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題名 當沖制度與租稅規避
Day Trading And Tax Avoidance作者 賴伯嘉
Lai, Po-Chia貢獻者 何怡澄<br>郭振雄
賴伯嘉
Lai, Po-Chia關鍵詞 股市流動性
分量迴歸
租稅規避
Stock liquidity
Quantile regression
Tax avoidance日期 2022 上傳時間 2-Sep-2022 15:31:52 (UTC+8) 摘要 代理問題加劇的租稅規避問題能透過監督機制減緩，其中包含Armstrong et al. (2015)說明公司治理的內部監督機制，和由Chen et al. (2019)所證明的外部股東監督力量，其中Chen et al. (2019)使用股市的流動性代表外部股東監督力量，本研究除了參照Chen et al. (2019)使用的有效價差方式計算股市流動性，更使用2014年開放當沖制度的當沖交易量衡量流動性，探討當沖交易量是否也能達到外部股東監督力量。本研究以2014年至2020年台灣上市櫃公司為研究對象並使用分量迴歸模型觀察公司租稅規避的極端行為，結果顯示若使用有效價差衡量流動性時，流動性的提升能夠減緩公司極端租稅規避行為，但若使用當沖交易量衡量流動性時，卻會加劇公司的極端租稅規避行為。本文在敏感性測試中加入公司治理變數代表內部監督力量，結果顯示流動性在有內部監督力量下，對於公司極端避稅行為仍有所影響，另外本研究也發現，高當沖交易量公司相較於其他公司，本身就偏好極端的租稅規避行為，然而低當沖交易量公司相較於其他公司，本身反而不偏好極端的租稅規避行為。
Tax avoidance exacerbated by agency problems can be mitigated through supervisory mechanisms, including internal mechanisms of corporate governance. This paper exploring the external shareholder mechanisms demonstrated by Chen et al. (2019), who used the liquidity of the stock market to represent the monitoring power of external shareholders. In addition to calculating the liquidity of the stock market with reference to the effective spread method used by Chen et al. (2019), this study also used day trading volume to measure liquidity, and explored whether the liquidity of day trading transactions can also represent the power of external shareholder supervision. This paper used listed companies from 2014 to 2020 in Taiwan and used quantile regression model to observe the extreme behavior of tax avoidance. The results show that if the liquidity is measured by the effective spread, the liquidity can mitigate extreme tax avoidance, but when liquidity is measured by day trading volume, it would exacerbate the extreme tax avoidance. In sensitivity analyses, corporate governance variables are added to represent the power of internal supervision. The results show that liquidity still has an impact on the extreme tax avoidance under the power of internal supervision. other analyses showed that compared with other companies, high day trading volume’s companies prefer extreme tax avoidance, however, compared with other companies, low day trading volume’s companies do not prefer extreme tax avoidance.參考文獻 金融監督管理委員會，2017，調降現股當日沖銷證券交易稅之稅式支出評估報告，1-43金融監督管理委員會，2021，延長調降當日沖銷交易稅之稅式支出評估報告，1-53莊家彰與管中閔，2005，台灣與美國股市價量關係的分量迴歸分析，經濟論文，第33卷第4期，379-404。陳建良與管中閔，2006，台灣工資函數與工資性別歧視的分量迴歸分析，經濟論文，第34卷第4期，435-468。菅瑞昌與闕河士，2011，資訊不對稱如何影響股利政策？信號發射或融資順位，亞太經濟管理評論，15(1)，83-110。陳炫谷，2020，股票流動性與企業避稅關聯性之研究，台北大學會計學研究所未出版碩士論文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.Bertrand, M., & Mullainathan, S. (2003). Enjoying the Quiet Life? Corporate Governance and Managerial Preferences. Journal of Political Economy, 111(5), 1043–1075.Chen, Y., Ge, R., Louis, H., & Zolotoy, L. (2019). Stock liquidity and corporate tax avoidance. Review of Accounting Studies, 24(1), 309–340.Collin-Dufresne, P., & Fos, V. (2014). Insider Trading, Stochastic Liquidity and Equilibrium Prices (SSRN Scholarly Paper No. 2179997). Social Science Research Network.Dechow, P. M., Sloan, R. G., & Sweeney, A. P. (1995). Detecting Earnings Management. The Accounting Review, 70(2), 193–225.Dyreng, S., Hoopes, J. L., & Wilde, J. H. (2015). Public Pressure and Corporate Tax Behavior (SSRN Scholarly Paper No. 2474346). Social