1998年稅制改革對除息日前後之股價、成交量和交易行為之影響：以台灣市場為例_

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題名：	1998年稅制改革對除息日前後之股價、成交量和交易行為之影響：以台灣市場為例
作者：	李慶華
作者(外文)：	Ching-Hwa Lee
校院名稱：	國立中正大學
系所名稱：	企業管理研究所
指導教授：	鎮明常
學位類別：	博士
出版日期：	2014
主題關鍵詞：	兩稅合一制；股利殖利率；抵減稅額；除息日的異常報酬率；除息日前一天的異常報酬率；除息日；融資交易者；融券交易者；Dividend Imputation Tax System；Dividend Yields；Credit；Ex-Day Abnormal Return；The Last Cum-Day Abnormal Return；Ex-Dividend Day；Margin Traders；Short Sellers
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:0 共同引用:0 點閱:13

本研究檢驗台灣在1998年稅制改革實施兩稅合一制後，股票市場的反應。「稅賦效果」假說提出除息日的異常報酬率和股利殖利率是呈正相關的，而「顧客效果」假說則提出稅率較低的投資人傾向持有股利殖利率高的股票，反之亦然。本研究延用Whitworth and Rao (2010) 的方法，建立台灣除息日報酬率模型。實證發現，除息日的異常報酬率是股利殖利率的一個下凹函數。意即「顧客效果」的存在會削弱除息日報酬率和股利殖利率的正相關強度，甚至，如果「顧客效果」的強度大過「稅賦效果」的強度，我們會得到除息日報酬率和股利殖利率是呈負相關的。本研究也發現稅額扣抵比率和除息日前一天的異常報酬率呈正相關，但是和除息日的異常報酬率呈負相關，意指除息日前後有「抵減稅額驅動交易」的現象。此外，本研究檢驗除息日前後的「買賣單不平衡」，實證顯示，除息日前後的交易活動並不完全和投資人的稅負高低有關。融資交易者和融券交易者會在除息日前後進行套利活動，意即融資交易者傾向於除息日前賣出之前融資買進且異常報酬率較高的股票，而融券交易者傾向於除息日融券賣出異常報酬率較高的股票。另外，本研究發現非系統風險和交易成本會降低除息日前後的交易活動。

以文找文

This study examines the market reaction to the tax reform in Taiwan, where a dividend imputation tax system was introduced in 1998. The ‘tax effect’ hypothesis implies that ex-day abnormal returns are positively related to dividend yields, while ‘clientele effect’ hypothesis implies that high-yield (low-yield) stocks are held by low bracket (high bracket) shareholders. This study follows Whitworth and Rao (2010) approach to build an ex-day-return model. The empirical results show that the ex-day abnormal return is a concave downward function of the dividend yield. It means that the existence of the clientele effect will weaken the strength of the positive relationship between ex-day returns and dividend yields. Furthermore, if the clientele effect surpasses the tax effect, we will observe that ex-day returns decrease with dividend yields. It is also found that credit ratios are positively related to the last cum-day abnormal returns and negatively related to ex-day abnormal returns, indicating that there is credit-motivated trading around the ex-days. In addition, this study investigates buy-sell imbalances around the ex-dividend day, and the empirical results show that trading activities are not entirely correlated with investor tax status. Margin traders and short sellers engage in arbitrage by selling more stocks for those with high abnormal returns cum- and ex-dividend, respectively. Additionally, Risk and transaction costs deter traders from trading around the ex-dividend day.

以文找文

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