資本利得稅之總體均衡分析

Asset Pricing Effects of Capital Gains Taxes in an Endowment Economy

楊紹銓(Shao-Chuan Yang)

指導教授 ： 毛慶生

國立臺灣大學/社會科學院/經濟學研究所/碩士(2010年)

https://doi.org/10.6342/NTU.2010.10161

摘要

資本利得稅對股票價格的影響一直是人們十分關注的議題。本文建立一個稟賦經濟模型，探討資本利得稅在不同政策方式下，對股票價格的動態影響。在我們的模擬分析中發現，資本利得稅對股票價格的效果會受到股票股利的隨機性質影響，而未預期到的資本利得稅和預先宣布的資本利得稅對股票價格影響的差異不大。

關鍵字

資本利得稅 ； 資產訂價 ； Lucas樹模型 ； 逐次逼近 ； 宣示效果

並列摘要

The effects of the capital gains tax on the stock price have been discussed for a long time. In this paper, we build up an endowment economy to investigate the dynamic effects of capital gains tax on the prices of stock under different policy environment. In our simulation, the pricing functions depend on the stochastic property of the dividend process, and the differences between the unexpected and expected policy are little.

並列關鍵字

capital gains tax ； asset pricing ； Lucas tree model ； successive approximation ； announcement effect

參考文獻

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