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題名 證券交易所得稅宣告對我國上市公司股票市場之影響-事件研究法之應用
Stock market reaction to capital gains tax change announcement: An event study analysis作者 范高瑋 貢獻者 吳啟銘
范高瑋關鍵詞 證券交易所得稅
宣告效果
事件研究法日期 2012 上傳時間 11-Jul-2013 16:47:14 (UTC+8) 摘要 我國證券交易所得稅制度之復徵，被市場視為一極度負面之影響，而2012年在朝野的共同努力下，開啟了復徵之路。過去皆有文獻討論資本利得稅稅制改變對於證券市場之影響。但是鮮少有文獻使用成長股和價值股的概念，與資本利得稅制修改作一連結。因此本論文擬用2012年3月28日，由當時財政部長劉憶如女士領軍的財政健全小組提出證券交易所得稅復徵為未來改革方向時，做為證所稅復徵宣告日。本論文利用事件研究法對我國上市公司股票作實證分析與研究，並更進一步將上市公司區分成具有成長型特質股(高本益比、低股利支付率)和價值型特質股(低本益比、高股利支付率)，藉由累積異常報酬率的統計檢定和迴歸分析結果觀察，證所稅宣告效果對於不同風格的股票有無不同的影響。 本論文立論在於投資於成長型特質股的投資人，傾向賺取短期的資本利得；價值型特質股的投資人，傾向賺取長期資本利得或股利收入。因此，證所稅復徵會造成成長型特質股投資人預期投資成本增加，股價表現會相對劣於價值型特質股。另外，本論文亦推論證所稅宣告對於過去股價波動度高股影響，相似於成長型特質股；對股價波動低股影響，相似於價值型特質股。 本實證結果有四，一、證所稅復徵宣告對於我國上市公司股票市場影響為顯著為負。二、證所稅復徵宣告，成長型特質股(高本益比、低股利支付率)股價累積異常報酬率顯著劣於價值型特質股(低本益比、高股利支付率)。三、證所稅復徵宣告，股價波動度高股股價異常報酬率顯著劣於波動度低股。四、藉由複迴歸實證分析，成長型特質股解釋變數對於股價累積異常報酬率的影響為負向。價值型特質股對於股價累積異常報酬率影響為正向。 參考文獻 一、英文部分1.Auerbach, A., 1979. Wealth maximization and the cost of capital. Quarterly Journal of Economics, 93, 433-446.2.Basu, S., 1977. Investment performance of common stocks in relation to their price-earnings ratios – a test of the efficient market hypothesis. The Journal of Finance, 32(3), 663-682.3.Bauman, W, Scott, and Robert E, Miller, 1997. InvestorExpectations and the Performance of Value Stocks versus Growth Stocks,. Jounal of Porlfolio Management., 23(3), 57-68.4.Bauman, W. Scott, Conover C. Mitchell and Miller, Robert E., 1998. Growth versus value and large-cap versus small-cap stocks in international markets. Financial Analysts Journal, 54(2), 75-89.5.Black, F and M. Scholes, 1974. The Effects Of Dividend Yield and Dividend Policy on Common Stock Prices and Returns. Journal of Financial Economics, 1(1), 1-226.Blume, Marshall E. 19S0, Stock Returns and Dividend Yields: Some More Evidence. Review of Economics, 62, 567-577De Bondt, Werner F-M., and Richard Thaler, 1985. Does the Stock Market Overreact? Journal of Finance, 40(3), 793-805.7.Douglus A. Shackelford, 2000. Stock market reaction to capital gains tax changes: empirical evidence from the 1997 and 1998 tax acts. Tax Policy and the Economy, 14, 67-928.Fama, Eugene F., and Kenneth R. French, 1992. The Cross-Section of Expected Stock Returns. Journal of Finance, 47(2), 427-466.9.Feldstein, M. and S. Yitzhaki, 1978. The effect of the capital gains tax on the selling and switching of common stocks. Journal of Public Economics, 105, p17-36.10.Gemmill, Robert F., 1956. The Effect of Capital Gains Tax on Asset Price. National Tax Journal 9, p289-301.11.Gordon, R., Bradford, D., 1980. Taxation and the stock market valuation of capital gains and dividends: theory and empirical results. Journal of Public Economics, 14, 109-13612.Gunther, D., 1999. Investor Reaction to Anticipated 1997 Capital Gains Tax Rate Reduction. Boulder, CO: University of Colorado. Working Paper.13.Jang, Hwee-yong J., 1994. The Market Reaction to The 1986 Tax Overhaul: A Study of the Capital Gain Tax Change. Journal of Business Finance & Accounting, 21(8), 1179-119314.Kalay, A., 1980. Signalling, Information Content and the Reluctance