股票股利除權交易日之稅後超額報酬與比價心理假說之實證

After-Tax Excess Return on the Ex-Right Day of Stock Dividends and the Hypothesis of Bargain Hunting

李存修(Tsun-Siou Lee)

《臺大管理論叢》 5卷1期 (1994/02) Pp. 41-60

https://doi.org/10.6226/NTURM1994.5.1.41

摘要

股票股利若來自盈餘配股，參與除權便會增加稅負，Elton and Gruber(1970)所用來推算市場平均稅率的模式，忽略了持股一日所承擔的風險，如以之來評估股票股利的稅負效果，如陳建樺（民七十八），周賢榮與王鴻鈞（民七十九）等，則更面臨了股票股利如何衡量的問題。本研究以持股一日的操作，將風險納入考量，並避免了股票股利衡量上的困難，結果發現即使投資者已適用最高的邊際稅率，於除權前一日以收盤價買進股票，並於除權交易日以收盤價連同所配之股一併賣出，在扣除所增稅負、來回手續費及證券交易稅後，仍有超額報酬率存在。這些超額報酬率之幅度與配股率有正向關係，與除權參考價對除權前一日收盤價之比值有負向關係，支持了所謂比價心理假設之論點。

關鍵字

稅後超額報酬 ； 比價心理假說

並列摘要

Investors who receive stock dividends will find their tax burden increases as of the day of ex-right, because stock dividends are recognized as a taxable income in Taiwan. Elton and Gruber (1970) model neglects the risk of one-day holding period, and hence tends to misjudge the tax effect. Chen (1989) and Chow and Wang (1990) who apply the Elton and Gruber model to stock dividends suffer yet another drawback, that is, stock dividends can not be measured as if they were cash dividends.
This research introduces a one day holding strategy which not only takes into account the effect of one day risk, but also avoid the difficulty of measuring stock dividends. The results show that even if investors are in the highest tax bracket, buying on the day before ex-right and selling on the ex-right day, both at the closing price, will earn excess return, net of round trip transaction costs, security transaction tax and the incremental income tax. We thus conclude the existence of after-tax excess return on the ex-right day.
The magnitude of excess return is positively related to the stock dvidend rate, and is negatively related to the ratio of ex-right price to rights-on price, which support the so-called bargain hunting hypothesis proposed by Lee (1991).

並列關鍵字

after-tax excess return ； bargain hunting hypothesis