Science Research Network.Eide, E., & Showalter, M. H. (1998). The effect of school quality on student performance: A quantile regression approach. Economics Letters, 58(3), 345–350.Fang, V. W., Noe, T. H., & Tice, S. (2009). Stock market liquidity and firm value. Journal of Financial Economics, 94(1), 150–169.Fang, V. W., Tian, X., & Tice, S. (2014). Does Stock Liquidity Enhance or Impede Firm Innovation? The Journal of Finance, 69(5), 2085–2125.Faure-Grimaud, A., & Gromb, D. (2004). Public Trading and Private Incentives. The Review of Financial Studies, 17(4), 985–1014.Hanlon, M., & Heitzman, S. (2010). A review of tax research. Journal of Accounting and Economics, 50(2), 127–178.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.Harris, L. (1990). Liquidity , Trading Rules and Electronic Trading Systems. In Papers (No. 91–8; Papers). Southern California - School of Business Administration.Jeong-Bon Kim a,1, Yinghua Li b,n , Liandong Zhang, (2011). Corporate tax avoidance and stock price crash risk: Firm-level analysis. (2011). Journal of Financial Economics, 100(3), 639–662.Jones, J. J. (1991). Earnings Management During Import Relief Investigations. Journal of Accounting Research, 29(2), 193–228.Khurana, I. K., & Moser, W. J. (2012). Institutional Shareholders’ Investment Horizons and Tax Avoidance. Journal of the American Taxation Association, 35(1), 111–134.Koenker, R., & Bassett, G. (1978). Regression Quantiles. Econometrica, 46(1), 33–50.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.McGuire, S. T., Wang, D., & Wilson, R. J. (2014). Dual Class Ownership and Tax Avoidance. The Accounting Review, 89(4), 1487–1516.Rego, S. O. (2003). Tax-Avoidance Activities of U.S. Multinational Corporations*. Contemporary Accounting Research, 20(4), 805–833.Rego, S. O., & Wilson, R. (2012). Equity Risk Incentives and Corporate Tax Aggressiveness. Journal of Accounting Research, 50(3), 775–810.Shleifer, A., & Vishny, R. W. (1986). Large Shareholders and Corporate Control. Journal of Political Economy, 94(3, Part 1), 461–488.Slemrod, J. (2004). The Economics of Corporate Tax Selfishness. National Tax Journal, 57(4), 877–899.Tobin, J. (1969). A General Equilibrium Approach To Monetary Theory. Journal of Money, Credit and Banking, 1(1), 15–29.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.Zahra, S. A., Gedajlovic, E., Neubaum, D. O., & Shulman, J. M. (2009). A typology of social entrepreneurs: Motives, search processes and ethical challenges. Journal of Business Venturing, 24(5), 519–532.Zietz, J., Zietz, E. N., & Sirmans, G. S. (2008). Determinants of House Prices: A Quantile Regression Approach. The Journal of Real Estate Finance and Economics, 37(4), 317–333. 描述 碩士
國立政治大學
財政學系
109255032資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109255032 資料類型 thesis dc.contributor.advisor 何怡澄<br>郭振雄 zh_TW dc.contributor.author (Authors) 賴伯嘉 zh_TW dc.contributor.author (Authors) Lai, Po-Chia en_US dc.creator (作者) 賴伯嘉 zh_TW dc.creator (作者) Lai, Po-Chia en_US dc.date (日期) 2022 en_US dc.date.accessioned 2-Sep-2022 15:31:52 (UTC+8) - dc.date.available 2-Sep-2022 15:31:52 (UTC+8) - dc.date.issued (上傳時間) 2-Sep-2022 15:31:52 (UTC+8) - dc.identifier (Other Identifiers) G0109255032 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/141766 - 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) 109255032 zh_TW dc.description.abstract (摘要) 代理問題加劇的租稅規避問題能透過監督機制減緩，其中包含Armstrong et al. (2015)說明公司治理的內部監督機制，和由Chen et al. (2019)所證明的外部股東監督力量，其中Chen et al. (2019)使用股市的流動性代表外部股東監督力量，本研究除了參照Chen et al. (2019)使用的有效價差方式計算股市流動性，更使用2014年開放當沖制度的當沖交易量衡量流動性，探討當沖交易量是否也能達到外部股東監督力量。