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題名 稅率和舉債影響初始報酬? 以臺灣初次上市股票為例
Do Tax Rate and Leverage Affect Initial Return? Evidence from IPOs in Taiwan
作者 林哲安
Lin, Che An
貢獻者 姜堯民
Chiang, Yao Min
林哲安
Lin, Che An
關鍵詞 初次股票上市
初始報酬
稅率
負債比率
槓桿比率
市場價值
成立年數
Initial Public Offering
Initial Return
Tax Rate
Debt Ratio
Leverage Ratio
Market Value
Age
日期 2012
上傳時間 1-Jul-2013 17:43:58 (UTC+8)
摘要 企業初次股票上市(IPO，Initial Public Offering)儼然成為財務領域上炙手可熱的話題。由於前人未將稅率變數、槓桿比率變數、初始報酬變數之間的關係做出系統性的統整，所以本文藉由IPO的樣本，試圖驗證(1)稅率對槓桿比率和(2)稅率及槓桿比率對初始報酬(Initial Returns)的影響。

本文採用Taiwan Economic Journal (TEJ)資料庫，於西元2005至西元2011共216檔首次上市櫃股票做為樣本。並以應變數(短期負債比、長期負債比、槓桿比率、初始報酬)、自變數(稅率、短期負債比、長期負債比、槓桿比率)、以及控制變數(成立年數、電子設備產業之虛擬變數、IPO發行年代之虛擬變數、上市櫃虛擬變數、新舊股比率、市場價值)作為解釋本文模型假設的變數。

本文主要得證三項結果，(1)稅率和企業價值分別與槓桿比率呈現正相關。(2)上市櫃的虛擬變數和IPO年代的虛擬變數對企業舉債融資扮演重要的決定因素。(3)稅率、長期負債比率和上市櫃的虛擬變數分別與初始報酬呈現負相關。
So far initial public offering (IPO) has become one of well-known topics in finan-cial research. IPO draws researchers’ attentions to various sub-topics. By testing samples of firms with initial public offerings, we mainly attempt to prove the hypo-theses (1) that tax rate may affect leverage ratios (2) and that tax rate and multiple debt ratios may influence initial returns because they are the important variables that have not been systematically integrated in recent empirical research. The pur-pose of this paper is not to ignore any of these advances, but to integrate variables to shed new empirical light on an old theory.

The data this paper use derive from Taiwan Economic Journal (TEJ) database of IPO firms going public in Taiwan Stock Exchange (TSE) or over-the-counter (OTC) markets. After we refine the raw data, there are 216 domestic IPOs data issued in TSE and OTC from 2005 to 2011 in our sample. This paper uses dependent variables (i.e., short-term debt ratio, long-term debt ratio, total debt ratio, and initial return), independent variables (i.e., tax rate, short-term debt ratio, long-term debt ratio, total debt ratio), and control variables (i.e., age, electronic equipment industry dummy, IPO year dummy, TSE or OTC dummy, ratios of new shares and old shares, and corporate market value) to examine our expectations and hypotheses.

The results of this paper show that (1) the greater tax rates and corporate mar-ket value give rise to higher leverage ratios, that (2) dummy of TSE or OTC and dum-mies of IPO years play important parts in debt financing, and that (3) tax rate, long-term debt ratio, and dummy of TSE or OTC are negatively related to initial re-turns.
參考文獻 Reference

