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題名 投資人情緒與現金減資--以台灣為例
Investor Sentiment and Cash Refund --The Case of Taiwan Stock Markets作者 藍寧
Lan, Ning貢獻者 周冠男
Chou, Kuan-Nan
藍寧
Lan, Ning關鍵詞 投資人情緒
可扣抵稅額
行為公司理財
Investor sentiment
Capital deducted
Cash refund日期 2021 上傳時間 10-Feb-2022 13:01:18 (UTC+8) 摘要 現金返還減資這類的財務決策近年來受到相當多企業的偏愛，但也因為減資造成股本的大幅降低與股價的劇烈波動，引起諸多學者的關注進而探討。本文試著站在投資人情緒與稅制變化可能影響行為公司理財的觀點探討這個議題。實證發現除了股票價值的低估、自由現金流、財務槓桿假說外，投資人情緒假說一樣可以用來解釋公司的現金減資決策，但台灣股票市場似乎不支持由市場調查而得的直接情緒指標，僅支持由市場交易資料衍生的間接情緒指標。另外，台灣的上市(櫃)公司可能會因為投資人的租稅壓力，在股東財富極大化下制定財務決策，尤其在現金股利與現金返還減資這部分。最後，現金宣告後的異常報酬與可扣抵稅額減半期間的投資人情緒顯著卻為負向。可能的原因是雖然投資人對現金減資的情緒高昂，但在可扣抵稅額減半期間，股東還是會傾向先將ICA帳戶的餘額先取回扣抵，若一開始公司就直接以現金返還的方式降低股本，股東可能會對未來的成長機會擔憂而傾向悲觀。整體而言，本文結合經理人與投資人的情緒探討公司財務決策的現金減資與投資人情緒是否具有關聯性，實證結果顯示投資人情緒可以幫助解釋公司的現金減資計畫及現金減資宣告後的股價變化。
In recent years, there has been a trend of corporations using capital deductions to allow cash refunds back to their shareholders. Previously, when companies deduct capital, it indicates that they have accumulated losses that they need to remedy, however, cash refunds via capital deductions are not the same.The main purpose of this study is to address the association between investor sentiment and firm’s capital decuctions to allow cash refunds. We use logistic and multiple regression models and also test cumulative abnormal returns to investigate the motivations of these actions.The empirical results show that there is a positive CAR during the narrow trading announcement window. Inspecting the motivations, our findings support the signaling, undervaluing, free cash flow and investor sentiment hypothesis. Our tests also show that Consumer Confidence Index does not correlate with cash refunds via capital deductions. The results imply that stock market variables are better than macro-economic indices as a measuring tools of investor sentiment for predicting this.In 2015, Taiwan`s imputation rate was cut from 100% to 50% and the highest tier of personal income tax rate was increased from 40% to 45%. After this tax reform, the results shows a negative significant association between investor sentiment and cumulative abnormal returns.Our findings suggest that if a company directly reduces its equity in the form of cash refunds from the beginning, shareholders may be worried about future growth opportunities and are likely to be more pessimistic.參考文獻 1.王元章、黃永成 (2013)。公司減資宣告對市場微結構之衝擊。證券市場發展季刊，25(1)，P27-65.2.王韻怡、池祥萱、周冠男 (2016)。行為財務學文獻回顧與展望: 台灣市場之研究。經濟論文叢刊, 44(1), P1-55.3.沈中華、李建然 (2000)。事件研究法：財務與會計實證研究必備。華泰文化事業公司。4.李德冠、黃雅婷、黃朝信、陳計良 (2019)。 股東可扣抵稅額減半規定對公司現金股利政策之影響: 從所有權結構來探討。中原企管評論, 17(2), P43-71.5.吳美倫、黃馨誼 (2011)。企業減資對股價影響之研究。東吳大學第14屆科技整合管理研討會論文集。P376-388.6.周賓凰、池祥萱、周冠男、龔怡霖 (2019)。 行為財務學: 文獻回顧與展望。證券市場發展季刊: 行為財務學特別專刊, P1-48.7.周賓凰、張宇志、林美珍 (2019)。投資人情緒與股票報酬互動關係。 證券市場發展季刊，行為財務學特別專刊，P153-190.8.林有志、陳筱平 (2011)。 現金減資之宣告效果。當代會計, 12(1), P31-56.9.林嬌能、何秉彥 (2019)。租稅改革對公司股利發放政策之影響。會計與公司治理, 14(2), P29-62.10.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。 Journal of Contemporary Accounting, 4(2), P119-142.11.黃劭彥、林琦珍、黃怡倫 (2012)。我國實施減資之上市櫃公司其公司治理對公司績效之影響。台灣管理學刊, 12(2),P227-250.12.