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Microsoft Word Paper1 2 3 2 The Impact of Deferred Taxes on Firm Value Three Empirical Studies on the Cash Flow and Value Relevance of Deferred Taxes and Related Disclosures Inauguraldissertation zur[.]
The Impact of Deferred Taxes on Firm Value Three Empirical Studies on the Cash Flow and Value Relevance of Deferred Taxes and Related Disclosures Inauguraldissertation zur Erlangung des Doktorgrades der Wirtschafts- und Sozialwissenschaftlichen Fakultät der Universität zu Köln 2011 vorgelegt von Dipl.-Volksw Astrid K Chludek aus Aachen Referent: Prof Dr Norbert Herzig Coreferent: Prof Dr Christoph Kuhner Day of Promotion: November 09, 2011 The Impact of Deferred Taxes on Firm Value Three Empirical Studies on the Cash Flow and Value Relevance of Deferred Taxes and Related Disclosures Astrid K Chludek Cologne Graduate School in Management, Economics and Social Sciences University of Cologne August 2011 Contents Introduction 1 Purpose of this dissertation 2 Motivation, Research Questions, Main Findings, and Contribution Chapter I – Accounting for Deferred Taxes 17 Accounting for Deferred Taxes under IFRS/IAS (IAS 12) 18 Accounting for Deferred Taxes under US GAAP (ASC 74010, formerly SFAS No 109) 22 Single-Step Approach versus Two-Step Approach of Deferred Tax Asset Recognition 24 Chapter II – Perceived versus Actual Cash Flow Implications of Deferred Taxes – An Analysis of Value Relevance and Reversal under IFRS 31 Introduction 33 The Value Relevance of Deferred Taxes: Theories and Literature Review 36 Value Relevance Analysis 3.1 Regression Model and Estimation Method 3.2 Data and Sample Selection 3.3 Empirical Results 39 39 41 44 Reversal Analysis 51 Robustness Tests and Supplemental Analysis 57 Conclusion 61 Appendix A – Feltham-Ohlson Firm Valuation Model Appendix B – Deferred Tax Components Chapter III – On the Relation of Deferred Taxes and Tax Cash Flow 62 63 65 Introduction 66 Motivation and Literature Review 69 Regression Model and Estimation Methods 72 i 3.1 Models 3.2 Estimation Methods 72 77 Empirical Evidence 4.1 Data and Sample Selection 4.2 Descriptive Statistics 4.3 Regression Results 4.3.1 Regression Results – Pooled Sample 4.3.2 Regression Results – By Industry 4.3.3 Regression Results – By Firm 79 79 81 85 85 91 93 Forecast Analysis 95 Robustness Tests and Supplemental Analysis 99 Conclusion 105 Chapter IV – The Impact of Corporate Governance on Accounting Choice – The Case of Deferred Tax Accounting under IFRS 107 Introduction 108 Motivation, Model, and Hypotheses 110 Data and Sample 118 Analysis of Disclosure 122 Analysis of Determinants of Deferred Tax Assets for Tax Loss Carryforwards 5.1 Empirical Results 5.2 Sensitivity Analysis 5.2.1 Dependent Variable 5.2.2 Endogeneity 127 127 130 130 131 Summary and Conclusion 134 References 157 Acknowledgements 143 ii Tables Chapter I Table I.1 – Scenarios and Table I.2 – Scenarios 3, 4, and Table I.3 – Inter-Temporal 26 29 30 Chapter II Table II.1 – Variable Definitions Table II.2 – Sample Selection Table II.3 – Industry Composition Table II.4 – Descriptive Statistics Table II.5 – Pearson Correlation Coeffcients Table II.6 – Value Relevance Analysis Table II.7 – Value Relevance Analysis – Reversal Table II.8 – Profit versus Loss Observations 40 42 43 44 46 47 56 59 Chapter III Table III.1 – Variable Definitions Table III.2 – Sample Table III.3 – Descriptive Statistics Table III.4 – Regression Results – Basic Model Table III.5 – Regression Results – Extended Model Table III.6 – Regression Results – By Industry Table III.7 – Sector Distribution of Significant Deferred Tax Coefficients of Firm-Specific Regressions Table III.8 – Forecast Analysis Table III.9 – CASH ETR 74 80 82 86 88 92 93 96 102 Chapter IV Table IV.1 – Variable Definitions Table IV.2 – Descriptive Statistics Table IV.3 – Determinants of Disclosure Table IV.4 – Determinants of Deferred Tax Assets for Tax Loss Carryforwards Table IV.5 – Sensitivity Analysis 112 119 125 128 132 iii Figures Chapter II Figure II.1 – Deferred Taxes to Total Assets by Industry Figure II.2 – Annual Changes Figure II.3 – Medium-Term Development Appendix B – Deferred Tax Components 45 52 53 63 Chapter III Figure III.1 – Average Deferred Taxes relative to Total Assets by Sector Figure III.2 – Annual Changes in Deferred Taxes iv 83 84 ... Disclosure 122 Analysis of Determinants of Deferred Tax Assets for Tax Loss Carryforwards 5.1 Empirical Results 5 .2 Sensitivity Analysis 5 .2. 1 Dependent Variable 5 .2. 2 Endogeneity 127 127 130 130 131 ... Selection 4 .2 Descriptive Statistics 4 .3 Regression Results 4 .3. 1 Regression Results – Pooled Sample 4 .3 .2 Regression Results – By Industry 4 .3. 3 Regression Results – By Firm 79 79 81 85 85 91 93 Forecast... 31 Introduction 33 The Value Relevance of Deferred Taxes: Theories and Literature Review 36 Value Relevance Analysis 3. 1 Regression Model and Estimation Method 3 .2 Data and Sample Selection 3. 3