1. 李榮鎮、蔡佩靜、林純夷(2010)，「台灣初次上市上櫃公司股價長短期表現之研究」，台灣銀行季刊，62卷1期，193-222。
2. Aggarwal, Rajesh, Sanjai Bhagat, and Srinivasan Rangan (2009), “The impact of fundamentals on IPO valuation” Financial Management, summer 2009, pages 253 – 284.
3. Brounen, Dirk and Piet Eichholtz (2006), “Initial public offerings- evidence from the British, French and Swedish property share markets” Journal of Real Estate Finance & Economics, Vol. 24, 103-117.
4. Chen, Anlin, Li-Wei Chen, and Lanfeng Kao (2008), “Leverage, liquidity and IPO long-run performance evidence from Taiwan IPO markets” International Journal of Accounting and Information Management, Vol. 18 No. 1, 2010, pp. 31-38.
5. Chen, Gongmeng, Michael Firth, and Gopal V. Krishnan (2001), “Earnings fore-cast error in IPO prospectuses and their associations with initial stock returns” Journal of Multinational Financial Management, 11, 225–240.
6. Chowdhry, Bhagwan and Vikram Nanda (1996), “Stabilization, syndication, and pricing of IPOs” Journal of Finance and Quantitative Analysis, Vol 31, No.1, March 1996.
7. De Bondt, W. F. M. and R. H. Thaler (1985), “Does the stock market overreact?” Journal of Finance, 40, pp.793-808.
8. De Bondt, W. F. M. and R. H. Thaler (1987), “Further evidence on investor over-reaction and stock market seasonality,’’ Journal of Finance, 42(3), 557-580.
9. Dissanaike, G. (1997), “Do stock market investors overreact’’ Journal of Business Finance and Accounting Review, 24(1), 27-50.
10. DuCharme, Larry L., Paul H. Malatesta, and Stephan E. Sefcik (2000), “Earnings management：IPO valuation and subsequent performance” Journal of Ac-counting, Auditing & Finance.
11. Eckbo, B. Espen, Oyvind Norli (2005), “Liquidity risk, leverage and long-run IPO returns” Journal of Corporate Finance, Volume 11, Issues 1–2, March 2005, Pages 1–35.
12. Erdogan, Aysa Ipek (2010), “The long-run performance of initial public offerings- the case of Turkey” European Journal of Economics, Finance and Administrative Sciences, ISSN 1450-2275 Issue 26 (2010).
13. Giudici, Giancarlo and Stefano Paleari (2001), “The market performance of Ital-ian IPOs” Presentation at the 8th Asia Pacific Finance Association Annual Con-ference, Bangkok (Thailand), 22nd-25th July 2001.
14. Gordon, Roger H. and Young Lee (2000), “Do taxes affect corporate debt policy- evidence from U.S. corporate debt policy- evidence from U.S. corporate tax re-turn data” NBER Working Paper, No.7433, December 1999.
15. Kim, Dongcheol, Darius Palia, and Anthony Saunders (2003), “The long-run be-havior of debt and equity underwriting spreads” SSRN Electronic Journal, 2003.
16. Leland, Hayne E. and David H. Pyle (1977), “Informational Asymmetries, finan-cial structure, and financial intermediation” The Journal of Finance, VOL. XXXII, NO. 2, May 1977
17. Lester, Richard H., S. Trevis Certo, Catherine M. Dalton, Dan R. Dalton, and Al-bert A. Cannella, Jr. (2006), “Initial public offering investor valuations- an ex-amination of top management team prestige and environmental uncertainty” Journal of Small Business Management, 2006 44(1), pp. 1–26.
18. Lin, Z.Jun, Liyan Wang, and Xianqian Liu (2005), “Tax Preferences and Initial Public Offerings Packaging by the Listed Companies in China’’ International Tax Journal, winter 2005, Vol. 31 Issue 1, p25.
19. Ljungqvist, Alexander P. (1997), “Pricing initial public offerings- further evi-dence from Germany” European Economic Review, 41 (1997), 1309-1320.
20. James, Christopher and Peggy Wier (1990), “Borrowing relationships, intermed-iation, and the cost of issuing public securities” Journal of Financial Economics, Volume 28, Issues 1–2, November–December 1990, Pages 149–171.
