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題名 當沖制度與租稅規避對公司價值的影響
Do Day Trading and Tax Avoidance Affect Firm Value作者 張育維
Chang, Yu-Wei貢獻者 何怡澄<br>郭振雄
張育維
Chang, Yu-Wei關鍵詞 當沖交易
當沖降稅
租稅規避
Day trading
Day trading tax reduction
Tax avoidance日期 2022 上傳時間 2-Sep-2022 15:30:03 (UTC+8) 摘要 本文探討當沖降稅與租稅規避對公司價值的關聯性。當沖降稅能夠降低投資人的交易成本，有助於提升股市流動性，進而影響公司價值。以2014開放當沖交易以來至2020年間臺灣的上市櫃公司為研究對象，研究結果顯示，當沖交易以及租稅規避行為與公司價值具有正向關係；但加入當沖降稅政策效果後，租稅規避行為反而將傷害公司價值；敏感性分析，採用不同租稅規避、當沖指標、公司價值、使用Heckman二階段估計法處理樣本選擇偏誤，以及前期獨立變數估計領先-落後關聯性降低內生性的可能疑慮，均獲得穩健性的結果。
This paper examines the correlation between day trading tax reduction and tax avoidance on firm value. Day trading tax reduction can reduce investors` transaction costs, which helps to improve stock market liquidity and further affects firm value. The research targets are listed companies in Taiwan from 2014 to 2020 when day trading was started. The results of the study show that there is a positive relationship between day trading and tax avoidance behavior and firm value; however, after adding the effect of day trading tax reduction policy, tax avoidance behavior will hurt firm value. Sensitivity analysis, using different tax avoidance, day trading indicators, firm value and Heckman`s two-stage estimation method to address sample selection bias, and the possibility that the leading-lagging correlation of the prior independent variables reduces endogeneity, all of them obtain robust results.參考文獻 柯辰穎，2021，租稅規避與租稅風險對公司價值的影響，政治大學財政學研究所未出版碩士論文。柯冠成.,周冠男.,楊念慈, (2017)。當沖交易證交稅改革與臺股量能之提升。證券公會季刊，21-28。陳典陞，2014，租稅規避與公司價值，政治大學會計學研究所未出版碩士論文。陳明進與蔡麗文，2006，財稅所得差異決定因素及課稅所得推估之研究，管理學報，23(6)，739-763。Admati, A. R., & Pfleiderer, P. (2009). The “Wall Street walk” and shareholder activism: Exit as a form of voice. The Review of Financial Studies, 22(7), 2645–2685.Aitken, M., & Comerton-Forde, C. (2003). How should liquidity be measured? Pacific-Basin Finance Journal, 11(1), 45–59.Armstrong, C. S., Blouin, J. L., Jagolinzer, A. D., & Larcker, D. F. (2015). Corporate governance, incentives, and tax avoidance. Journal of Accounting and Economics, 60(1), 1–17.Bhide, A. (1993). The hidden costs of stock market liquidity. Journal of Financial Economics, 34(1), 31–51.Brav, A., Jiang, W., Partnoy, F., & Thomas, R. (2008). Hedge fund activism, corporate governance, and firm performance. The Journal of Finance, 63(4), 1729–1775.Bryant-Kutcher, L. A., Guenther, D. A., & Jackson, M. (2012). How do cross-country differences in corporate tax rates affect firm value? Journal of the American Taxation Association, 34(2), 1-17.Chen, B., Truong, T. P., & Suleman, M. T. (2014, August). Does trading really boost performance? In 27th Australasian Finance and Banking Conference.Chen, F., Huyghebaert, N., Lin, S., & Wang, L. (2019). Do multiple large shareholders reduce agency problems in state-controlled listed firms? Evidence from China. Pacific-Basin Finance Journal, 57, 101203.Chen, Y., Ge, R., Louis, H., & Zolotoy, L. (2019). Stock liquidity and corporate tax avoidance. Review of Accounting Studies, 24(1), 309–340.Cheng, C. S. A., Huang, H. H., Li, Y., & Stanfield, J. (2012). The effect of hedge fund activism on corporate tax avoidance. The Accounting Review, 87(5), 1493–1526.Chou, R. K., & Wang, G. H. K. (2006). Transaction tax and market quality of the Taiwan stock index futures. Journal of Futures Markets, 26(12), 