兩稅合一與上市櫃公司跌價股利比之相關性研究

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题名:	兩稅合一與上市櫃公司跌價股利比之相關性研究 Effect of Income Tax Integration on Drop-off Ratio Changes: A Study on Taiwan's Listed Corporations
作者:	翁偉銜
贡献者:	會計學系
关键词:	稅額扣抵比率跌價股利比租稅效應假說
日期:	2014
上传时间:	2014-09-26 13:24:56 (UTC+8)
摘要:	跌價股利比(drop-off ratio)是股票除息前一日收盤價與除息日收盤價之差額，與股利之比率。此比率檢驗股票因除息而跌價的部分，於除息後之回升程度。Modigliani and Miller (1958)的股利無關理論 (dividend irrelevance theory)提到，股利政策不會對企業價值產生任何影響，亦即公司將盈餘分配予股東後，整體價值應維持不變，即跌價股利比應為1。但在各國的實證研究中，卻有發現股票除息後的跌價幅度小於股利的現象。學者解釋這種現象提出的原因，分別有：因個人所得稅稅率與資本利得稅率不一致而影響投資人決策的租稅效應假說(tax effect hypothesis)，因交易成本造成之短期交易假說(short-term trading hypothesis)，及因升降區間程度不同所產生之市價離散假說(price-discreteness hypothesis)。我國營所稅於2010年調降為17%，連帶使得稅額扣抵比率上限下降。在租稅效應假說下，我國公司股票跌價股利比對營所稅率調降後的反應，以及稅額扣抵比率是否會對跌價股利比產生影響，是本文的研究主題。實證結果顯示，跌價股利比與稅額扣抵比率呈顯著正相關，部分支持租稅效應假說。 In 1958, Modigliani and Miller propose the dividend irrelevance theory and in-dicate that dividend policy has not influence on valuation of firm. In other words, the drop-off ratio is one after company distributes earnings to shareholders. However, some researchers indicate the situation stock price drop-off in ex-day under the divi-dend is possible. Namely, the drop-off ratio is smaller than one. There some hypoth-esis can be applied, such as the tax effect hypothesis, the short-term trading hypothe-sis or the price-discreteness hypothesis. In 2012, Francis et al. discuss the variation of drop-off ratio after the Imputation System is implemented. This reference concludes the tax effect hypothesis is suitable in Taiwan. Based on the Imputation System, we can infer that effective tax rate of individual income tax decreases as tax creditable ration increases, and the drop-off ratio increases with tax creditable ration. In 2012, the reference indicates that business income tax reduced is positive effect on company. This effect bring positive abnormal returns for company. So, we can infer that abnormal returns increases with business income tax rate, and drop-off ratio de-creases as business income tax rate increases. At the beginning, we combine tax creditable ration and the modeling from the reference by Francis et al. in 2012. Se-cond, to discuss the drop-off ratio has effect on the variation of business income tax. According to results, drop-off ratio and tax creditable ration are significantly positive correlation; drop-off ratio and business income tax rate are independent.
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