曹壽民、李科翰、吳郁聆 (2019)。投資人情緒與月盈餘揭露之關聯性。 會計學報, 8(1),P1-33.13.羅時萬、孫克難 (2015)。公司有效稅率對盈餘分配的影響－臺灣之實證研究。財稅研究,44卷1期，P53-80.14.蔡佩蓉、王元章、張眾卓 (2009)。投資人情緒、公司特徵與台灣股票報酬之研究。經濟研究，45卷2期，P273 -322.15.陳羽莉 (2021)。 投資人意見分歧與股票回購--以台灣為例。淡江大學財務金融學系博士論文。16.劉清標、林筱鳳、陳宏榮 (2017)。股價報酬與投資人情緒之預測。 財金論文叢刊, (26), P1-18.17.Allen, F., Bernardo, A. E., & Welch, I. (2000). A theory of dividends based on tax clienteles. The journal of finance, 55(6), 2499-2536.18.Barber, B. M., & Lyon, J. D. (1997). Detecting long-run abnormal stock returns: The empirical power and specification of test statistics. Journal of financial economics, 43(3), 341-372.19.Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The journal of Finance, 61(4), 1645-1680.20.Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49, 307-343.21.Brown, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of empirical finance, 11(1), 1-27.22.Chau, F., Deesomsak, R., & Koutmos, D. (2016). Does investor sentiment really matter?. International Review of Financial Analysis, 48, 221-232.23.Chordia, T., & Swaminathan, B. (2000). Trading Volume and Cross‐Autocorrelations in Stock Returns. The Journal of Finance, 55(2), 913-935.24.De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of political Economy, 98(4), 703-738.25.Dittmar, A. K. (2000). Why Do Firms Repurchase Stock. The Journal of Business, 73(3), 331-355.26.Grullon, G., & Michaely, R. (2004). The Information Content of Share Repurchase Programs. The Journal of Finance, 59(2), 651-680.27.Han, X., & Li, Y. (2017). Can investor sentiment be a momentum time-series predictor? Evidence from China. Journal of Empirical Finance, 42, 212-239.28.Harris, M., & Raviv, A. (1993). Differences of Opinion Make a Horse Race. The Review of Financial Studies, 6(3), 473-506.29.Hirshleifer, D., & Teoh, S. H. (2003). Limited Attention, Information Disclosure, and Financial Reporting. Journal of accounting and economics, 36(1-3), 337-386.30.Holthausen, R. W., & Verrecchia, R. E. (1990). The Effect of Informedness and Consensus on Price and Volume Behavior. Accounting Review, 191-208.31.Hong, H., & Stein, J. C. (2007). Disagreement and the Stock Market. Journal of Economic perspectives, 21(2), 109-128.32.Jensen, M. C. (1986). Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers. The American economic review, 76(2), 323-329.33.Kahneman, D., & Tversky, A. (1979). On the interpretation of intuitive probability: A reply to Jonathan Cohen. 描述 碩士
國立政治大學
經營管理碩士學程(EMBA)
109932114資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109932114 資料類型 thesis dc.contributor.advisor 周冠男 zh_TW dc.contributor.advisor Chou, Kuan-Nan en_US dc.contributor.author (Authors) 藍寧 zh_TW dc.contributor.author (Authors) Lan, Ning en_US dc.creator (作者) 藍寧 zh_TW dc.creator (作者) Lan, Ning en_US dc.date (日期) 2021 en_US dc.date.accessioned 10-Feb-2022 13:01:18 (UTC+8) - dc.date.available 10-Feb-2022 13:01:18 (UTC+8) - dc.date.issued (上傳時間) 10-Feb-2022 13:01:18 (UTC+8) - dc.identifier (Other Identifiers) G0109932114 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/138917 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經營管理碩士學程(EMBA) zh_TW dc.description (描述) 109932114 zh_TW dc.description.abstract (摘要) 現金返還減資這類的財務決策近年來受到相當多企業的偏愛，但也因為減資造成股本的大幅降低與股價的劇烈波動，引起諸多學者的關注進而探討。