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題名 2018年股利稅改新制對除息日股價行為的影響
Impact of the 2018 Dividend Tax Reform on Ex-dividend Day Stock Price Behavior
作者 李琪
LEE, CHI
貢獻者 盧敬植
Lu, Ching-Chih
李琪
CHI LEE
關鍵詞 股利稅改新制
除息日
超額報酬
除息日價格下跌率
Dividend Tax Reform
Ex-Dividend Day
Abnormal Return
Price Drop Ratio
日期 2024
上傳時間 5-Aug-2024 13:41:46 (UTC+8)
摘要 本研究以2018年股利稅改新制為研究主題，延續林世銘等(2001)與Chen et al.(2013)針對1998年兩稅合一制的探討，觀察2018年股利稅改對除息日股價行為的影響，並試圖找出影響除息日股價行為的因素。 實證結果顯示，在2018年稅改後，除息日價格下跌率(Price Drop Ratio, PDR)顯著增加而相對於市場報酬的超額報酬(Abnormal Return, AR)則顯著減少，表示除息當日的買盤力道減弱，填息幅度減小。由於股息所得稅為參與股息捕獲交易的成本之一，稅率越高的投資者成本越大，越不易自股息捕獲交易中獲利。研究顯示，於兩稅合一制實施年間，所得稅級距12%以下的個人投資者在進行股息捕獲交易時，平均都能拿到大於零的超額報酬(q)；在2018年股利稅改新制實施後，無論是哪一種所得稅級距的個人投資者，都無法通過先買後賣的股息捕獲交易獲取利潤。 為探討影響PDR的重要因素，本研究以2018年為基準設立虛擬變數，並以股息殖利率、股票波動度、公司股權結構為控制變數對PDR做多元迴歸。結果顯示，2018年制度改革後的PDR顯著大於改革以前的年份，股息殖利率、股票波動度與PDR呈現正相關，而持股比率對PDR的影響較無規律可循。進一步使用Chow Test檢視2018年的制度改革會不會對上述迴歸式的係數有所影響，結果顯示2018年的制度改革造成了結構性的改變，迴歸係數有所不同。
This study investigates the effects of the 2018 dividend tax reform on stock price behavior on ex-dividend days, building on prior research by Lin et al.(2001)and Chen et al.(2013)concerning the 1998 imputation tax system. The empirical results show that after the 2018 tax reform, the Price Drop Ratio(PDR)on ex-dividend days significantly increased, while the Abnormal Return(AR)relative to market returns significantly decreased. Considering transaction costs and dividend tax rates, the marginal tax rate for investors who could profit from "dividend capture trading" decreased from 12% during the imputation tax system years to 0% in the years following the 2018 tax reform. To explore the key factors affecting the PDR, this study uses a dummy variable for 2018 as a baseline, and conducts a multiple regression analysis on the PDR using dividend yield, stock volatility, and company ownership structure as control variables. The results indicate that the PDR after the 2018 reform is significantly higher than in previous years, with dividend yield and stock volatility positively correlated with the PDR, while the impact of ownership ratio on the PDR is inconsistent. Further, using the Chow Test to examine whether the 2018 reform caused structural changes in the regression coefficients, the results show that the 2018 reform indeed caused structural changes, resulting in different regression coefficients.
參考文獻 李存修.(1994). 股票股利除權交易日之稅後超額報酬與比價心理假說之實證. 台大管理論叢, 第五卷第一期, 頁 41－60. 林世銘、陳明進、李存修.(2001). 兩稅合一前後上市公司除權及除息日股價行為之探討. 管理學報, 第十八卷第三, 頁 477-501. Bali and Hite.(1998).Ex dividend day stock price behavior: discreteness or tax induced clienteles?. Journal of Financial Economics, 47, 127-159. Bhardwaj and Brooks(1999). Further Evidence on Dividend Yields and the Ex-Dividend Day Stock Price Effect. Journal of Financial Research, 22(4), 503-514. Boyd, John, and Ravi Jagannathan(1994). Ex-dividend price behavior of common stocks. Review of Financial Studies, 7, 711–741. Chen, H.-L., Chow, E. H., & Shiu, C.-Y.(2013). Ex-dividend prices and investor trades: Evidence from Taiwan. Pacific-Basin Finance Journal, 24, 39-65. Durand, D. and A. M. May(1960). The Ex-dividend Behaviour of American Telephone and Telegraph Stock. Journal of Finance, 15(1), 19-31. Elton, E. and M. Gruber(1970). Marginal Stockholder Tax Rates and the Clientele Effect. Review of Economics and Statistic, 52, 68-74. Frank, M., & Jagannathan, R.(1998). Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes. Journal of Financial Economics, 47(2), 161-188. Graham, J. R., Michaely, R., & Roberts, M. R.(2003). Do price discreteness and transactions costs affect stock returns? Comparing ex‐dividend pricing before and after decimalization. The Journal of Finance, 58(6), 2611-2636. Hu, S. y., & Tseng, Y. I.(2006). Who Wants to Trade Around Ex‐Dividend Days? Financial Management, 35(4), 95-119. Kalay, A.(1982). The ex‐dividend day behavior of stock prices: a re‐examination of the clientele effect. The Journal of Finance, 37(4), 1059-1070. Liljeblom, E., Löflund, A., & Hedvall, K.(2001). Foreign and domestic investors and tax induced ex-dividend day trading. Journal of banking & finance, 25(9), 1687-1716. Michaely, R., & Vila, J.-L.(1995). Investors' heterogeneity, prices, and volume around the ex-dividend day. Journal of Financial and Quantitative Analysis, 30(2), 171-198. Miller, M. H., and F. Modigliani.(1961). Dividend Policy, Growth, and the Valuation of Shares. Journal of Business, 34, 411-433. Naranjo, Andy, M. Nimalendran, and Michael Ryngaert(2000). Time variation of ex‐dividend day stock returns and corporate dividend capture: A reexamination. The Journal of Finance, 55, 2357-2372. Rantapuska, E.(2008). Ex-dividend day trading: Who, how, and why?: Evidence from the Finnish market. Journal of Financial Economics, 88(2), 355-374. Tseng, Y.-l., & Hu, S.-y.(2013). Tax reform and the identity of marginal traders around ex-dividend days. Pacific-Basin Finance Journal, 25, 181-199. Tyler R. Henry, and Jennifer L. Koski(2016). Ex‐Dividend Profitability and Institutional Trading Skill. The Journal of Finance, 72, 461-494.