本研究以2014年至2020年台灣上市櫃公司為研究對象並使用分量迴歸模型觀察公司租稅規避的極端行為，結果顯示若使用有效價差衡量流動性時，流動性的提升能夠減緩公司極端租稅規避行為，但若使用當沖交易量衡量流動性時，卻會加劇公司的極端租稅規避行為。本文在敏感性測試中加入公司治理變數代表內部監督力量，結果顯示流動性在有內部監督力量下，對於公司極端避稅行為仍有所影響，另外本研究也發現，高當沖交易量公司相較於其他公司，本身就偏好極端的租稅規避行為，然而低當沖交易量公司相較於其他公司，本身反而不偏好極端的租稅規避行為。 zh_TW dc.description.abstract (摘要) Tax avoidance exacerbated by agency problems can be mitigated through supervisory mechanisms, including internal mechanisms of corporate governance. This paper exploring the external shareholder mechanisms demonstrated by Chen et al. (2019), who used the liquidity of the stock market to represent the monitoring power of external shareholders. In addition to calculating the liquidity of the stock market with reference to the effective spread method used by Chen et al. (2019), this study also used day trading volume to measure liquidity, and explored whether the liquidity of day trading transactions can also represent the power of external shareholder supervision. This paper used listed companies from 2014 to 2020 in Taiwan and used quantile regression model to observe the extreme behavior of tax avoidance. The results show that if the liquidity is measured by the effective spread, the liquidity can mitigate extreme tax avoidance, but when liquidity is measured by day trading volume, it would exacerbate the extreme tax avoidance. In sensitivity analyses, corporate governance variables are added to represent the power of internal supervision. The results show that liquidity still has an impact on the extreme tax avoidance under the power of internal supervision. other analyses showed that compared with other companies, high day trading volume’s companies prefer extreme tax avoidance, however, compared with other companies, low day trading volume’s companies do not prefer extreme tax avoidance. en_US dc.description.tableofcontents 第壹章 緒論 1第一節 研究動機 1第二節 研究流程 3第貳章 文獻回顧與假說發展 4第一節 當沖制度 5第二節 租稅規避 9第三節 流動性 10第四節 分量迴歸 12第五節 假說發展 14第參章 研究方法 16第一節 資料來源與樣本篩選 16第二節 變數定義 17第三節 實證模型 26第肆章 實證結果 28第一節 樣本敘述統計 28第二節 實證結果 36第三節 敏感性分析 41第伍章 研究結論與限制 70第一節 研究結論 70第二節 研究限制 72參考文獻 73 zh_TW dc.format.extent 5473176 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109255032 en_US dc.subject (關鍵詞) 股市流動性 zh_TW dc.subject (關鍵詞) 分量迴歸 zh_TW dc.subject (關鍵詞) 租稅規避 zh_TW dc.subject (關鍵詞) Stock liquidity en_US dc.subject (關鍵詞) Quantile regression en_US dc.subject (關鍵詞) Tax avoidance en_US dc.title (題名) 當沖制度與租稅規避 zh_TW dc.title (題名) Day Trading And Tax Avoidance en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 金融監督管理委員會，2017，調降現股當日沖銷證券交易稅之稅式支出評估報告，1-43金融監督管理委員會，2021，延長調降當日沖銷交易稅之稅式支出評估報告，1-53莊家彰與管中閔，2005，台灣與美國股市價量關係的分量迴歸分析，經濟論文，第33卷第4期，379-404。陳建良與管中閔，2006，台灣工資函數與工資性別歧視的分量迴歸分析，經濟論文，第34卷第4期，435-468。菅瑞昌與闕河士，2011，資訊不對稱如何影響股利政策？信號發射或融資順位，亞太經濟管理評論，15(1)，83-110。