21. Jegadeesh, Narasimhan, Mark Weinstein, and Ivo Welch (1993), “An empirical investigation of IPO returns and subsequent equity offerings” Journal of Finan-cial Econsmics, 34, I53-175.
22. Mackie-Mason, Jeffrey (1990), “Do taxes affect corporate financing decisions?” Journal of Finance, American Finance Association, vol. 45(5), pages 1471-93, December.
23. Michaely, Roni and Wayne H. Shaw (1994), “The pricing of initial public offer-ings- testing of adverse-selection and signaling theories” The Review of Finan-cial Studies, summer 1994, Vol. 7, No. 2, pp. 279-319.
24. Miller, Robert E., Michael H. Morris, Kevin Scanlon (1994), “Capital structure and tax status- new evidence from IPOs” Journal of Accounting, Auditing & Finance, April 1994, 9:197-210.
25. Modigliani, F., and M. H. Miller (1963), “Corporate Income Taxes and the Cost of Capital: A Correction’’ The American Economic Review, 53, 433—443.
26. Muscarella, Chris J.and Vetsuypens, Michael R. (1989), “A simple test of Baron`s model of IPO underpricing” Journal of Financial Economics, 125-135.
27. Nell, John D., Susan G. Pourclau, and Thomas F.Schaefer (1995), “Accounting method choice and IPO valuation” Accounting Horizons, Vol.9, No.3, September 1995, pp.68-80.
28. Rajan, Raghuram and Luigi Zingales (1995),”What do we know about capital structure? Some evidence from international data” The Journal of Finance, Vol I, No.5, December 1995
29. Richard H. Lester; S. Trevis Certo; Catherine M. Dalton; Dan R. Dalton; Albert A. Cannella Jr. (2006), “Initial public offering investor valuations: An examination of top management team prestige and environmental uncertainty” Journal of Small Business Management, Vol 44, January 2006, Page 1-26
30. Ritter, Jay R. (1991), “The long-run performance of initial public offering” The Journal of Finance, 46 (1), 3-27.
31. Schenone, Carola (2004), “The Effect of Banking Relationships on the Firm`s IPO Underpricing.” The Journal of Finance, Vol. LIX, No. 6, December 2004.
32. Scholes, M. S., and M. A. Wolfson (1992), “Taxes and Business Strategies: A Planning Approach” Englewood Cliffs, NJ: Prentice-Hall.
33. Sherman, Ann E. (2002), “Global trends in IPO methods-book building vs. auc-tions” Journal of Financial Economics, Vol. 78, December 2005, 615-649.
34. Smith, C.W. and R. Watts (1992), “The investment opportunity set and corporate financing, dividend, and compensation policies” Journal of Financial Economics 32, 263-292.
35. Teoh, Siew Hong, Ivo Welch, and T. J. Wong (1998), “Earnings management and the long-run market performance of initial public offerings” The Journal of Finance, Vol. LIII, NO. 6, December 1998.
36. Welch, Ivo and Jay Ritter (2002), “A review of IPO activities, pricing, and alloca-tions” Yale ICF Working Paper, No.02-01.
描述 碩士
國立政治大學
財務管理研究所
99357033
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099357033
資料類型 thesis
dc.contributor.advisor 姜堯民zh_TW
dc.contributor.advisor Chiang, Yao Minen_US
dc.contributor.author (Authors) 林哲安zh_TW
dc.contributor.author (Authors) Lin, Che Anen_US
dc.creator (作者) 林哲安zh_TW
dc.creator (作者) Lin, Che Anen_US
dc.date (日期) 2012en_US
dc.date.accessioned 1-Jul-2013 17:43:58 (UTC+8)-
dc.date.available 1-Jul-2013 17:43:58 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2013 17:43:58 (UTC+8)-
dc.identifier (Other Identifiers) G0099357033en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58711-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 99357033zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) 企業初次股票上市(IPO，Initial Public Offering)儼然成為財務領域上炙手可熱的話題。由於前人未將稅率變數、槓桿比率變數、初始報酬變數之間的關係做出系統性的統整，所以本文藉由IPO的樣本，試圖驗證(1)稅率對槓桿比率和(2)稅率及槓桿比率對初始報酬(Initial Returns)的影響。