描述 碩士
國立政治大學
財務管理學系
111357005
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111357005
資料類型 thesis
dc.contributor.advisor 盧敬植zh_TW
dc.contributor.advisor Lu, Ching-Chihen_US
dc.contributor.author (Authors) 李琪zh_TW
dc.contributor.author (Authors) CHI LEEen_US
dc.creator (作者) 李琪zh_TW
dc.creator (作者) LEE, CHIen_US
dc.date (日期) 2024en_US
dc.date.accessioned 5-Aug-2024 13:41:46 (UTC+8)-
dc.date.available 5-Aug-2024 13:41:46 (UTC+8)-
dc.date.issued (上傳時間) 5-Aug-2024 13:41:46 (UTC+8)-
dc.identifier (Other Identifiers) G0111357005en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152718-
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) 111357005zh_TW
dc.description.abstract (摘要) 本研究以2018年股利稅改新制為研究主題，延續林世銘等(2001)與Chen et al.(2013)針對1998年兩稅合一制的探討，觀察2018年股利稅改對除息日股價行為的影響，並試圖找出影響除息日股價行為的因素。 實證結果顯示，在2018年稅改後，除息日價格下跌率(Price Drop Ratio, PDR)顯著增加而相對於市場報酬的超額報酬(Abnormal Return, AR)則顯著減少，表示除息當日的買盤力道減弱，填息幅度減小。由於股息所得稅為參與股息捕獲交易的成本之一，稅率越高的投資者成本越大，越不易自股息捕獲交易中獲利。研究顯示，於兩稅合一制實施年間，所得稅級距12%以下的個人投資者在進行股息捕獲交易時，平均都能拿到大於零的超額報酬(q)；在2018年股利稅改新制實施後，無論是哪一種所得稅級距的個人投資者，都無法通過先買後賣的股息捕獲交易獲取利潤。 為探討影響PDR的重要因素，本研究以2018年為基準設立虛擬變數，並以股息殖利率、股票波動度、公司股權結構為控制變數對PDR做多元迴歸。結果顯示，2018年制度改革後的PDR顯著大於改革以前的年份，股息殖利率、股票波動度與PDR呈現正相關，而持股比率對PDR的影響較無規律可循。進一步使用Chow Test檢視2018年的制度改革會不會對上述迴歸式的係數有所影響，結果顯示2018年的制度改革造成了結構性的改變，迴歸係數有所不同。zh_TW
dc.description.abstract (摘要) This study investigates the effects of the 2018 dividend tax reform on stock price behavior on ex-dividend days, building on prior research by Lin et al.(2001)and Chen et al.(2013)concerning the 1998 imputation tax system. The empirical results show that after the 2018 tax reform, the Price Drop Ratio(PDR)on ex-dividend days significantly increased, while the Abnormal Return(AR)relative to market returns significantly decreased. Considering transaction costs and dividend tax rates, the marginal tax rate for investors who could profit from "dividend capture trading" decreased from 12% during the imputation tax system years to 0% in the years following the 2018 tax reform. To explore the key factors affecting the PDR, this study uses a dummy variable for 2018 as a baseline, and conducts a multiple regression analysis on the PDR using dividend yield, stock volatility, and company ownership structure as control variables. The results indicate that the PDR after the 2018 reform is significantly higher than in previous years, with dividend yield and stock volatility positively correlated with the PDR, while the impact of ownership ratio on the PDR is inconsistent. Further, using the Chow Test to examine whether the 2018 reform caused structural changes in the regression coefficients, the results show that the 2018 reform indeed caused structural changes, resulting in different regression coefficients.en_US
dc.description.tableofcontents 摘要 I 目錄 III 表次 IV 第一章、 研究動機及背景 5 第二章、 文獻回顧 8 第一節、 除息日股價行為 8 第二節、 國內相關文獻 11 第三章、 研究設計 15 第一節、 資料蒐集與處理 15 第二節、 研究目的 16 第三節、 研究方法與模型建立 17 一、 PDR與AR在2018年稅改前後的改變 17 二、 股息捕獲交易所獲得之超額報酬(q) 19 三、 分析除息日價格下跌率(PDR)的決定因素 22 第四節、 變數定義 23 第四章、 實證結果 25 第一節、 敘述統計量 25 第二節、 PDR與AR在2018年稅改前後的改變 27 第三節、 股息捕獲交易所獲得之超額報酬(q) 28 第四節、 分析除息日價格下跌率(PDR)的決定因素 30 第五章、 穩健性測試 35 第六章、 研究結論與建議 39 第一節、 研究結論 39 第二節、 研究限制與建議 40 參考文獻 41 附錄 43zh_TW