陳炫谷，2020，股票流動性與企業避稅關聯性之研究，台北大學會計學研究所未出版碩士論文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.Bertrand, M., & Mullainathan, S. (2003). Enjoying the Quiet Life? Corporate Governance and Managerial Preferences. Journal of Political Economy, 111(5), 1043–1075.Chen, Y., Ge, R., Louis, H., & Zolotoy, L. (2019). Stock liquidity and corporate tax avoidance. Review of Accounting Studies, 24(1), 309–340.Collin-Dufresne, P., & Fos, V. (2014). Insider Trading, Stochastic Liquidity and Equilibrium Prices (SSRN Scholarly Paper No. 2179997). Social Science Research Network.Dechow, P. M., Sloan, R. G., & Sweeney, A. P. (1995). Detecting Earnings Management. The Accounting Review, 70(2), 193–225.Dyreng, S., Hoopes, J. L., & Wilde, J. H. (2015). Public Pressure and Corporate Tax Behavior (SSRN Scholarly Paper No. 2474346). Social Science Research Network.Eide, E., & Showalter, M. H. (1998). The effect of school quality on student performance: A quantile regression approach. Economics Letters, 58(3), 345–350.Fang, V. W., Noe, T. H., & Tice, S. (2009). Stock market liquidity and firm value. Journal of Financial Economics, 94(1), 150–169.Fang, V. W., Tian, X., & Tice, S. (2014). Does Stock Liquidity Enhance or Impede Firm Innovation? The Journal of Finance, 69(5), 2085–2125.Faure-Grimaud, A., & Gromb, D. (2004). Public Trading and Private Incentives. The Review of Financial Studies, 17(4), 985–1014.Hanlon, M., & Heitzman, S. (2010). A review of tax research. Journal of Accounting and Economics, 50(2), 127–178.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.Harris, L. (1990). Liquidity , Trading Rules and Electronic Trading Systems. In Papers (No. 91–8; Papers). Southern California - School of Business Administration.Jeong-Bon Kim a,1, Yinghua Li b,n , Liandong Zhang, (2011). Corporate tax avoidance and stock price crash risk: Firm-level analysis. (2011). Journal of Financial Economics, 100(3), 639–662.Jones, J. J. (1991). Earnings Management During Import Relief Investigations. Journal of Accounting Research, 29(2), 193–228.Khurana, I. K., & Moser, W. J. (2012). Institutional Shareholders’ Investment Horizons and Tax Avoidance. Journal of the American Taxation Association, 35(1), 111–134.Koenker, R., & Bassett, G. (1978). Regression Quantiles. Econometrica, 46(1), 33–50.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.McGuire, S. T., Wang, D., & Wilson, R. J. (2014). Dual Class Ownership and Tax Avoidance. The Accounting Review, 89(4), 1487–1516.Rego, S. O. (2003). Tax-Avoidance Activities of U.S. Multinational Corporations*. Contemporary Accounting Research, 20(4), 805–833.Rego, S. O., & Wilson, R. (2012). Equity Risk Incentives and Corporate Tax Aggressiveness. Journal of Accounting Research, 50(3), 775–810.Shleifer, A., & Vishny, R. W. (1986). Large Shareholders and Corporate Control. Journal of Political Economy, 94(3, Part 1), 461–488.Slemrod, J. (2004). The Economics of Corporate Tax Selfishness. National Tax Journal, 57(4), 877–899.Tobin, J. (1969). A General Equilibrium Approach To Monetary Theory. Journal of Money, Credit and Banking, 1(1), 15–29.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.Zahra, S. A., Gedajlovic, E., Neubaum, D. O., & Shulman, J. M. (2009). A typology of social entrepreneurs: Motives, search processes and ethical challenges. Journal of Business Venturing, 24(5), 519–532.Zietz, J., Zietz, E. N., & Sirmans, G. S. (2008). Determinants of House Prices: A Quantile Regression Approach. The Journal of Real Estate Finance and Economics, 37(4), 317–333. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202201435 en_US