本文採用Taiwan Economic Journal (TEJ)資料庫，於西元2005至西元2011共216檔首次上市櫃股票做為樣本。並以應變數(短期負債比、長期負債比、槓桿比率、初始報酬)、自變數(稅率、短期負債比、長期負債比、槓桿比率)、以及控制變數(成立年數、電子設備產業之虛擬變數、IPO發行年代之虛擬變數、上市櫃虛擬變數、新舊股比率、市場價值)作為解釋本文模型假設的變數。

本文主要得證三項結果，(1)稅率和企業價值分別與槓桿比率呈現正相關。(2)上市櫃的虛擬變數和IPO年代的虛擬變數對企業舉債融資扮演重要的決定因素。(3)稅率、長期負債比率和上市櫃的虛擬變數分別與初始報酬呈現負相關。		zh_TW
dc.description.abstract (摘要) So far initial public offering (IPO) has become one of well-known topics in finan-cial research. IPO draws researchers’ attentions to various sub-topics. By testing samples of firms with initial public offerings, we mainly attempt to prove the hypo-theses (1) that tax rate may affect leverage ratios (2) and that tax rate and multiple debt ratios may influence initial returns because they are the important variables that have not been systematically integrated in recent empirical research. The pur-pose of this paper is not to ignore any of these advances, but to integrate variables to shed new empirical light on an old theory.

The data this paper use derive from Taiwan Economic Journal (TEJ) database of IPO firms going public in Taiwan Stock Exchange (TSE) or over-the-counter (OTC) markets. After we refine the raw data, there are 216 domestic IPOs data issued in TSE and OTC from 2005 to 2011 in our sample. This paper uses dependent variables (i.e., short-term debt ratio, long-term debt ratio, total debt ratio, and initial return), independent variables (i.e., tax rate, short-term debt ratio, long-term debt ratio, total debt ratio), and control variables (i.e., age, electronic equipment industry dummy, IPO year dummy, TSE or OTC dummy, ratios of new shares and old shares, and corporate market value) to examine our expectations and hypotheses.

The results of this paper show that (1) the greater tax rates and corporate mar-ket value give rise to higher leverage ratios, that (2) dummy of TSE or OTC and dum-mies of IPO years play important parts in debt financing, and that (3) tax rate, long-term debt ratio, and dummy of TSE or OTC are negatively related to initial re-turns.		en_US
dc.description.tableofcontents Index
Abstract 4
Index 6
Tables 7
Figures 7
Reference 47

1. Introduction 8
1-1　Research Motivation and Research Purpose 8
1-2　Research Structure 12

2. Literature Review and Hypotheses 15
2-1　Tax Rate and Debt Ratio 15
2-2　Hypotheses 19

3. Sample Selection and Descriptive Statistics 21
3-1　Sample Selection 21
3-2　Descriptive Statistics 23

4. Research Design 24
4-1　Definitions of Variables 24
4-2　Multiple Leverage Ratios and Initial Return as the Dependent Variables 26
4-3　Tax Rate and Multiple Leverage Ratios as the Independent Variables 27
4-4　Control Variables 28
4-4-1　Age, Electronic Equipment Industry Dummy, and IPO Years Dummies 28
4-4-2 Dummy of TSE or OTC 32
4-4-3　Ratios of New Shares and Old Shares 33
4-4-4　Corporate Market Values 34
4-5　Empirical Model 35

5.　Regression Results and Model of Elimination of Dummies of IPO Years 37
5-1　Regression Results of Equation (1), Equation (2), and Equation (3) 37
5-2　Model of Elimination of Dummies of IPO Years 40
5-3　Regression Results of Equation (4), Equation (5), and Equation (6) 43

