企业避税行为与投资者系统风险估算  

Corporate Tax Avoidance Behavior and Investors' Systematic Risk Assessment

作　　者：陈作华[1] 方红星[2] CHEN Zuohna FANG Hongxing(School of Accounting, Shandong University of Finance and Economics, Jinan 250014, China School of Accounting, Dongbei University of Finance and Economics, Dalian 116025, China)

机构地区：[1]山东财经大学会计学院,济南250014 [2]东北财经大学会计学院,辽宁大连116025

出　　处：《管理科学》2016年第5期134-146,共13页Journal of Management Science

基　　金：教育部人文社会科学重点研究基地重大项目(2009JJD790005)

摘　　要：企业避税行为经济后果一直是学术界和实务界共同关注的焦点话题。围绕企业避税行为经济后果的研究结论也不尽相同,基于温和避税行为视角的研究认为企业避税程度的增强有助于提升企业价值,而基于激进避税行为视角的研究认为企业避税程度的上升会破坏企业价值。由于企业避税程度强弱可能会带来不同的经济后果,基于系统风险视角和企业避税行为整体性层面,探讨避税行为对投资者系统风险估算的影响以及二者之间是否存在曲线关系具有重要意义。企业避税程度强弱导致投资者系统风险估算存在差异。选取2008年至2014年沪深两市上市公司为样本,基于单因素模型和去杠杆贝塔模型计量系统风险;采用会计实际税率及其变体度量企业避税程度的方法,基于公司系统风险视角,采用普通最小二乘法多元回归方法实证检验企业避税行为与投资者系统风险估算的内在联系。研究结果表明,企业避税程度与系统风险的平方项显著正相关,在控制可能的自选择偏误后结论不变。对温和避税的企业,随着避税程度的增强,公司系统风险显著下降;对激进避税的企业,伴随避税程度的增强,公司系统风险显著上升。因而,企业避税行为与系统风险呈U形曲线关系。企业避税程度不同对投资者风险估算带来不同的影响,市场上投资者将降低选择温和避税企业的系统风险,而提高选择激进避税企业的系统风险。基于企业避税行为和投资者系统风险估算的研究结果表明,投资者和监管者应一分为二地看待企业避税行为。一方面,监管者应当鼓励企业采用合法手段适度避税,允许企业和投资者享受适度避税带来的好处;另一方面,应加大对企业激进避税行为的监管力度,防止激进避税行为对政府、企业和投资者带来负面影响。研究结论从系统风险这一视角,明晰了企业避税行为�The economic consequences of corporate tax avoidance have always been the focus of academia and practical circles. Research conclusions of economic consequences of corporate tax avoidance can differ to some degrees from different research perspectives. The research based on mild tax avoidance predicts that increase of tax avoidance can help raise firm value. However, the research based on aggressive tax avoidance predicts increase of aggressive tax avoidance can decrease firm value. Because different degree of tax avoidance has different economic consequences, especially from the perspective of corporate systematic risk and the overall level of corporate tax avoidance, it is significant to explore the effects of corporate tax avoidance on investors＇ systematic risk assessment and whether there is a curve relationship between them. Different degree of tax avoidance will lead to different systematic risk assessment for investors. Taking companies listed on Shanghai and Shenzhen main board from 2008 to 2014 as samples, using single-factor model and de-leverage Beta model to measure systematic risk and using accounting effective tax rate and its variant to measure tax avoidance, this paper studies how corporate tax avoidance impacts investors＇ risk assessment from the perspective of corporate systematic risk by multivariate regression method of OLS. This paper finds corporate tax avoidance positively correlates with the square of systematic risk. The positive correlation relationship is still significant after controlling the bias of self-selection. In this regard, when companies choose mild tax avoidance, along with the increasing of tax avoidance, corporate systematic risk reduce significantly. When firms choose aggressive tax avoidance, along with the increasing of tax avoidance, corporate systematic risk increases remarkably. The results show that the difference of corporate tax avoidance will bring different effects on investors＇ systematic risk assessment. The investors will cut the systematic risk of f

关 键 词：企业避税 激进避税 温和避税 投资者系统风险估算 系统风险 

分 类 号：F275[经济管理—企业管理]