為何美國海外資產的報酬率高於外國所擁之美國資產的報酬率

長久以來美國存在一個問題，身為大量舉債的債務國，卻持續接收淨國際投資收益，而不是淨的國際投資支付。在文獻中提到美國的報酬優勢主要來自於直接投資。到目前為止，研究將這個現象歸因於下列三個假說的組合：(1)風險補償假說，即是因為美國直接投資外國的風險高於外國直接投資美國的風險，所以需要以較高的報酬補償較高的風險。(2)所得移轉假說，報酬差距是跨國企業藉由所得移轉來極小化稅務成本和極大化利潤的淨結果。(3)年齡效應假說，外國企業在美國之利潤低於美國企業在外國的利潤，因為這些外國企業相對美國企業是較新成立的，所以需要時間來讓新投入的投資產生報酬。本篇論文將上述三個假說整合入同一回歸式子中，我們發現外國公司稅對美國外人直接投資國外的報酬具有負向的影響，我們認為這個結果支持所得移轉假說。我們的結果也指出年齡效應對外國外人直接投資美國的報酬有顯著的影響。然而我們發現風險補償假說與我們的回歸結果不符，我們的結果顯示違約率對於美國直接投資外國的報酬具有負向關係，而對外國直接投資美國的報酬並不顯著。除此之外，我們的結果也顯示另外可能造成報酬差距有利於美國的兩個因素：(1)也許因為美國外人直接投資外國資歷較深，所以美國企業在外國新的投資對於報酬率有正向的關係。(2)外國經濟成長率對美國的海外投資報酬之邊際效果高於美國經濟成長率對於外國在美國的投資報酬之邊際效果；並且，平均而言，外國的經濟成長率高於美國之經濟成長率。

關鍵字

所得移轉；資產報酬率；外人直接投資；年齡效應

並列摘要

There has been questioning about why the United States, a large debtor country, has been receiving net international investment income rather than making a net international investment payment. It has been noted in the literatures that the U.S. return advantage mainly comes from the direct investment. So far, researches have attributed this phenomena to one or some combinations of three hypotheses: (1) the risk-compensating hypothesis, which asserts that U.S. direct investments abroad are riskier than foreign direct investments in the U.S. so require the higher return to compensate their higher risks; (2) the income-shifting hypothesis, which posits that the return gap is the net result of multinational companies’ shifting profits through transfer pricing to minimize their tax cost and maximize their profits ,and (3) the age-effect hypothesis, which proposes that foreign companies in the U.S. are less profitable than U.S. corporations abroad because they are relatively new established and it takes times for new investment to turn a profit. In this paper, we integrate all three hypotheses in the same regression equation. We find the foreign corporate tax rate has a negative impact on the return on U.S. FDI abroad (RUSDIA). We think this result lends support to the income-shifting hypothesis. Our results also indicate that the age-effect has a significant impact on the return on foreign FDI in the U.S. (RFDIUS). However, we find the risk premium hypothesis is inconsistent with our results, which show that the default rate has negative effect on RUSDIA and insignificant effect on RFDIUS. In addition, our results suggest that the rate of return gap favoring the United States can be attributable to two other factors: (1) perhaps due to the externality of older U.S. FDI abroad, U.S. companies abroad have “benefitted” rather than “suffered” from new investment abroad, and (2) the marginal effect of foreign economic growth on U.S. return abroad is higher than the marginal effect of US economic growth on foreign return in the U.S., and that, on average, foreign economic growth has been stronger than U.S. growth.

並列關鍵字

Age-effect ； Income-shifting ； Return on assets ； FDI

參考文獻

Bernard, Andrew B., J. Bradford Jensen, and Peter K. Schott（2006）, “Transfer Pricing by U.S.-Based Multinational Firms,” Tuck School of Business Working Paper, No. 2006-33.

Bosworth, B., Collins, S., Chodorow-Reich, G.（2007）, “Returns on FDI: Does the U.S. really do better?” Brookings Trade Forum 2007.

Curcuru, Stephanie E., Tomas Dvorak, and Francis E. Warnock（2007）, “The

Cédric Tille（2007）, “Discussion of Returns on FDI: Does the U.S. Really Do Better? By Barry Bosworth, Susan Collins and Gabriel Chodorow-Reich,” Brookings Trade Forum.

Curcuru, Stephanie E., Charles P. Thomas, and Francis E. Warnock（2011）, “Returns Differentials and the Income and Position Puzzles,” Working paper.

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為何美國海外資產的報酬率高於外國所擁之美國資產的報酬率

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