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題名 整體企業租稅規避與權益資金成本
Aggregate corporate tax avoidance and cost of equity capital
作者 周柏宇
Chou, Po Yu
貢獻者 何怡澄
周柏宇
Chou, Po Yu
關鍵詞 整體租稅規避
權益資金成本
風險分攤
金融外部性
Aggregate corporate tax avoidance
Cost of equity capital
Risk sharing
Pecuniary externality
日期 2017
上傳時間 24-Jul-2017 12:01:40 (UTC+8)
摘要 資金成本是投資者選擇標的所面對的機會成本及預期報酬率 (expected rate of return)，不同投資計畫有不同的預期現金流量與風險程度，對應不同的預期報酬率。本文按Sikes and Verrecchia (2016) 實證方式，檢視臺灣經濟體全體企業之整體租稅規避 (aggregate corporate tax avoidance) 產生之金融外部性對企業權益資金成本的影響。本文採用臺灣1996-2015年企業資料，驗證市場全體企業進行整體租稅規避的程度愈高，市場的稅後現金流量變異增加導致共變異風險上升，進而抬高資本市場整體的權益資金成本。
      本文進一步以現金有效稅率中位數，依企業租稅規避程度分為高低兩組迴歸，僅發現在低租稅規避程度企業迴歸，其整體租稅規避指標與權益資金成本呈顯著正相關，意即低租稅規避程度企業，受到市場現金流量變異增大之影響，權益資金成本連帶提高，但此一外部性並未影響高度租稅規避企業；然而高度租稅規避企業，其個體租稅規避指標與權益資金成本呈顯著正相關，表示租稅規避較為激進的企業伴隨之租稅風險衍生的成本高於租稅節省利益，因此權益資金成本上升。本文的實證數據顯示台灣資本市場，存在因租稅規避衍生的金融外部性 (pecuniary externality)，此金融外部性也會顯著提高低度租稅規避企業的資金成本。另外，將企業是否有海外關係企業作分組，發現金融外部性來自海外關係企業採用降低邊際稅率方式進行租稅規避，削弱與稅制將企業風險分攤給政府的效果，更突顯金融外部性的效果。最後，由於公司現金流量與市場現金流量共變異增加，會提高權益資金成本，對此，本文進一步分析發現，當公司現金流量變異高於市場現金流量變異時，整體租稅規避衍生的金融外部性對企業的影響更高。
This paper aims to examine a new pecuniary externality caused by aggregate corporate tax avoidance in Taiwan’s capital market. According to Sikes and Verrecchia (2016), as more firms take aggressive tax avoidance strategies, cost of equity capital for all firms in the market may increase. When firms utilize lower tax rate methods to reduce tax, they may expand the range of after-tax cash flow. Due to the increasing variance of after-tax cash flow, the covariance risk may enhance and therefore cost of equity capital increases.
      Our analysis expolits data from TEJ database. The sample period starts from 1996 to 2015. We adopt the methogology introduced by Hou et al.(2012) to forecast earnings and apply another four estimations of implied cost of capital to measure our cost of equity capital. Besides, this study uses the sum of annual cash taxes paid scaled by annual pretax income (cash ETR) to proxy the degree of tax avoidance.
      The results show positive correlation between aggregate tax avoidance and implied cost of capital does exist, and it further verifies the existence of pecuniary externality. Furthermore, by dividing the sample into two groups by median of cash ETR, the results indicate that firms with higher level of tax avoidance may increase the net implied cost of capital, while those of lower level may have an ambiguous effect on implied cost of capital.
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描述 碩士
國立政治大學
財政學系
104255002
資料來源 http://thesis.lib.nccu.edu.tw/record/#G1042550022
資料類型 thesis
dc.contributor.advisor 何怡澄zh_TW
dc.contributor.author (Authors) 周柏宇zh_TW
dc.contributor.author (Authors) Chou, Po Yuen_US
dc.creator (作者) 周柏宇zh_TW
dc.creator (作者) Chou, Po Yuen_US
dc.date (日期) 2017en_US
dc.date.accessioned 24-Jul-2017 12:01:40 (UTC+8)-
dc.date.available 24-Jul-2017 12:01:40 (UTC+8)-
dc.date.issued (上傳時間) 24-Jul-2017 12:01:40 (UTC+8)-
dc.identifier (Other Identifiers) G1042550022en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/111316-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財政學系zh_TW
dc.description (描述) 104255002zh_TW
dc.description.abstract (摘要) 資金成本是投資者選擇標的所面對的機會成本及預期報酬率 (expected rate of return)，不同投資計畫有不同的預期現金流量與風險程度，對應不同的預期報酬率。本文按Sikes and Verrecchia (2016) 實證方式，檢視臺灣經濟體全體企業之整體租稅規避 (aggregate corporate tax avoidance) 產生之金融外部性對企業權益資金成本的影響。本文採用臺灣1996-2015年企業資料，驗證市場全體企業進行整體租稅規避的程度愈高，市場的稅後現金流量變異增加導致共變異風險上升，進而抬高資本市場整體的權益資金成本。
      本文進一步以現金有效稅率中位數，依企業租稅規避程度分為高低兩組迴歸，僅發現在低租稅規避程度企業迴歸，其整體租稅規避指標與權益資金成本呈顯著正相關，意即低租稅規避程度企業，受到市場現金流量變異增大之影響，權益資金成本連帶提高，但此一外部性並未影響高度租稅規避企業；然而高度租稅規避企業，其個體租稅規避指標與權益資金成本呈顯著正相關，表示租稅規避較為激進的企業伴隨之租稅風險衍生的成本高於租稅節省利益，因此權益資金成本上升。本文的實證數據顯示台灣資本市場，存在因租稅規避衍生的金融外部性 (pecuniary externality)，此金融外部性也會顯著提高低度租稅規避企業的資金成本。另外，將企業是否有海外關係企業作分組，發現金融外部性來自海外關係企業採用降低邊際稅率方式進行租稅規避，削弱與稅制將企業風險分攤給政府的效果，更突顯金融外部性的效果。最後，由於公司現金流量與市場現金流量共變異增加，會提高權益資金成本，對此，本文進一步分析發現，當公司現金流量變異高於市場現金流量變異時，整體租稅規避衍生的金融外部性對企業的影響更高。		zh_TW
dc.description.abstract (摘要) This paper aims to examine a new pecuniary externality caused by aggregate corporate tax avoidance in Taiwan’s capital market. According to Sikes and Verrecchia (2016), as more firms take aggressive tax avoidance strategies, cost of equity capital for all firms in the market may increase. When firms utilize lower tax rate methods to reduce tax, they may expand the range of after-tax cash flow. Due to the increasing variance of after-tax cash flow, the covariance risk may enhance and therefore cost of equity capital increases.
