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題名 臺灣地區上市股票填息現象之研究--租稅效應與顧客效應之實證 作者 陳怡文 貢獻者 林炯垚
陳怡文日期 1990
1989上傳時間 3-May-2016 14:06:46 (UTC+8) 摘要 論文提要內容:本研究基本上是以除息日股價的變動，從事台灣地區上市股票填息現象之研究，並對學理上所謂之租稅效應(Tax Effect)與顧客效應(Clientele Effect)假說作一驗證。除息樣本取自民國七十二年之七十七年間在台灣正卷交易所掛牌交易之股票，經篩選後共得326個可用樣本點。在研究方法上，本研究採用了除息日股價降幅與股利比，及超額報酬等兩種統計量。首先測試除息日之填息現象是否顯著；其次再擴大至除息期間(除息前5天~除息後5天)之超額報酬研究，視其是否支持租稅效應假說；最後再對租稅所引起之顧客效應做檢定。實證結果發現:1. 除息日當天確實有顯著之填息現象存在:平均股價降幅為股利金額的58.77%，而平均超額報酬則在千分之八左右。2. 填息現象可為租稅效應所解釋:觀察除息期間之超額報酬，我們發現僅除息日有顯著超額報酬，其他各日則無。此結果支持租稅效應假說，並使吾人得以確信主宰除息日之股價行為者，為有避稅傾向之投資人；其操作型態為除息前賣出，待除息日當天再買進。3. 由租稅所引起之顧客效應在台灣股票市場上並不成立:以股利報酬率(或股利金額)將樣本分群後，發現除息日股價降幅與股利比、及超額報酬等統計量與股利報酬率(或股利金額)並無顯著的相關性存在。總結上述三點，就股利與股價之關係而言，本研究支持股利與股價有關的說法。亦即，股利將因其所帶給投資人的稅負，而對除息日股價產生某種程度的影響。 參考文獻 參考文獻一、英文部分Barclay, M. J. (l987) "Dividends, Taxes, and Common Stock Prices: the Ex-Dividend Day Behavior of Common stock Prices Before the Income Tax," Journal of Financial Economics 19, 31-44.Booth, L. D. and Johnston, D. J. (l984) "The Ex-Dividend Day Behavior of Canadian stock Prices: Tax Changes and Clientele Effects," Journal of Finance 39,457-476.Brennan, M. J ., (l970) "Taxes, Market Valuation and Corporation Financial Policy," National Tax Journal 23,417-427.Brown, S. J. and Warner, J. B. (1980) "Measuring Security Price Performance," Journal of Financial Economics 8, 205-258.Brown, S. J. and Warner, J. B. (1985) "Using Daily stock Returns: the Case of Event Studies," Journal of Financial Economics 14, 3-31.Campell, J. A. and Beranek, W. (1955) "Stock Price Behavior on Ex-Dividend Dates," Journal of Fianace 10, 425-429.Copeland , T . E, and Weston , J. F. ( 1982): Financial Theory and Corporate Policy. Second ed., Addison -Wesley, Reading, Massachusetts.Durand, D. and May, A. M. (1960) "The Ex-Dividend Behavio of American Telephone and Telegraph stock," Journal of Finance 15, 19-31.Eades, K. M., Hess, P. J. and Kim, E. H. (1984) "On Inter -preting Security Return During the Ex-Dividend Period," Journal of Financial Economics 13, 3-34 .Elton, E. J. and Gruber, M. J. (1970) "Marginal Stockholde Tax Rates and Clientele Effect," Review of Economics and Statistics 52, 68-74.Elton, E. J., Gruber, M. J. and Rentzler J. (1984) " The Ex-Dividend Day Behavior of Stock Prices; A Re-examination of the Clientele Effect: A Comment,"Journal of Finance 39, 551-556.Gordon, R. H. and Bradford, D. F. (1980) "Taxation and the Stock Market Valuation of Capital Gains and Dividends: Theory and Empirical Results," Journal of Public Economics 14, 109-136.Grinblatt, M. S., Masulis, R. W. and