1195–1216.Chung, J. M., Choe, H., & Kho, B. C. (2009). The impact of day-trading on volatility and liquidity. Asia-Pacific Journal of Financial Studies, 38(2), 237–275.Coffee, J. C. Jr. (1991). Liquidity versus control: the institutional investor as corporate monitor. Columbia Law Review, 91(6), 1277–1368.Cremers, K. J. M., & Nair, V. B. (2005). Governance mechanisms and equity prices. The Journal of Finance, 60(6), 2859–2894.Crocker, K. J., & Slemrod, J. (2005). Corporate tax evasion with agency costs. Journal of Public Economics, 89(9), 1593–1610.Desai, M. A., & Dharmapala, D. (2009). Corporate tax avoidance and firm value. The Review of Economics and Statistics, 91(3), 537–546.Dyreng, S. D., Hanlon, M., & Maydew, E. L. (2008). Long‐run corporate tax avoidance. The Accounting Review, 83(1), 61–82.Dyreng, S. D., Hanlon, M., Maydew, E. L., & Thornock, J. R. (2017). Changes in corporate effective tax rates over the past 25 years. Journal of Financial Economics, 124(3), 441-463.Edmans, A., & Manso, G. (2011). Governance through trading and intervention: a theory of multiple blockholders. The Review of Financial Studies, 24(7), 2395–2428.Fang, V. W., Noe, T. H., & Tice, S. (2009). Stock market liquidity and firm value. Journal of Financial Economics, 94(1), 150–169.Faure-Grimaud, A., & Gromb, D. (2004). Public trading and private incentives. The Review of Financial Studies, 17(4), 985–1014.Goldstein, I., & Guembel, A. (2008). Manipulation and the allocational role of prices. The Review of Economic Studies, 75(1), 133–164.Hanlon, M., & Slemrod, J. (2009). What does tax aggressiveness signal? Evidence from stock price reactions to news about tax shelter involvement. Journal of Public Economics, 93(1), 126–141.Hasan, M. M., Lobo, G. J., & Qiu, B. (2021). Organizational capital, corporate tax avoidance, and firm value. Journal of Corporate Finance, 70, 102050.Holmström, B., & Tirole, J. (1993). Market liquidity and performance monitoring. Journal of Political Economy, 101(4), 678–709.Hu, S. (1998). The effects of the stock transaction tax on the stock market –Experiences from Asian markets. Pacific-Basin Finance Journal, 6(3), 347–364.Khanna, N., & Sonti, R. (2004). Value creating stock manipulation: Feedback effect of stock prices on firm value. Journal of Financial Markets, 7(3), 237–270.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.Kodongo, O., Mokoaleli-Mokoteli, T., & Maina, L. N. (2015). Capital structure, profitability and firm value: panel evidence of listed firms in Kenya. African Finance Journal, 17(1), 1-20.Kubick, T. R., Omer, T. C., & Song, X. (2020). Short selling and tax disclosure: evidence from regulation SHO. Journal of the American Taxation Association, 43(2), 107–135.Luo, J., Ni, X., & Tian, G. G. (2020). Short selling and corporate tax avoidance: Insights from a financial constraint view. Pacific-Basin Finance Journal, 61, 101323.Maug, E. (1998). Large Shareholders as Monitors: Is There a Trade-Off between Liquidity and Control? The Journal of Finance, 53(1), 65–98.McConnell, J. J., & Muscarella, C. J. (1985). Corporate capital expenditure decisions and the market value of the firm. Journal of financial economics, 14(3), 399-422.Minnick, K., & Noga, T. (2010). Do corporate governance characteristics influence tax management? Journal of Corporate Finance, 16(5), 703–718.Poterba, J. M., Rao, N. S., & Seidman, J. K. (2011). Deferred