dc.format.extent 1752592 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111357005en_US
dc.subject (關鍵詞) 股利稅改新制zh_TW
dc.subject (關鍵詞) 除息日zh_TW
dc.subject (關鍵詞) 超額報酬zh_TW
dc.subject (關鍵詞) 除息日價格下跌率zh_TW
dc.subject (關鍵詞) Dividend Tax Reformen_US
dc.subject (關鍵詞) Ex-Dividend Dayen_US
dc.subject (關鍵詞) Abnormal Returnen_US
dc.subject (關鍵詞) Price Drop Ratioen_US
dc.title (題名) 2018年股利稅改新制對除息日股價行為的影響zh_TW
dc.title (題名) Impact of the 2018 Dividend Tax Reform on Ex-dividend Day Stock Price Behavioren_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 李存修.(1994). 股票股利除權交易日之稅後超額報酬與比價心理假說之實證. 台大管理論叢, 第五卷第一期, 頁 41－60. 林世銘、陳明進、李存修.(2001). 兩稅合一前後上市公司除權及除息日股價行為之探討. 管理學報, 第十八卷第三, 頁 477-501. Bali and Hite.(1998).Ex dividend day stock price behavior: discreteness or tax induced clienteles?. Journal of Financial Economics, 47, 127-159. Bhardwaj and Brooks(1999). Further Evidence on Dividend Yields and the Ex-Dividend Day Stock Price Effect. Journal of Financial Research, 22(4), 503-514. Boyd, John, and Ravi Jagannathan(1994). Ex-dividend price behavior of common stocks. Review of Financial Studies, 7, 711–741. Chen, H.-L., Chow, E. H., & Shiu, C.-Y.(2013). Ex-dividend prices and investor trades: Evidence from Taiwan. Pacific-Basin Finance Journal, 24, 39-65. Durand, D. and A. M. May(1960). The Ex-dividend Behaviour of American Telephone and Telegraph Stock. Journal of Finance, 15(1), 19-31. Elton, E. and M. Gruber(1970). Marginal Stockholder Tax Rates and the Clientele Effect. Review of Economics and Statistic, 52, 68-74. Frank, M., & Jagannathan, R.(1998). Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes. Journal of Financial Economics, 47(2), 161-188. Graham, J. R., Michaely, R., & Roberts, M. R.(2003). Do price discreteness and transactions costs affect stock returns? Comparing ex‐dividend pricing before and after decimalization. The Journal of Finance, 58(6), 2611-2636. Hu, S. y., & Tseng, Y. I.(2006). Who Wants to Trade Around Ex‐Dividend Days? Financial Management, 35(4), 95-119. Kalay, A.(1982). The ex‐dividend day behavior of stock prices: a re‐examination of the clientele effect. The Journal of Finance, 37(4), 1059-1070. Liljeblom, E., Löflund, A., & Hedvall, K.(2001). Foreign and domestic investors and tax induced ex-dividend day trading. Journal of banking & finance, 25(9), 1687-1716. Michaely, R., & Vila, J.-L.(1995). Investors' heterogeneity, prices, and volume around the ex-dividend day. Journal of Financial and Quantitative Analysis, 30(2), 171-198. Miller, M. H., and F. Modigliani.(1961). Dividend Policy, Growth, and the Valuation of Shares. Journal of Business, 34, 411-433. Naranjo, Andy, M. Nimalendran, and Michael Ryngaert(2000). Time variation of ex‐dividend day stock returns and corporate dividend capture: A reexamination. The Journal of Finance, 55, 2357-2372. Rantapuska, E.(2008). Ex-dividend day trading: Who, how, and why?: Evidence from the Finnish market. Journal of Financial Economics, 88(2), 355-374. Tseng, Y.-l., & Hu, S.-y.(2013). Tax reform and the identity of marginal traders around ex-dividend days. Pacific-Basin Finance Journal, 25, 181-199. Tyler R. Henry, and Jennifer L. Koski(2016). Ex‐Dividend Profitability and Institutional Trading Skill. The Journal of Finance, 72, 461-494.zh_TW