Titman, S. (1984)"The Valuation Effects of Stock Splits and Stock Dividends," Journal of Financial Economics 13,461-490.Heath, D. C. and Jarrow, R. A. (1988) "Ex-Dividend Stock Price Behavior and Arbitrage Opportunities,"Journal of Business 61, 95-108.Hess, P. J. (1982) "The Ex-Dividend Day Behavior of Stock Returns: Further Evidence on Tax Effects," Journal of Finance 37, 445-456.Kalay, A. (1982) "The Ex-Dividend Day Behavior of Stock Prices: A Re-examination of the Clientele Effect,"Journal of Finance 37, 1059-1070.Kalay, A. (1984) "The Ex-Dividend Day Behavior of Stock Prices; A Re-Examination of the Clientele Effect:A Reply," Journal of Finance 39, 557-561.Karpoff, J. M. and Walkling, R. F. (1988) "Short-term Trading Around Ex-Dividend Days: Additional Evidence" Journal of Financial Economics 21, 291-298.Keim, D. B. (1986) "The CAPM and Equity Return Regulariti," Financial Ana1ysis Journal, May-June, 19-34 .Kenkel, J. L. (1981): Introductory statistics for Management and Economics. Prindle, Weber & Schmidt,Boston, Massachusetts.Litzenberger, R. H. and Ramaswamy K (1980) "Dividends,Short Selling Restrictions, Tax-induced Investor Clienteles and Market Equilibrium," Journal of Finance 35, 469-482.Lakonishok, J. and Vermaelen, T. (1983) "Tax Reform and Ex-Dividend Day Behavior, " Journal of Finance 38,1157-1179.Lakonishok, J. and Vermaelen, T . ( 1986) " Tax- induced Trading Around Ex-Dividend Days," Journal of Financi Economics 16, 287-319.Lewellen, W. G. Stanley, K. L., Lease, R. C. and Schlarbau G. G. (1978) "Some Direct Evidence on the Dividend Clientele Phenomenon," Journal of Finance 33,1385-1399.Litzenberger, R. and Ramaswamy, K. (1980) "Dividend,Short Selling Restrictions, Tax-induced Invester Clienteles and Market Equilibrium," Journal of Finance 35, 469-482.Miller, M. and Modigliani, F. (1961) "Dividend Policy,Growth and the Valuation of Shares," Journal of Business 34, 411-433.Miller, M. and Sholes, M. (1978) "Dividends and Taxes,"Journal of Financial Economics 6, 333-364.Miller, M. and Sholes, M. (1982) "Dividends and Taxes:Some Empirical Evidence," Journal of Political Economy 90, 1118-1141.Poterba, J. M. and Summers, L. H. (1984) "New Evidence That Taxes Affect the Valuation of Dividends,"Journal of Finance 39, 1397-1415.Sartoris, W. L. And Moore W. T. (1988) "On the Existence of a Dividend Clientele in the Market for Electric utility Stocks," Quarterly Review of Economics and Business 28, 88-100.Van Horne, J. C. (1986): Financial Management and Policy.Seventh ed., Prentice-Hall, Englewood Cliffs, New Jersey.二、中文部分林炯垚 (民78): 資本資產評價模式與股東權益報酬，人文社會科學論文籍，頁693-715。林煜宗 (民74): 現代投資學－制度、理論與實證，第三版，三民書局。沈筱玲 (民76): 除息日股價變動現象及原因之研究，六國出版社。陳文燦 (民76) "利率變動對股價之影響"，政治大學企業管理研究所未出版碩士論文。陳隆麒 (民77): 現代財務管理，第四版，華泰書局。楊世芳 (民77) "除息(權)日之股價行為－臺灣股票市場之實證研究"，工業技術學院工程技術研究所未出版碩士論文。顏月珠 (民72): 商用統計學，三民書局。顏慶幸，劉春堂，康炎村 (民76): 賦稅參照法令解釋全書，五南圖書出版公司。 描述 碩士