本文試著站在投資人情緒與稅制變化可能影響行為公司理財的觀點探討這個議題。實證發現除了股票價值的低估、自由現金流、財務槓桿假說外，投資人情緒假說一樣可以用來解釋公司的現金減資決策，但台灣股票市場似乎不支持由市場調查而得的直接情緒指標，僅支持由市場交易資料衍生的間接情緒指標。另外，台灣的上市(櫃)公司可能會因為投資人的租稅壓力，在股東財富極大化下制定財務決策，尤其在現金股利與現金返還減資這部分。最後，現金宣告後的異常報酬與可扣抵稅額減半期間的投資人情緒顯著卻為負向。可能的原因是雖然投資人對現金減資的情緒高昂，但在可扣抵稅額減半期間，股東還是會傾向先將ICA帳戶的餘額先取回扣抵，若一開始公司就直接以現金返還的方式降低股本，股東可能會對未來的成長機會擔憂而傾向悲觀。整體而言，本文結合經理人與投資人的情緒探討公司財務決策的現金減資與投資人情緒是否具有關聯性，實證結果顯示投資人情緒可以幫助解釋公司的現金減資計畫及現金減資宣告後的股價變化。 zh_TW dc.description.abstract (摘要) In recent years, there has been a trend of corporations using capital deductions to allow cash refunds back to their shareholders. Previously, when companies deduct capital, it indicates that they have accumulated losses that they need to remedy, however, cash refunds via capital deductions are not the same.The main purpose of this study is to address the association between investor sentiment and firm’s capital decuctions to allow cash refunds. We use logistic and multiple regression models and also test cumulative abnormal returns to investigate the motivations of these actions.The empirical results show that there is a positive CAR during the narrow trading announcement window. Inspecting the motivations, our findings support the signaling, undervaluing, free cash flow and investor sentiment hypothesis. Our tests also show that Consumer Confidence Index does not correlate with cash refunds via capital deductions. The results imply that stock market variables are better than macro-economic indices as a measuring tools of investor sentiment for predicting this.In 2015, Taiwan`s imputation rate was cut from 100% to 50% and the highest tier of personal income tax rate was increased from 40% to 45%. After this tax reform, the results shows a negative significant association between investor sentiment and cumulative abnormal returns.Our findings suggest that if a company directly reduces its equity in the form of cash refunds from the beginning, shareholders may be worried about future growth opportunities and are likely to be more pessimistic. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景與動機 1第二節 研究目的 6第三節 研究流程 10第四節 研究架構 11第二章 文獻回顧 12第一節 投資人情緒理論 12第二節 現金減資的動機 14第三節 兩稅合一稅制的演進 18第四節 投資人情緒代理變數 20第三章 資料來源及研究方法 23第一節 研究設計與假說 25第二節 建立現金減資事件樣本 26第三節 研究方法 30第四章 實證結果與分析 34第一節 樣本資料數據 34第二節 現金減資的決定因子 39第五章 結論 44參考文獻： 46 zh_TW dc.format.extent 1454642 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109932114 en_US dc.subject (關鍵詞) 投資人情緒 zh_TW dc.subject (關鍵詞) 可扣抵稅額 zh_TW dc.subject (關鍵詞) 行為公司理財 zh_TW dc.subject (關鍵詞) Investor sentiment en_US dc.subject (關鍵詞) Capital deducted en_US dc.subject (關鍵詞) Cash refund en_US dc.title (題名) 投資人情緒與現金減資--以台灣為例 zh_TW dc.title (題名) Investor Sentiment and Cash Refund --The Case of Taiwan Stock Markets en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1.王元章、黃永成 (2013)。公司減資宣告對市場微結構之衝擊。證券市場發展季刊，25(1)，P27-65.2.王韻怡、池祥萱、周冠男 (2016)。行為財務學文獻回顧與展望: 台灣市場之研究。經濟論文叢刊, 44(1), P1-55.3.沈中華、李建然 (2000)。