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題名 境外與境內避稅天堂與股價崩盤風險的關係
Offshore and Onshore Tax Haven and Stock Price Crash Risk作者 陳松和
Chen, Sung-Ho貢獻者 張元晨
Chang, Yuan-Chen
陳松和
Chen, Sung-Ho關鍵詞 避稅天堂
股價崩盤風險
資訊不對稱
Tax haven
Stock price crash risk
Information asymmetry
FATCA日期 2019 上傳時間 7-八月-2019 16:02:56 (UTC+8) 摘要 本研究目的為探討美國企業避稅天堂的區位選擇，是否會對其股價崩盤風險造成影響，將區位選擇分為企業只在境內避稅天堂設立子公司、企業只在境外避稅天堂設立子公司、企業同時在境內及境外避稅天堂設立子公司以及企業沒有在避稅天堂設立子公司四個類別，樣本期間為1996年1月至2013年12月。實證結果發現，只在境外避稅天堂設立子公司的企業，其股價崩盤風險會高於只在境內避稅天堂設立子公司的企業，而同時在境內、境外避稅天堂設立子公司的企業，其股價崩風險會高於只在境內或只在境外避稅天堂設立子公司的企業，另外進一步探討FATCA通過後及正式施行後的效果對在境外避稅天堂設立子公司的企業是否有影響，實證結果發現，在2010年美國國會通過FATCA後，只在境外避稅天堂以及同時在境內、境外避稅天堂設立子公司的企業對股價崩盤的影響，其三項指標變數方向不一，並無顯著下降，與假設不符合，本研究認為可能是因為在通過之後，企業開始有大動作的調整，準備在2013年正式施行之前做好準備，然而在2013 FATCA正式施行後，只在境外避稅天堂以及同時在境內、境外避稅天堂設立子公司的企業對股價崩盤的影響，其三項代表股價崩盤風險的指標變數皆呈現顯著下降，表示FATCA條款的施行確實有降低市場價格崩盤風險的效果，此結果與預期相符合，也間接證明了從通過到正式施行期間，指標變數的不一致只是短期的調整過程。
This study investigates the association between choice of tax haven and stock price crash risk. Using a large sample of American companies that establish affiliates or subsidiaries in different locations of tax haven from 1996/01/01 to 2013/12/31. we find that firms which establish affiliates or subsidiaries in foreign tax haven tend to have higher stock price crash risk, and that firms which establish in both domestic and foreign tax haven have the highest stock price crash risk.Moreover, we also examine whether Foreign Account Tax Compliance Act (FATCA) alleviated stock price crash risk. We find that FATCA did not decrease the stock price crash risk of foreign tax haven at the time when it was signed on March 18th, 2010 until it became effect on January 1st, 2013. All of the indicators show FATCA does play an important role in alleviating the stock price crash risk.參考文獻 Andreou, P. C., Antoniou, C., Horton, J., & Louca, C. (2016). Corporate governance and firm‐specific stock price crashes. European Financial Management, 22(5), 916-956.Arena, M. P., & Roper, A. H. (2010). The effect of taxes on multinational debt location. Journal of Corporate Finance, 16(5), 637-654.Bebchuk, L. A., & Cohen, A. (2003). Firms’ decisions where to incorporate. The Journal of Law and Economics, 46(2), 383-425.Benmelech, E., Kandel, E., & Veronesi, P. (2010). Stock-based compensation and CEO (dis) incentives. The Quarterly Journal of Economics, 125(4), 1769-1820.Chava, S., & Purnanandam, A. (2009). CEO vs CFOs: Incentives and Corporate Policies. Journal of Financial.Chen, J., Hong, H., & Stein, J. C. (2001). Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices. Journal of financial Economics, 61(3), 345-381.Desai, M. A., & Dharmapala, D. (2006). Corporate tax avoidance and high-powered incentives. Journal of Financial Economics, 79(1), 145-179.Desai, M. A., Dyck, A., & Zingales, L. (2007). Theft and taxes. Journal of financial economics, 84(3), 591-623.Dharmapala, D., & Riedel, N. (2013). Earnings shocks and tax-motivated income-shifting: Evidence from European multinationals. Journal of Public Economics, 97, 95-107.Dyreng, S. D., Lindsey, B. P., & Thornock, J. R. (2013). Exploring the role Delaware plays as a domestic tax haven. Journal of Financial Economics, 108(3), 751-772.Ge, W., Kim, J. B., Li, T., & Li, Y. (2016). Offshore operations and bank loan contracting: Evidence from firms that set up subsidiaries in offshore financial centers. Journal of Corporate Finance, 37, 335-355.Goss, A., & Roberts, G. S. (2011). The impact of corporate social responsibility on the cost of bank loans. Journal of Banking & Finance, 35(7), 1794-1810.Hutton, A. P., Marcus, A. J., & Tehranian, H. (2009). Opaque financial reports, R2, and crash risk. Journal of financial Economics, 94(1), 