國立政治大學
企業管理學系資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002005210 資料類型 thesis dc.contributor.advisor 林炯垚 zh_TW dc.contributor.author (Authors) 陳怡文 zh_TW dc.creator (作者) 陳怡文 zh_TW dc.date (日期) 1990 en_US dc.date (日期) 1989 en_US dc.date.accessioned 3-May-2016 14:06:46 (UTC+8) - dc.date.available 3-May-2016 14:06:46 (UTC+8) - dc.date.issued (上傳時間) 3-May-2016 14:06:46 (UTC+8) - dc.identifier (Other Identifiers) B2002005210 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/90005 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 企業管理學系 zh_TW dc.description.abstract (摘要) 論文提要內容:本研究基本上是以除息日股價的變動，從事台灣地區上市股票填息現象之研究，並對學理上所謂之租稅效應(Tax Effect)與顧客效應(Clientele Effect)假說作一驗證。除息樣本取自民國七十二年之七十七年間在台灣正卷交易所掛牌交易之股票，經篩選後共得326個可用樣本點。在研究方法上，本研究採用了除息日股價降幅與股利比，及超額報酬等兩種統計量。首先測試除息日之填息現象是否顯著；其次再擴大至除息期間(除息前5天~除息後5天)之超額報酬研究，視其是否支持租稅效應假說；最後再對租稅所引起之顧客效應做檢定。實證結果發現:1. 除息日當天確實有顯著之填息現象存在:平均股價降幅為股利金額的58.77%，而平均超額報酬則在千分之八左右。2. 填息現象可為租稅效應所解釋:觀察除息期間之超額報酬，我們發現僅除息日有顯著超額報酬，其他各日則無。此結果支持租稅效應假說，並使吾人得以確信主宰除息日之股價行為者，為有避稅傾向之投資人；其操作型態為除息前賣出，待除息日當天再買進。3. 由租稅所引起之顧客效應在台灣股票市場上並不成立:以股利報酬率(或股利金額)將樣本分群後，發現除息日股價降幅與股利比、及超額報酬等統計量與股利報酬率(或股利金額)並無顯著的相關性存在。總結上述三點，就股利與股價之關係而言，本研究支持股利與股價有關的說法。亦即，股利將因其所帶給投資人的稅負，而對除息日股價產生某種程度的影響。 zh_TW dc.description.tableofcontents 目錄第一章結論………1第一節研究背景………1第二節研究動機………2第三節研究目的………5第四節研究程序………6第二章相關理論基礎及文獻探討………9第一節相關理論基礎………9第二節文獻探討………14第三章研究方法………25第一節研究設計………25第二節研究假設………32第三節統計檢定方法………34第四節研究架構………40第五節研究限制………41第四章實證結果與分析………45第一節除息日填息現象之實證結果………45第二節除息期間超額報酬之實證結果………52第三節顧客效應之實證結果………64第五章結論與建議………71第一節結論………71第二節未來研究建議………74參考文獻………77〔附錄A〕本研究所用樣本之除息日期、股利金額與股價資料，及其(Pb-Pa)/D統計量………83〔附錄B〕本研究所用除息日之報酬率資料………93圖表目次圖1-1研究程序圖………7圖3-1研究架構圖………40圖4-1a民國72年之除息期間超額報酬分布圖－平均報酬調整模式………55圖4-1b民國72年之除息期間超額報酬分佈圖－市場報酬調整模式………55圖4-2a民國73年之除息期間超額報酬分佈圖－平均報酬調整模式………56圖4-2b民國73年之除息期間超額報酬分佈圖－市場報酬調整模式………56圖4-3a民國74年之除息期間超額報酬分佈圖－平均報酬調整模式………57圖4-3b民圓74年之除息期間超額報酬分佈圖－市場報酬調整模式………57圖4-4a民國75年之除息期間超額報酬分佈圖－平均報酬調整模式………58圖4-4b民國75年之除息期間超額報酬分佈圖－市場報酬調整模式………58圖4-5a民國76年之除息期間超額報酬分佈圖－平均報酬調整模式………59圖4-5b民國76年之除息期間超額報酬分佈圖－市場報酬調整模式………59圖4-6a民國77年之除息期間超額報酬分佈圖－平均報酬調整棋式………60圖4-6b民國77年之除息期間超額報酬分佈佈圖－市場報酬調整模式………60圖4-7民國72年~77年之除息期間超額報酬分佈圖－平均報酬調整模式………62圖4-8民國72年~77年之除息期間標準化超額報酬分佈圖－平均報酬調整模式………62圖4-9民國72年~77年之除息期間超額報酬分佈圖－市場報酬調整模式………63表3-1本研究所用之樣本數統計………26表3-2報酬率之常態分配檢定………37表4-1民國72年~77年除息日股價降幅與股利比之統計分析………46表4-2民國72年~74年各課稅級距利息所得之金額統計………48表4-3民國72年~75年除息日股價降幅與股利比之統計分析………49表4-4除息日超額報酬之統計分析………51表4-5民國72年~77年各年度除息日之平均超額報酬………52表4-6a各年度除息期間之超額報酬(平均報酬調整模式) ………54表4-6b各年度除息期間之超額報酬(市場報酬調整模式) ………54表4-7民國72年~77年除息期間超額報酬之統計分析(平均報酬調整模式) ………61表4-8民國72年~77年除息期間超額報酬之統計分析(市場報酬調整模式) ………61表4-9顧客效應的分析(以股利報酬率分群) ………66表4-10顧客效應的分析(以股利金額分群) ………66 