외환위기 전후의 한계세율을 이용한 부채사용의 순세금효과 추정과 자본구조분석

초록

The main purpose of this paper is to investigate firm-specific equilibrium debt level by estimating firm-specific cost and benefit functions of debt. Then we estimate net tax benefit of debt. The benefit functions are estimated using marginal tax rates and the cost functions are estimated using exogenous variation in tax benefit functions. The cost functions vary by firm to reflect the firm’s characteristics such as asset collateral, firm size, book-to-market ratio, profitability, dividend dummy, financial distress, profitability, and earnings volatility. The benefit functions are downward sloping reflecting that the marginal benefit of debt declines as more debt is used, and the cost functions are upward sloping reflecting the marginal costs that occur as a firm increases its use of debt. We use these cost and benefit functions of debt to estimate a firm-specific equilibrium level of debt that a company should use. Prior research suggests that Korean firms seem to do not fully utilize the tax benefits of debt, particularly after the 1997 Asian financial crisis, however, considering that expected default costs offset the majority of the potential tax savings, Korean firms’ conservative use of debt after the financial crisis period could indeed be a rational response to a new business environment. Based on this prior research, we analyse equilibrium level of debt and net tax benefit of debt by dividing the sample period before and after the financial crisis. The result shows that observed debt level(interest expense/book asset) is 0.047 before the financial crisis and 0.017 after the financial crisis, resulting in only 36% after the financial crisis. Before the financial crisis, marginal benefit and marginal cost of debt on the observed debt level are estimated as 0.232 and 0.265 respectively which means Korean firms use more debt than - 42 - equilibrium level of debt on average. Equilibrium debt level before the financial crisis is estimated to be 80%-100% of observed debt level. After the financial crisis, marginal benefit and marginal cost of debt on the observed debt level are estimated as 0.201 and 0.205 respectively which means on average Korean firms use debt in equilibrium level. By integrating the area between the benefit and cost functions, we estimate the observed and equilibrium net benefit of debt. Before the financial crisis, the equilibrium total benefit, total cost and net benefit are 8.4%, 5.0%, and 3.4% of total assets respectively, and the observed level of total benefit, total cost and net benefit are 8.9%, 6.3%, and 2.6% of total assets respectively. After the financial crisis, the equilibrium total benefit, total cost and net benefit are 6.1%, 4.2%, and 1.9% of total assets respectively, and the observed level of total benefit, total cost and net benefit are 5.4%, 4.5%, and 0.9% of total assets respectively. As a result, the observed and equilibrium net benefit of debt are reduced after the financial crisis. The reduced net tax benefit is mainly due to the decrease in marginal benefit resulting from corporate tax rates reduction and marginal cost increase in debt usage after the financial crisis. Also, due to conservative debt usage, decrease in total benefit of debt is more than offset the increase in total cost of debt after the financial crisis. Regardless of the period, the cost of being overlevered is asymmetrically higher than the cost of being underlevered. This paper contributes to the corporate capital structure study by providing an additional evidence of implementing firm-specific marginal cost function and thereby providing framework to recommend equilibrium level of debt. The framework to estimate marginal cost function and to find out firm-specific equilibrium level of debt also can be helpful to explain Korean firms’ conservatism in debt usage after the financial crisis.

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