive relation between leverage and the cost of equity is increasing in the dividend tax penalty associated with dividend payout. This result also suggests that corporate tax effect dominates dividend tax effect. The empirical evidence in this paper that the corporate tax affects more on the cost of equity than the personal income tax adds to the understanding of the effect of taxes on equity prices.

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