67-86.Jiang, J. X., Petroni, K. R., & Wang, I. Y. (2010). CFOs and CEOs: Who have the most influence on earnings management?. Journal of Financial Economics, 96(3), 513-526.Jin, L., & Myers, S. C. (2006). R2 around the world: New theory and new tests. Journal of financial Economics, 79(2), 257-292.Kim, J. B., Li, Y., & Zhang, L. (2011). Corporate tax avoidance and stock price crash risk: Firm-level analysis. Journal of Financial Economics, 100(3), 639-662.Kim, J. B., Li, Y., & Zhang, L. (2011). CFOs versus CEOs: Equity incentives and crashes. Journal of Financial Economics, 101(3), 713-730.Kim, J. B., Li, T., & Zhang, L. (2015). Operations in Offshore Financial Centers and Stock Price Crash Risk. Available at SSRN 2684083.Kim, J. B., Wang, Z., & Zhang, L. (2016). CEO overconfidence and stock price crash risk. Contemporary Accounting Research, 33(4), 1720-1749.Kim, J. B., & Zhang, L. (2016). Accounting conservatism and stock price crash risk: Firm‐level evidence. Contemporary Accounting Research, 33(1), 412-441.Newberry, K. J., & Dhaliwal, D. S. (2001). Cross‐jurisdictional income shifting by US multinationals: Evidence from international bond offerings. Journal of Accounting Research, 39(3), 643-662. 描述 碩士
國立政治大學
財務管理學系
105357001資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105357001 資料類型 thesis dc.contributor.advisor 張元晨 zh_TW dc.contributor.advisor Chang, Yuan-Chen en_US dc.contributor.author (作者) 陳松和 zh_TW dc.contributor.author (作者) Chen, Sung-Ho en_US dc.creator (作者) 陳松和 zh_TW dc.creator (作者) Chen, Sung-Ho en_US dc.date (日期) 2019 en_US dc.date.accessioned 7-八月-2019 16:02:56 (UTC+8) - dc.date.available 7-八月-2019 16:02:56 (UTC+8) - dc.date.issued (上傳時間) 7-八月-2019 16:02:56 (UTC+8) - dc.identifier (其他 識別碼) G0105357001 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124690 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 105357001 zh_TW dc.description.abstract (摘要) 本研究目的為探討美國企業避稅天堂的區位選擇，是否會對其股價崩盤風險造成影響，將區位選擇分為企業只在境內避稅天堂設立子公司、企業只在境外避稅天堂設立子公司、企業同時在境內及境外避稅天堂設立子公司以及企業沒有在避稅天堂設立子公司四個類別，樣本期間為1996年1月至2013年12月。實證結果發現，只在境外避稅天堂設立子公司的企業，其股價崩盤風險會高於只在境內避稅天堂設立子公司的企業，而同時在境內、境外避稅天堂設立子公司的企業，其股價崩風險會高於只在境內或只在境外避稅天堂設立子公司的企業，另外進一步探討FATCA通過後及正式施行後的效果對在境外避稅天堂設立子公司的企業是否有影響，實證結果發現，在2010年美國國會通過FATCA後，只在境外避稅天堂以及同時在境內、境外避稅天堂設立子公司的企業對股價崩盤的影響，其三項指標變數方向不一，並無顯著下降，與假設不符合，本研究認為可能是因為在通過之後，企業開始有大動作的調整，準備在2013年正式施行之前做好準備，然而在2013 FATCA正式施行後，只在境外避稅天堂以及同時在境內、境外避稅天堂設立子公司的企業對股價崩盤的影響，其三項代表股價崩盤風險的指標變數皆呈現顯著下降，表示FATCA條款的施行確實有降低市場價格崩盤風險的效果，此結果與預期相符合，也間接證明了從通過到正式施行期間，指標變數的不一致只是短期的調整過程。 zh_TW dc.description.abstract (摘要) This study investigates the association between choice of tax haven and stock price crash risk. Using a large sample of American companies that establish affiliates or subsidiaries in different locations of tax haven from 1996/01/01 to 2013/12/31. we find that firms which establish affiliates or subsidiaries in foreign tax haven tend to have higher stock price crash risk, and that firms which establish in both domestic and foreign tax haven have the highest stock price crash risk.Moreover, we also examine whether Foreign Account Tax Compliance Act (FATCA) alleviated stock price crash risk. We find that FATCA did not decrease the stock price crash risk of foreign tax haven at the time when it was signed on March 18th, 2010 until it became effect on January 1st, 2013. All of the indicators show FATCA does play an important role in alleviating the stock price crash risk. en_US dc.description.tableofcontents 目 錄第一章 緒論 8第一節 研究背景及動機 8第二節 研究架構 11第二章 文獻回顧及假設建立 12第一節 文獻回顧 12第二節 假設建立 16第三章 樣本描述與研究方法 18第一節 樣本及資料來源 18第二節 被解釋變數-崩盤風險 18第三節 控制變數 19第四節 模型設計 20第四章 實證結果 22第一節 敘述統計及相關性分析 22第二節 避稅天堂的區位選擇對股價崩盤的影響 31第三節 FATCA通過後及正式施行後的影響 33第五章 研究結論、研究限制及後續建議 51第一節 研究結論 51第二節 研究限制、後續建議 52參考文獻 