tax positions and incentives for corporate behavior around corporate tax changes. National Tax Journal, 64(1), 27-57.Roll, R., Schwartz, E., & Subrahmanyam, A. (2009). Options trading activity and firm valuation. Journal of Financial Economics, 94(3), 345–360.Slemrod, J. (2004). The economics of corporate tax selfishness. National Tax Journal, 57(4), 877–899.Wu, C. H., & Wang, T. Y. (2020). The effects of reducing the securities transaction tax on day trading: Evidence from the Taiwan stock market. 會計評論, (70), 135-169.Wilson, R. J. (2009). An examination of corporate tax shelter participants. The Accounting Review, 84(3), 969–999.Yang, T.-Y., Huang, S.-Y., Tsai, W.-C., & Weng, P.-S. (2020). The impacts of day trading activity on market quality: Evidence from the policy change on the Taiwan stock market. Journal of Derivatives and Quantitative Studies, 28(4), 191–207.Ye, Q., Zhou, S., & Zhang, J. (2020). Short-selling, margin-trading, and stock liquidity: Evidence from the Chinese stock markets. International Review of Financial Analysis, 71, 101549. 描述 碩士
國立政治大學
財政學系
109255019資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109255019 資料類型 thesis dc.contributor.advisor 何怡澄<br>郭振雄 zh_TW dc.contributor.author (Authors) 張育維 zh_TW dc.contributor.author (Authors) Chang, Yu-Wei en_US dc.creator (作者) 張育維 zh_TW dc.creator (作者) Chang, Yu-Wei en_US dc.date (日期) 2022 en_US dc.date.accessioned 2-Sep-2022 15:30:03 (UTC+8) - dc.date.available 2-Sep-2022 15:30:03 (UTC+8) - dc.date.issued (上傳時間) 2-Sep-2022 15:30:03 (UTC+8) - dc.identifier (Other Identifiers) G0109255019 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/141758 - 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) 109255019 zh_TW dc.description.abstract (摘要) 本文探討當沖降稅與租稅規避對公司價值的關聯性。當沖降稅能夠降低投資人的交易成本，有助於提升股市流動性，進而影響公司價值。以2014開放當沖交易以來至2020年間臺灣的上市櫃公司為研究對象，研究結果顯示，當沖交易以及租稅規避行為與公司價值具有正向關係；但加入當沖降稅政策效果後，租稅規避行為反而將傷害公司價值；敏感性分析，採用不同租稅規避、當沖指標、公司價值、使用Heckman二階段估計法處理樣本選擇偏誤，以及前期獨立變數估計領先-落後關聯性降低內生性的可能疑慮，均獲得穩健性的結果。 zh_TW dc.description.abstract (摘要) This paper examines the correlation between day trading tax reduction and tax avoidance on firm value. Day trading tax reduction can reduce investors` transaction costs, which helps to improve stock market liquidity and further affects firm value. The research targets are listed companies in Taiwan from 2014 to 2020 when day trading was started. The results of the study show that there is a positive relationship between day trading and tax avoidance behavior and firm value; however, after adding the effect of day trading tax reduction policy, tax avoidance behavior will hurt firm value. Sensitivity analysis, using different tax avoidance, day trading indicators, firm value and Heckman`s two-stage estimation method to address sample selection bias, and the possibility that the leading-lagging correlation of the prior independent variables reduces endogeneity, all of them obtain robust results. en_US dc.description.tableofcontents 目錄第壹章 緒論 1第一節 研究背景與動機 1第二節 研究流程 3第貳章 文獻探討 4第一節 當沖交易制度 5第二節 流動性與公司價值 7第三節 租稅規避與公司價值 8第四節 假說建立 9第參章 研究方法 12第一節 資料來源與樣本篩選 12第二節 變數定義 13第三節 實證模型 20第肆章 實證結果 22第一節 樣本敘述統計 22第二節 實證結果 27第三節 敏感性分析 31第伍章 研究結論與限制 45第一節 研究結論 45第二節 研究限制 46參考文獻 47附錄 52 zh_TW dc.format.extent 797515 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109255019 en_US dc.subject (關鍵詞) 當沖交易 zh_TW dc.subject (關鍵詞) 當沖降稅 zh_TW dc.subject (關鍵詞) 租稅規避 zh_TW dc.subject (關鍵詞) Day trading en_US dc.subject (關鍵詞) Day trading tax reduction en_US dc.subject (關鍵詞) Tax avoidance en_US dc.title (題名) 當沖制度與租稅規避對公司價值的影響 zh_TW dc.title (題名) Do Day Trading and Tax Avoidance Affect Firm Value en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 柯辰穎，2021，租稅規避與租稅風險對公司價值的影響，政治大學財政學研究所未出版碩士論文。