復徵證所稅事件對於高股息成份股股價之影響

THE EFFECT OF CAPITAL GAINS TAX RECOVERY ON HIGH DIVIDEND STOCK

陳金鐘(CHEN, CHIN-CHUNG)

指導教授 ： 林泉源

共同指導教授 ： 林烱垚

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2013年)

摘要

本研究採用事件研究法，以2012 年復徵證券交易所得稅決策過程中所
發生一連串事件，探討各事件資訊揭露對於高股息成份股短期股價所造成
的影響，分析此類型股票在面對特定事件時股價的反應情形，期望為投資
人行為提出一個合理的解釋。
實證結果發現：在復徵證券交易所得稅的負面效應下，更換財政部長
及通過證所稅立法的宣告對於高股息成份股沒有明顯的異常報酬，而財政
部宣告證所稅2013 年如期上路則具有明顯的負向累積平均異常報酬，主要
端視事件的特性不同來解讀，而以不同統計工具實證結果一致。

關鍵字

證券交易所得稅 ； 事件研究法 ； 異常報酬

並列摘要

Basing on the series events during the decision process of capital gains tax recovery in
2012, use event study analysis to examine the influence of exposing these events on
short-term share price of high dividend constituent stocks, analyze the share price reaction of
this kind stock when some specific events happens, and expect to offer a reasonable
explanation for investors.
The empirical results show that in the negative effect of capital gains tax recovery, the
announcement of replacing finance minister and passed capital gains tax bill do not have
obviously abnormal returns, but the announcement of capital gains tax will assured be
implemented in 2013 by finance ministry have remarkable negative accumulation average
abnormal returns. It depends on the characteristics of events to interpret, and the results by
using different statistics methods are the same.

並列關鍵字

Capital Gains Tax ； Event Study ； Abnormal Return

參考文獻

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