54 zh_TW dc.format.extent 1074790 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105357001 en_US dc.subject (關鍵詞) 避稅天堂 zh_TW dc.subject (關鍵詞) 股價崩盤風險 zh_TW dc.subject (關鍵詞) 資訊不對稱 zh_TW dc.subject (關鍵詞) Tax haven en_US dc.subject (關鍵詞) Stock price crash risk en_US dc.subject (關鍵詞) Information asymmetry en_US dc.subject (關鍵詞) FATCA en_US dc.title (題名) 境外與境內避稅天堂與股價崩盤風險的關係 zh_TW dc.title (題名) Offshore and Onshore Tax Haven and Stock Price Crash Risk en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Andreou, P. C., Antoniou, C., Horton, J., & Louca, C. (2016). Corporate governance and firm‐specific stock price crashes. European Financial Management, 22(5), 916-956.Arena, M. P., & Roper, A. H. (2010). The effect of taxes on multinational debt location. Journal of Corporate Finance, 16(5), 637-654.Bebchuk, L. A., & Cohen, A. (2003). Firms’ decisions where to incorporate. The Journal of Law and Economics, 46(2), 383-425.Benmelech, E., Kandel, E., & Veronesi, P. (2010). Stock-based compensation and CEO (dis) incentives. The Quarterly Journal of Economics, 125(4), 1769-1820.Chava, S., & Purnanandam, A. (2009). CEO vs CFOs: Incentives and Corporate Policies. Journal of Financial.Chen, J., Hong, H., & Stein, J. C. (2001). Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices. Journal of financial Economics, 61(3), 345-381.Desai, M. A., & Dharmapala, D. (2006). Corporate tax avoidance and high-powered incentives. Journal of Financial Economics, 79(1), 145-179.Desai, M. A., Dyck, A., & Zingales, L. (2007). Theft and taxes. Journal of financial economics, 84(3), 591-623.Dharmapala, D., & Riedel, N. (2013). Earnings shocks and tax-motivated income-shifting: Evidence from European multinationals. Journal of Public Economics, 97, 95-107.Dyreng, S. D., Lindsey, B. P., & Thornock, J. R. (2013). Exploring the role Delaware plays as a domestic tax haven. Journal of Financial Economics, 108(3), 751-772.Ge, W., Kim, J. B., Li, T., & Li, Y. (2016). Offshore operations and bank loan contracting: Evidence from firms that set up subsidiaries in offshore financial centers. Journal of Corporate Finance, 37, 335-355.Goss, A., & Roberts, G. S. (2011). The impact of corporate social responsibility on the cost of bank loans. Journal of Banking & Finance, 35(7), 1794-1810.Hutton, A. P., Marcus, A. J., & Tehranian, H. (2009). Opaque financial reports, R2, and crash risk. Journal of financial Economics, 94(1), 67-86.Jiang, J. X., Petroni, K. R., & Wang, I. Y. (2010). CFOs and CEOs: Who have the most influence on earnings management?. Journal of Financial Economics, 96(3), 513-526.Jin, L., & Myers, S. C. (2006). R2 around the world: New theory and new tests. Journal of financial Economics, 79(2), 257-292.Kim, J. B., Li, Y., & Zhang, L. (2011). Corporate tax avoidance and stock price crash risk: Firm-level analysis. Journal of Financial Economics, 100(3), 639-662.Kim, J. B., Li, Y., & Zhang, L. (2011). CFOs versus CEOs: Equity incentives and crashes. Journal of Financial Economics, 101(3), 713-730.Kim, J. B., Li, T., & Zhang, L. (2015). Operations in Offshore Financial Centers and Stock Price Crash Risk. Available at SSRN 2684083.Kim, J. B., Wang, Z., & Zhang, L. (2016). CEO overconfidence and stock price crash risk. Contemporary Accounting Research, 33(4), 1720-1749.Kim, J. B., & Zhang, L. (2016). Accounting conservatism and stock price crash risk: Firm‐level evidence. Contemporary Accounting Research, 33(1), 412-441.Newberry, K. J., & Dhaliwal, D. S. (2001). Cross‐jurisdictional income shifting by US multinationals: Evidence from international bond offerings. Journal of Accounting Research, 39(3), 643-662. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201900200 en_US