柯冠成.,周冠男.,楊念慈, (2017)。當沖交易證交稅改革與臺股量能之提升。證券公會季刊，21-28。陳典陞，2014，租稅規避與公司價值，政治大學會計學研究所未出版碩士論文。陳明進與蔡麗文，2006，財稅所得差異決定因素及課稅所得推估之研究，管理學報，23(6)，739-763。Admati, A. R., & Pfleiderer, P. (2009). The “Wall Street walk” and shareholder activism: Exit as a form of voice. The Review of Financial Studies, 22(7), 2645–2685.Aitken, M., & Comerton-Forde, C. (2003). How should liquidity be measured? Pacific-Basin Finance Journal, 11(1), 45–59.Armstrong, C. S., Blouin, J. L., Jagolinzer, A. D., & Larcker, D. F. (2015). Corporate governance, incentives, and tax avoidance. Journal of Accounting and Economics, 60(1), 1–17.Bhide, A. (1993). The hidden costs of stock market liquidity. Journal of Financial Economics, 34(1), 31–51.Brav, A., Jiang, W., Partnoy, F., & Thomas, R. (2008). Hedge fund activism, corporate governance, and firm performance. The Journal of Finance, 63(4), 1729–1775.Bryant-Kutcher, L. A., Guenther, D. A., & Jackson, M. (2012). How do cross-country differences in corporate tax rates affect firm value? Journal of the American Taxation Association, 34(2), 1-17.Chen, B., Truong, T. P., & Suleman, M. T. (2014, August). Does trading really boost performance? In 27th Australasian Finance and Banking Conference.Chen, F., Huyghebaert, N., Lin, S., & Wang, L. (2019). Do multiple large shareholders reduce agency problems in state-controlled listed firms? Evidence from China. Pacific-Basin Finance Journal, 57, 101203.Chen, Y., Ge, R., Louis, H., & Zolotoy, L. (2019). Stock liquidity and corporate tax avoidance. Review of Accounting Studies, 24(1), 309–340.Cheng, C. S. A., Huang, H. H., Li, Y., & Stanfield, J. (2012). The effect of hedge fund activism on corporate tax avoidance. The Accounting Review, 87(5), 1493–1526.Chou, R. K., & Wang, G. H. K. (2006). Transaction tax and market quality of the Taiwan stock index futures. Journal of Futures Markets, 26(12), 1195–1216.Chung, J. M., Choe, H., & Kho, B. C. (2009). The impact of day-trading on volatility and liquidity. Asia-Pacific Journal of Financial Studies, 38(2), 237–275.Coffee, J. C. Jr. (1991). Liquidity versus control: the institutional investor as corporate monitor. Columbia Law Review, 91(6), 1277–1368.Cremers, K. J. M., & Nair, V. B. (2005). Governance mechanisms and equity prices. The Journal of Finance, 60(6), 2859–2894.Crocker, K. J., & Slemrod, J. (2005). Corporate tax evasion with agency costs. Journal of Public Economics, 89(9), 1593–1610.Desai, M. A., & Dharmapala, D. (2009). Corporate tax avoidance and firm value. The Review of Economics and Statistics, 91(3), 537–546.Dyreng, S. D., Hanlon, M., & Maydew, E. L. (2008). Long‐run corporate tax avoidance. The Accounting Review, 83(1), 61–82.Dyreng, S. D., Hanlon, M., Maydew, E. L., & Thornock, J. R. (2017). Changes in corporate effective tax rates over the past 25 years. Journal of Financial Economics, 124(3), 441-463.Edmans, A., & Manso, G. (2011). Governance through trading and intervention: a theory of multiple blockholders. The Review of Financial Studies, 24(7), 