6.　Conclusions and Further Research 45		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099357033en_US
dc.subject (關鍵詞) 初次股票上市zh_TW
dc.subject (關鍵詞) 初始報酬zh_TW
dc.subject (關鍵詞) 稅率zh_TW
dc.subject (關鍵詞) 負債比率zh_TW
dc.subject (關鍵詞) 槓桿比率zh_TW
dc.subject (關鍵詞) 市場價值zh_TW
dc.subject (關鍵詞) 成立年數zh_TW
dc.subject (關鍵詞) Initial Public Offeringen_US
dc.subject (關鍵詞) Initial Returnen_US
dc.subject (關鍵詞) Tax Rateen_US
dc.subject (關鍵詞) Debt Ratioen_US
dc.subject (關鍵詞) Leverage Ratioen_US
dc.subject (關鍵詞) Market Valueen_US
dc.subject (關鍵詞) Ageen_US
dc.title (題名) 稅率和舉債影響初始報酬? 以臺灣初次上市股票為例zh_TW
dc.title (題名) Do Tax Rate and Leverage Affect Initial Return? Evidence from IPOs in Taiwanen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Reference

1. 李榮鎮、蔡佩靜、林純夷(2010)，「台灣初次上市上櫃公司股價長短期表現之研究」，台灣銀行季刊，62卷1期，193-222。
2. Aggarwal, Rajesh, Sanjai Bhagat, and Srinivasan Rangan (2009), “The impact of fundamentals on IPO valuation” Financial Management, summer 2009, pages 253 – 284.
3. Brounen, Dirk and Piet Eichholtz (2006), “Initial public offerings- evidence from the British, French and Swedish property share markets” Journal of Real Estate Finance & Economics, Vol. 24, 103-117.
4. Chen, Anlin, Li-Wei Chen, and Lanfeng Kao (2008), “Leverage, liquidity and IPO long-run performance evidence from Taiwan IPO markets” International Journal of Accounting and Information Management, Vol. 18 No. 1, 2010, pp. 31-38.
5. Chen, Gongmeng, Michael Firth, and Gopal V. Krishnan (2001), “Earnings fore-cast error in IPO prospectuses and their associations with initial stock returns” Journal of Multinational Financial Management, 11, 225–240.
6. Chowdhry, Bhagwan and Vikram Nanda (1996), “Stabilization, syndication, and pricing of IPOs” Journal of Finance and Quantitative Analysis, Vol 31, No.1, March 1996.
7. De Bondt, W. F. M. and R. H. Thaler (1985), “Does the stock market overreact?” Journal of Finance, 40, pp.793-808.
8. De Bondt, W. F. M. and R. H. Thaler (1987), “Further evidence on investor over-reaction and stock market seasonality,’’ Journal of Finance, 42(3), 557-580.
9. Dissanaike, G. (1997), “Do stock market investors overreact’’ Journal of Business Finance and Accounting Review, 24(1), 27-50.
10. DuCharme, Larry L., Paul H. Malatesta, and Stephan E. Sefcik (2000), “Earnings management：IPO valuation and subsequent performance” Journal of Ac-counting, Auditing & Finance.
11. Eckbo, B. Espen, Oyvind Norli (2005), “Liquidity risk, leverage and long-run IPO returns” Journal of Corporate Finance, Volume 11, Issues 1–2, March 2005, Pages 1–35.
12. Erdogan, Aysa Ipek (2010), “The long-run performance of initial public offerings- the case of Turkey” European Journal of Economics, Finance and Administrative Sciences, ISSN 1450-2275 Issue 26 (2010).
13. Giudici, Giancarlo and Stefano Paleari (2001), “The market performance of Ital-ian IPOs” Presentation at the 8th Asia Pacific Finance Association Annual Con-ference, Bangkok (Thailand), 22nd-25th July 2001.
14. Gordon, Roger H. and Young Lee (2000), “Do taxes affect corporate debt policy- evidence from U.S. corporate debt policy- evidence from U.S. corporate tax re-turn data” NBER Working Paper, No.7433, December 1999.
15. Kim, Dongcheol, Darius Palia, and Anthony Saunders (2003), “The long-run be-havior of debt and equity underwriting spreads” SSRN Electronic Journal, 2003.
16. Leland, Hayne E. and David H. Pyle (1977), “Informational Asymmetries, finan-cial structure, and financial intermediation” The Journal of Finance, VOL. XXXII, NO. 2, May 1977
