殖利率與扣抵比率對除息前股價影響及交易策略研究

The effect of current yield and tax-deductible ratio on abnormal return based on ex-dividend day and Related Trading Strategies.

陳靖平(Ching-Ping Chen)

指導教授 ： 林建甫

國立臺灣大學/社會科學院/經濟學研究所/碩士(2009年)

https://doi.org/10.6342/NTU.2009.10016

摘要

本研究之目的在探討殖利率與扣抵比率之差異如何影響股價之異常報酬，再進一步推論出實際可行之交易策略。我國自民國八十七年實施二稅合一制度，當投資人獲得股利後，亦獲得可扣抵稅額；在股利政策方面，民國九十年前多為發放股票股利，近年來公司發放現金股利有相對增加之趨勢，因此，本研究運用事件研究法，以除權息日作為事件日，探討殖利率及扣抵比率高低與累積異常報酬率的關係，研究顯示皆與累積異常報酬率呈現正向關係。

本文將殖利率區分為6組，分別為0%~2%、2%~4%、4%~6%、6%~8%、8%~10%、10%以上；將扣抵比率區分為五組，分別為0%、0%~10%、10%~20%、20%~30%、30%以上。實證結果發現，當選取除息基準日前十五內高殖率（4%）與高扣抵比率（20%）的股票，會產生較大的資本利得，進而誘使投資人在交易市場中進行交易。

關鍵字

殖利率 ； 扣抵比率 ； 累積異常報酬率 ； 除權息 ； 事件研究法 ； 二稅合一

並列摘要

This research aims to investigate current yield and tax-deductible ratio that how to effect trading strategy. Taiwan has implemented the integration system of corporate and individual income taxes since1998. As investors received dividends, the investors also obtain shareholder tax-deductible amount. In the area of dividend policy, most of the companies often pay cash dividend instead of stock dividend, which used to pay prior to 2001. This study employs event study method and is based on ex-dividend day as the event day to investigate the relationship between current Yield and tax-deductible ratio and cumulative abnormal return. This research finds that the current yield and the tax-deductible ratio are positively associated with the cumulative abnormal return.

This study distinguish current yield into six forms, 0%~2%、2%~4%、4%~6%、6%~8%、8%~10%、above 10%. Our study also distinguish tax-deductible ratio into five forms, 0%、0%~10%、10%~20%、20%~30%、above 30%. The study concluded the following result: while considering the height current yield(4%) and tax-deductible ratio(20%) before 15 days of ex-dividend day, it will produce more capital profit, then lure investors to trade in the trade market.

並列關鍵字

current yield ； tax-deductible ratio ； cumulative abnormal return ； ex-dividend ； event study ； the integration of corporate and individual income taxes

參考文獻

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