事件研究法：財務與會計實證研究必備。華泰文化事業公司。4.李德冠、黃雅婷、黃朝信、陳計良 (2019)。 股東可扣抵稅額減半規定對公司現金股利政策之影響: 從所有權結構來探討。中原企管評論, 17(2), P43-71.5.吳美倫、黃馨誼 (2011)。企業減資對股價影響之研究。東吳大學第14屆科技整合管理研討會論文集。P376-388.6.周賓凰、池祥萱、周冠男、龔怡霖 (2019)。 行為財務學: 文獻回顧與展望。證券市場發展季刊: 行為財務學特別專刊, P1-48.7.周賓凰、張宇志、林美珍 (2019)。投資人情緒與股票報酬互動關係。 證券市場發展季刊，行為財務學特別專刊，P153-190.8.林有志、陳筱平 (2011)。 現金減資之宣告效果。當代會計, 12(1), P31-56.9.林嬌能、何秉彥 (2019)。租稅改革對公司股利發放政策之影響。會計與公司治理, 14(2), P29-62.10.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。 Journal of Contemporary Accounting, 4(2), P119-142.11.黃劭彥、林琦珍、黃怡倫 (2012)。我國實施減資之上市櫃公司其公司治理對公司績效之影響。台灣管理學刊, 12(2),P227-250.12.曹壽民、李科翰、吳郁聆 (2019)。投資人情緒與月盈餘揭露之關聯性。 會計學報, 8(1),P1-33.13.羅時萬、孫克難 (2015)。公司有效稅率對盈餘分配的影響－臺灣之實證研究。財稅研究,44卷1期，P53-80.14.蔡佩蓉、王元章、張眾卓 (2009)。投資人情緒、公司特徵與台灣股票報酬之研究。經濟研究，45卷2期，P273 -322.15.陳羽莉 (2021)。 投資人意見分歧與股票回購--以台灣為例。淡江大學財務金融學系博士論文。16.劉清標、林筱鳳、陳宏榮 (2017)。股價報酬與投資人情緒之預測。 財金論文叢刊, (26), P1-18.17.Allen, F., Bernardo, A. E., & Welch, I. (2000). A theory of dividends based on tax clienteles. The journal of finance, 55(6), 2499-2536.18.Barber, B. M., & Lyon, J. D. (1997). Detecting long-run abnormal stock returns: The empirical power and specification of test statistics. Journal of financial economics, 43(3), 341-372.19.Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The journal of Finance, 61(4), 1645-1680.20.Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49, 307-343.21.Brown, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of empirical finance, 11(1), 1-27.22.Chau, F., Deesomsak, R., & Koutmos, D. (2016). Does investor sentiment really matter?. International Review of Financial Analysis, 48, 221-232.23.Chordia, T., & Swaminathan, B. (2000). Trading Volume and Cross‐Autocorrelations in Stock Returns. The Journal of Finance, 55(2), 913-935.24.De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of political Economy, 98(4), 703-738.25.Dittmar, A. K. (2000). Why Do Firms Repurchase Stock. The Journal of Business, 73(3), 331-355.26.Grullon, G., & Michaely, R. (2004). The Information Content of Share Repurchase Programs. The Journal of Finance, 59(2), 651-680.27.Han, X., & Li, Y. (2017). Can investor sentiment be a momentum time-series predictor? Evidence from China. Journal of Empirical Finance, 42, 212-239.28.Harris, M., & Raviv, A. (1993). Differences of Opinion Make a Horse Race. The Review of Financial Studies, 6(3), 473-506.29.Hirshleifer, D., & Teoh, S. H. (2003). Limited Attention, Information Disclosure, and Financial Reporting. Journal of accounting and economics, 36(1-3), 337-386.30.Holthausen, R. W., & Verrecchia, R. E. (1990). The Effect of Informedness and Consensus on Price and Volume Behavior. Accounting Review, 191-208.31.Hong, H., & Stein, J. C. (2007). Disagreement and the Stock Market. Journal of Economic perspectives, 21(2), 109-128.32.Jensen, M. C. (1986). Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers. The American economic review, 76(2), 323-329.33.Kahneman, D., & Tversky, A. (1979). On the interpretation of intuitive probability: A reply to Jonathan Cohen. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202200030 en_US