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002005210 en_US dc.title (題名) 臺灣地區上市股票填息現象之研究--租稅效應與顧客效應之實證 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 參考文獻一、英文部分Barclay, M. J. (l987) "Dividends, Taxes, and Common Stock Prices: the Ex-Dividend Day Behavior of Common stock Prices Before the Income Tax," Journal of Financial Economics 19, 31-44.Booth, L. D. and Johnston, D. J. (l984) "The Ex-Dividend Day Behavior of Canadian stock Prices: Tax Changes and Clientele Effects," Journal of Finance 39,457-476.Brennan, M. J ., (l970) "Taxes, Market Valuation and Corporation Financial Policy," National Tax Journal 23,417-427.Brown, S. J. and Warner, J. B. (1980) "Measuring Security Price Performance," Journal of Financial Economics 8, 205-258.Brown, S. J. and Warner, J. B. (1985) "Using Daily stock Returns: the Case of Event Studies," Journal of Financial Economics 14, 3-31.Campell, J. A. and Beranek, W. (1955) "Stock Price Behavior on Ex-Dividend Dates," Journal of Fianace 10, 425-429.Copeland , T . E, and Weston , J. F. ( 1982): Financial Theory and Corporate Policy. Second ed., Addison -Wesley, Reading, Massachusetts.Durand, D. and May, A. M. (1960) "The Ex-Dividend Behavio of American Telephone and Telegraph stock," Journal of Finance 15, 19-31.Eades, K. M., Hess, P. J. and Kim, E. H. (1984) "On Inter -preting Security Return During the Ex-Dividend Period," Journal of Financial Economics 13, 3-34 .Elton, E. J. and Gruber, M. J. (1970) "Marginal Stockholde Tax Rates and Clientele Effect," Review of Economics and Statistics 52, 68-74.Elton, E. J., Gruber, M. J. and Rentzler J. (1984) " The Ex-Dividend Day Behavior of Stock Prices; A Re-examination of the Clientele Effect: A Comment,"Journal of Finance 39, 551-556.Gordon, R. H. and Bradford, D. F. (1980) "Taxation and the Stock Market Valuation of Capital Gains and Dividends: Theory and Empirical Results," Journal of Public Economics 14, 109-136.Grinblatt, M. S., Masulis, R. W. and Titman, S. (1984)"The Valuation Effects of Stock Splits and Stock Dividends," Journal of Financial Economics 13,461-490.Heath, D. C. and Jarrow, R. A. (1988) "Ex-Dividend Stock Price Behavior and Arbitrage Opportunities,"Journal of Business 61, 95-108.Hess, P. J. (1982) "The Ex-Dividend Day Behavior of