2395–2428.Fang, V. W., Noe, T. H., & Tice, S. (2009). Stock market liquidity and firm value. Journal of Financial Economics, 94(1), 150–169.Faure-Grimaud, A., & Gromb, D. (2004). Public trading and private incentives. The Review of Financial Studies, 17(4), 985–1014.Goldstein, I., & Guembel, A. (2008). Manipulation and the allocational role of prices. The Review of Economic Studies, 75(1), 133–164.Hanlon, M., & Slemrod, J. (2009). What does tax aggressiveness signal? Evidence from stock price reactions to news about tax shelter involvement. Journal of Public Economics, 93(1), 126–141.Hasan, M. M., Lobo, G. J., & Qiu, B. (2021). Organizational capital, corporate tax avoidance, and firm value. Journal of Corporate Finance, 70, 102050.Holmström, B., & Tirole, J. (1993). Market liquidity and performance monitoring. Journal of Political Economy, 101(4), 678–709.Hu, S. (1998). The effects of the stock transaction tax on the stock market –Experiences from Asian markets. Pacific-Basin Finance Journal, 6(3), 347–364.Khanna, N., & Sonti, R. (2004). Value creating stock manipulation: Feedback effect of stock prices on firm value. Journal of Financial Markets, 7(3), 237–270.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.Kodongo, O., Mokoaleli-Mokoteli, T., & Maina, L. N. (2015). Capital structure, profitability and firm value: panel evidence of listed firms in Kenya. African Finance Journal, 17(1), 1-20.Kubick, T. R., Omer, T. C., & Song, X. (2020). Short selling and tax disclosure: evidence from regulation SHO. Journal of the American Taxation Association, 43(2), 107–135.Luo, J., Ni, X., & Tian, G. G. (2020). Short selling and corporate tax avoidance: Insights from a financial constraint view. Pacific-Basin Finance Journal, 61, 101323.Maug, E. (1998). Large Shareholders as Monitors: Is There a Trade-Off between Liquidity and Control? The Journal of Finance, 53(1), 65–98.McConnell, J. J., & Muscarella, C. J. (1985). Corporate capital expenditure decisions and the market value of the firm. Journal of financial economics, 14(3), 399-422.Minnick, K., & Noga, T. (2010). Do corporate governance characteristics influence tax management? Journal of Corporate Finance, 16(5), 703–718.Poterba, J. M., Rao, N. S., & Seidman, J. K. (2011). Deferred tax positions and incentives for corporate behavior around corporate tax changes. National Tax Journal, 64(1), 27-57.Roll, R., Schwartz, E., & Subrahmanyam, A. (2009). Options trading activity and firm valuation. Journal of Financial Economics, 94(3), 345–360.Slemrod, J. (2004). The economics of corporate tax selfishness. National Tax Journal, 57(4), 877–899.Wu, C. H., & Wang, T. Y. (2020). The effects of reducing the securities transaction tax on day trading: Evidence from the Taiwan stock market. 會計評論, (70), 135-169.Wilson, R. J. (2009). An examination of corporate tax shelter participants. The Accounting Review, 84(3), 969–999.Yang, T.-Y., Huang, S.-Y., Tsai, W.-C., & Weng, P.-S. (2020). The impacts of day trading activity on market quality: Evidence from the policy change on the Taiwan stock market. Journal of Derivatives and Quantitative Studies, 28(4), 191–207.Ye, Q., Zhou, S., & Zhang, J. (2020). Short-selling, margin-trading, and stock liquidity: Evidence from the Chinese stock markets. International Review of Financial Analysis, 71, 101549. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202201441 en_US