      Our analysis expolits data from TEJ database. The sample period starts from 1996 to 2015. We adopt the methogology introduced by Hou et al.(2012) to forecast earnings and apply another four estimations of implied cost of capital to measure our cost of equity capital. Besides, this study uses the sum of annual cash taxes paid scaled by annual pretax income (cash ETR) to proxy the degree of tax avoidance.
      The results show positive correlation between aggregate tax avoidance and implied cost of capital does exist, and it further verifies the existence of pecuniary externality. Furthermore, by dividing the sample into two groups by median of cash ETR, the results indicate that firms with higher level of tax avoidance may increase the net implied cost of capital, while those of lower level may have an ambiguous effect on implied cost of capital.		en_US
dc.description.tableofcontents 第一章 緒論 1
      第一節 研究動機 1
      第二節 研究方法 6
      第三節 研究流程 8
     第二章 文獻探討與研究假說 9
      第一節 租稅規避 9
      第二節 權益資金成本 14
      第三節 假說建立 19
     第三章 研究方法 26
      第一節 樣本篩選與資料來源 26
      第二節 租稅規避指標 27
      第三節 隱含資金成本估算方式 28
      第四節 研究模型 37
     第四章 實證結果 43
      第一節 隱含資金成本估算結果 43
      第二節 整體租稅規避與資金成本 49
      第三節 橫斷面分析 59
      第四節 政府風險承擔驗證 64
      第五節 穩健性分析 66
     第五章 結論與建議 72
      第一節 結論與建議 72
      第二節 研究限制 74
     參考文獻 76		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1042550022en_US
dc.subject (關鍵詞) 整體租稅規避zh_TW
dc.subject (關鍵詞) 權益資金成本zh_TW
dc.subject (關鍵詞) 風險分攤zh_TW
dc.subject (關鍵詞) 金融外部性zh_TW
dc.subject (關鍵詞) Aggregate corporate tax avoidanceen_US
dc.subject (關鍵詞) Cost of equity capitalen_US
dc.subject (關鍵詞) Risk sharingen_US
dc.subject (關鍵詞) Pecuniary externalityen_US
dc.title (題名) 整體企業租稅規避與權益資金成本zh_TW
dc.title (題名) Aggregate corporate tax avoidance and cost of equity capitalen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Armstrong, C. S., Blouin, J. L., & Larcker, D. F. (2012). The Incentives for Tax Planning. Journal of Accounting and Economics, 53(1), 391-411.
     Armstrong, C. S., Core, J. E., Taylor, D. J., & Verrecchia, R. E. (2011). When Does Information Asymmetry Affect the Cost of Capital? Journal of Accounting Research, 49(1), 1-40.
     Asea, P. K., & Turnovsky, S. J. (1998). Capital Income Taxation and Risk-taking in a Small Open Economy. Journal of Public Economics, 68(1), 55-90.
     Bebchuk, L. A., & Fried, J. M. (2003). Executive Compensation as an Agency Problem. The Journal of Economic Perspectives, 17(3), 71-92.
     Black, F. (1972). Capital Market Equilibrium with Restricted Borrowing. The Journal of Business, 45(3), 444-455.
     Bondt, W. F., & Thaler, R. (1985). Does the Stock Market Overreact?. Journal of Finance, 40(3), 793-805.
     Botosan, C. A., & Plumlee, M. A. (2005). Assessing Alternative Proxies for the Expected Risk Premium. The Accounting Review, 80(1), 21-53.
     Callahan, C. M., Smith, R. E., & Spencer, A. W. (2012). An Examination of the Cost of Capital Implications of FIN 46. The Accounting Review, 87(4), 1105-1134.
     Chen, S., Chen, X., Cheng, Q., & Shevlin, T. (2010). Are Family Firms More Tax Aggressive than Non-Family Firms? Journal of Financial Economics, 95(1), 41-61.
     Claus, J., & Thomas, J. (2001). Equity Premia as Low as Three Percent? Evidence from Analysts` Earnings Forecasts for Domestic and International Stock Markets. The Journal of Finance, 56(5), 1629-1666.
     Coles, J. L., Daniel, N. D., & Naveen, L. (2006). Managerial Incentives and Risk-taking. Journal of Financial Economics, 79(2), 431-468.
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