17. Lester, Richard H., S. Trevis Certo, Catherine M. Dalton, Dan R. Dalton, and Al-bert A. Cannella, Jr. (2006), “Initial public offering investor valuations- an ex-amination of top management team prestige and environmental uncertainty” Journal of Small Business Management, 2006 44(1), pp. 1–26.
18. Lin, Z.Jun, Liyan Wang, and Xianqian Liu (2005), “Tax Preferences and Initial Public Offerings Packaging by the Listed Companies in China’’ International Tax Journal, winter 2005, Vol. 31 Issue 1, p25.
19. Ljungqvist, Alexander P. (1997), “Pricing initial public offerings- further evi-dence from Germany” European Economic Review, 41 (1997), 1309-1320.
20. James, Christopher and Peggy Wier (1990), “Borrowing relationships, intermed-iation, and the cost of issuing public securities” Journal of Financial Economics, Volume 28, Issues 1–2, November–December 1990, Pages 149–171.
21. Jegadeesh, Narasimhan, Mark Weinstein, and Ivo Welch (1993), “An empirical investigation of IPO returns and subsequent equity offerings” Journal of Finan-cial Econsmics, 34, I53-175.
22. Mackie-Mason, Jeffrey (1990), “Do taxes affect corporate financing decisions?” Journal of Finance, American Finance Association, vol. 45(5), pages 1471-93, December.
23. Michaely, Roni and Wayne H. Shaw (1994), “The pricing of initial public offer-ings- testing of adverse-selection and signaling theories” The Review of Finan-cial Studies, summer 1994, Vol. 7, No. 2, pp. 279-319.
24. Miller, Robert E., Michael H. Morris, Kevin Scanlon (1994), “Capital structure and tax status- new evidence from IPOs” Journal of Accounting, Auditing & Finance, April 1994, 9:197-210.
25. Modigliani, F., and M. H. Miller (1963), “Corporate Income Taxes and the Cost of Capital: A Correction’’ The American Economic Review, 53, 433—443.
26. Muscarella, Chris J.and Vetsuypens, Michael R. (1989), “A simple test of Baron`s model of IPO underpricing” Journal of Financial Economics, 125-135.
27. Nell, John D., Susan G. Pourclau, and Thomas F.Schaefer (1995), “Accounting method choice and IPO valuation” Accounting Horizons, Vol.9, No.3, September 1995, pp.68-80.
28. Rajan, Raghuram and Luigi Zingales (1995),”What do we know about capital structure? Some evidence from international data” The Journal of Finance, Vol I, No.5, December 1995
29. Richard H. Lester; S. Trevis Certo; Catherine M. Dalton; Dan R. Dalton; Albert A. Cannella Jr. (2006), “Initial public offering investor valuations: An examination of top management team prestige and environmental uncertainty” Journal of Small Business Management, Vol 44, January 2006, Page 1-26
30. Ritter, Jay R. (1991), “The long-run performance of initial public offering” The Journal of Finance, 46 (1), 3-27.
31. Schenone, Carola (2004), “The Effect of Banking Relationships on the Firm`s IPO Underpricing.” The Journal of Finance, Vol. LIX, No. 6, December 2004.
32. Scholes, M. S., and M. A. Wolfson (1992), “Taxes and Business Strategies: A Planning Approach” Englewood Cliffs, NJ: Prentice-Hall.
33. Sherman, Ann E. (2002), “Global trends in IPO methods-book building vs. auc-tions” Journal of Financial Economics, Vol. 78, December 2005, 615-649.
34. Smith, C.W. and R. Watts (1992), “The investment opportunity set and corporate financing, dividend, and compensation policies” Journal of Financial Economics 32, 263-292.
35. Teoh, Siew Hong, Ivo Welch, and T. J. Wong (1998), “Earnings management and the long-run market performance of initial public offerings” The Journal of Finance, Vol. LIII, NO. 6, December 1998.
36. Welch, Ivo and Jay Ritter (2002), “A review of IPO activities, pricing, and alloca-tions” Yale ICF Working Paper, No.02-01.		zh_TW