Stock Returns: Further Evidence on Tax Effects," Journal of Finance 37, 445-456.Kalay, A. (1982) "The Ex-Dividend Day Behavior of Stock Prices: A Re-examination of the Clientele Effect,"Journal of Finance 37, 1059-1070.Kalay, A. (1984) "The Ex-Dividend Day Behavior of Stock Prices; A Re-Examination of the Clientele Effect:A Reply," Journal of Finance 39, 557-561.Karpoff, J. M. and Walkling, R. F. (1988) "Short-term Trading Around Ex-Dividend Days: Additional Evidence" Journal of Financial Economics 21, 291-298.Keim, D. B. (1986) "The CAPM and Equity Return Regulariti," Financial Ana1ysis Journal, May-June, 19-34 .Kenkel, J. L. (1981): Introductory statistics for Management and Economics. Prindle, Weber & Schmidt,Boston, Massachusetts.Litzenberger, R. H. and Ramaswamy K (1980) "Dividends,Short Selling Restrictions, Tax-induced Investor Clienteles and Market Equilibrium," Journal of Finance 35, 469-482.Lakonishok, J. and Vermaelen, T. (1983) "Tax Reform and Ex-Dividend Day Behavior, " Journal of Finance 38,1157-1179.Lakonishok, J. and Vermaelen, T . ( 1986) " Tax- induced Trading Around Ex-Dividend Days," Journal of Financi Economics 16, 287-319.Lewellen, W. G. Stanley, K. L., Lease, R. C. and Schlarbau G. G. (1978) "Some Direct Evidence on the Dividend Clientele Phenomenon," Journal of Finance 33,1385-1399.Litzenberger, R. and Ramaswamy, K. (1980) "Dividend,Short Selling Restrictions, Tax-induced Invester Clienteles and Market Equilibrium," Journal of Finance 35, 469-482.Miller, M. and Modigliani, F. (1961) "Dividend Policy,Growth and the Valuation of Shares," Journal of Business 34, 411-433.Miller, M. and Sholes, M. (1978) "Dividends and Taxes,"Journal of Financial Economics 6, 333-364.Miller, M. and Sholes, M. (1982) "Dividends and Taxes:Some Empirical Evidence," Journal of Political Economy 90, 1118-1141.Poterba, J. M. and Summers, L. H. (1984) "New Evidence That Taxes Affect the Valuation of Dividends,"Journal of Finance 39, 1397-1415.Sartoris, W. L. And Moore W. T. (1988) "On the Existence of a Dividend Clientele in the Market for Electric utility Stocks," Quarterly Review of Economics and Business 28, 88-100.Van Horne, J. C. (1986): Financial Management and Policy.Seventh ed., Prentice-Hall, Englewood Cliffs, New Jersey.二、中文部分林炯垚 (民78): 資本資產評價模式與股東權益報酬，人文社會科學論文籍，頁693-715。林煜宗 (民74): 現代投資學－制度、理論與實證，第三版，三民書局。沈筱玲 (民76): 除息日股價變動現象及原因之研究，六國出版社。陳文燦 (民76) "利率變動對股價之影響"，政治大學企業管理研究所未出版碩士論文。陳隆麒 (民77): 現代財務管理，第四版，華泰書局。楊世芳 (民77) "除息(權)日之股價行為－臺灣股票市場之實證研究"，工業技術學院工程技術研究所未出版碩士論文。顏月珠 (民72): 商用統計學，三民書局。顏慶幸，劉春堂，康炎村 (民76): 賦稅參照法令解釋全書，五南圖書出版公司。 zh_TW
