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  • 學位論文

股利所得稅新制對除權(息)日股價行為之影響

The Impact of New Dividend Tax on Ex-dividend Day’s Price Behavior in Taiwan Stock Market

指導教授 : 盧秋玲

摘要


本文的目的主要在探討2018年的稅制改革對台灣股市除權(息)行情之影響,整體來說,此次稅改大幅降低高稅率一般投資人的股利稅負擔,低稅率一般投資人隨著所得稅扣除額的調高,整體所得稅率也會降低,而外資股利稅負擔則些微上升。 本文先觀察整體台灣上市櫃公司在除權(息)日前後之異常報酬情形,接著探討各上市類股除權息(日)的異常報酬在稅改前後是否發生改變。另外也會對特定期間的累計異常報酬率,以及除權(息)當天的異常報酬率進行迴歸,觀察自然人持股比率、股利殖利率、外資持股比率、外資週轉率等變數對除權(息)交易日前後異常報酬之影響。 從實證結果來看,整體台灣上市櫃公司除權(息)前一日與除權(息)當日之異常報酬率,並沒有因為2018年的稅制改革而發生明顯的改變。然而,電子類股與汽車運輸類股之除權(息)當日平均異常報酬率於稅改後有明顯上升,金融類股於稅改後則有明顯下降,推測是因為電子類股與汽車運輸類股的外資持股比率較高,金融類股具備高殖利率的特性,而外資、追求股利的中低稅率投資人,對除權(息)日異常報酬之影響,於稅改後呈現一增一減的情況,可能是造成整體上市櫃公司之除權(息)日異常報酬在稅改後並沒有明顯的改變的原因。 在股利殖利率與自然人持股比率的部分,本研究與陳沛宇(2009)的實證結果相符,顯示除權(息)異常報酬率與股利殖利率、自然人持股比率的關係,並沒有因為稅制更迭而發生顯著的變化。本研究也發現外資持股比率與除權(息)交易日當天之異常報酬率為顯著負相關,推測可能原因為,外資針對原先即持有一定比率的股票,當這些股票在除權(息)交易日有顯著異常報酬時,對股價高度敏感的外資投資法人,便將這些股票在除權(息)當日賣出一部分進行獲利。本文以外資週轉率取代外資持股比,對除權(息)當日異常報酬再次進行迴歸分析,發現外資週轉率在各年度對除權(息)日異常報酬率皆為顯著負相關,實證結果符合原先假設。

並列摘要


We want to investigate the effect on Taiwan stock market’s ex-dividend day performance resulted from the tax reform in 2018. The tax reform has reduced the dividend tax burden for natural investors with all tax rates, while the tax burden on foreign investors will increase slightly. We first observe the abnormal return of Taiwan stock market before ex-dividend day and after ex-dividend day, and examines whether the phenomenon of the abnormal return has changed after the tax reform in 2018. In addition, we will observe some factors which may cause the abnormal return before ex-dividend day or after ex-dividend day. According to the empirical results, after the tax reform in 2018, Taiwan stock market’s abnormal return rates on ex-dividend day and before ex-dividend day have not changed significantly. However, the abnormal return rates of electronic stocks and transportation stocks on ex-dividend day have significantly increased, while the abnormal return rates of financial stocks have significantly decreased. This phenomenon results from electronic stocks’ and transportation stocks’ high ratio of shares owned by foreign investors, and the high dividend yield ratio of financial stocks. We also find that the ratio of shares owned by foreign investors have a significantly negative relationship with the abnormal return rates on ex-dividend day. The possible reason is that foreign investors gave held many stocks at some extent. When these stocks have abnormal return on ex-dividend day, foreign investors, who are sensitive to stock prices, will sell a portion of their stocks to gain some profits.

並列關鍵字

Tax Reform Dividend Ex-dividend Day Abnormal Return

參考文獻


李存修(1994),「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」,台大管理論叢,第五卷第一期,頁41-60。
林世銘、陳國泰、張鼎聲(2003),「兩稅合一後除權除息之租稅規避行為」,《當代會計》(第四卷第二期):119-142。
沈文成(2005),「兩稅合一前後投資人實際參與除權除息之研究」,台灣大學會計學研究所碩士論文。
陳沛宇(2008),「兩稅合一稅額扣抵比率及股東結構對除權(息)日股價行為之影響」,國立台灣大學財務金融研究所出版碩士論文。
李育齡(2017),「兩稅合一可扣抵稅額與補充健保門檻對除權(息)日股價行為之影響」,國立台灣大學財務金融研究所出版碩士論文。

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