to Cut Dividends, Journal of Financial and Quantitative Analysis, 15(4), 855-86915.Kaplanis, C.P., 1986. Options, Taxes and Ex-Dividend Day Behavior, Journal of Finane, 41(2), 411-424.16.Klein, P., 1999. The capital gain lock-in effect and equilibrium returns. Journal of Public Economics, 71, 355-378.17.Lakonishok, Josef, Andrei Shleifer, and Robert W, Vishny, 1994. Contrarian Investment, Extrapolation, and Risk. Journal of Finance, 49(5), l54l-1578.18.Lang, Mark H. and Douglus A. Shackelford, 1999. Capitalizationof Capital Gains taxes: Evidence from Stock Price Reactions to the 1997 Rate Reduction. Journal of Public Economics, 76(1), 69-85.19.Peterson,P., 1989. Event Studies: A Review of Issues and Methodology. Quarterly Journal of Business and Economics, 28, 36-67.20.Poterba, James M., 1987.Tax Evasion and Capital Gains Taxation. NBER Working Paper No. W2119.21.Reese, William A., JR,1998. Capital Gains Taxation and Stock Market Activity: evidence from IPOs. Journal of Finance, 53(5), 1799-1819.二、中文部分1.毛慶生、黃寶慧(2000)，證券交易所得稅與證券交易稅對股票價格的影響，國立政治大學學報，81卷1期，頁73-129。2.何佳諭(2013)，政治連結與併購上市和未上市公司之績效影響－以中國上市企業為例，國立政治大學財務管理學系碩士論文。3.張琬如(2010)，我國資本利得稅式支出之估算－以證券交易所得為例，國立台灣大學經濟學系碩士論文。4.陳如芳(1999)，證券交易所得稅對證券市場之影響，國立政治大學財務管理學系碩士論文。5.謝昌歷(2013)，政治連結對跨國併購的績效影響─以中國上市企業為例，國立政治大學財務管理學系碩士論文。 描述 碩士
國立政治大學
財務管理研究所
100357030
101資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100357030 資料類型 thesis dc.contributor.advisor 吳啟銘 zh_TW dc.contributor.author (Authors) 范高瑋 zh_TW dc.creator (作者) 范高瑋 zh_TW dc.date (日期) 2012 en_US dc.date.accessioned 11-Jul-2013 16:47:14 (UTC+8) - dc.date.available 11-Jul-2013 16:47:14 (UTC+8) - dc.date.issued (上傳時間) 11-Jul-2013 16:47:14 (UTC+8) - dc.identifier (Other Identifiers) G0100357030 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58793 - 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) 100357030 zh_TW dc.description (描述) 101 zh_TW dc.description.abstract (摘要) 我國證券交易所得稅制度之復徵，被市場視為一極度負面之影響，而2012年在朝野的共同努力下，開啟了復徵之路。過去皆有文獻討論資本利得稅稅制改變對於證券市場之影響。但是鮮少有文獻使用成長股和價值股的概念，與資本利得稅制修改作一連結。因此本論文擬用2012年3月28日，由當時財政部長劉憶如女士領軍的財政健全小組提出證券交易所得稅復徵為未來改革方向時，做為證所稅復徵宣告日。本論文利用事件研究法對我國上市公司股票作實證分析與研究，並更進一步將上市公司區分成具有成長型特質股(高本益比、低股利支付率)和價值型特質股(低本益比、高股利支付率)，藉由累積異常報酬率的統計檢定和迴歸分析結果觀察，證所稅宣告效果對於不同風格的股票有無不同的影響。 本論文立論在於投資於成長型特質股的投資人，傾向賺取短期的資本利得；價值型特質股的投資人，傾向賺取長期資本利得或股利收入。因此，證所稅復徵會造成成長型特質股投資人預期投資成本增加，股價表現會相對劣於價值型特質股。另外，本論文亦推論證所稅宣告對於過去股價波動度高股影響，相似於成長型特質股；對股價波動低股影響，相似於價值型特質股。 本實證結果有四，一、證所稅復徵宣告對於我國上市公司股票市場影響為顯著為負。二、證所稅復徵宣告，成長型特質股(高本益比、低股利支付率)股價累積異常報酬率顯著劣於價值型特質股(低本益比、高股利支付率)。三、證所稅復徵宣告，股價波動度高股股價異常報酬率顯著劣於波動度低股。四、藉由複迴歸實證分析，成長型特質股解釋變數對於股價累積異常報酬率的影響為負向。價值型特質股對於股價累積異常報酬率影響為正向。 zh_TW dc.description.tableofcontents 第一章 緒論 1第一節 研究及動機目的 1第二節 研究目的 4第二章 文獻回顧與假說建立 5第一節 文獻回顧 5第二節 假說建立 9第三章 研究方法與設計 10第一節 研究方法與架構 10第二節 研究資料來源與篩選 12第三節 事件研究法 16第四節 假設檢定 19第五節 複迴歸分析 22第四章 實證結果 26第一節 敘述統計 26第二節 累積異常報酬率檢定 28第三節 複迴歸模型 35第五章 結論與建議 43參考文獻 46 zh_TW dc.format.extent 1167103 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100357030 en_US dc.subject (關鍵詞) 證券交易所得稅 zh_TW dc.subject (關鍵詞) 宣告效果 zh_TW dc.subject (關鍵詞) 事件研究法 zh_TW dc.title (題名) 證券交易所得稅宣告對我國上市公司股票市場之影響-事件研究法之應用 zh_TW dc.title (題名) Stock market reaction to capital gains tax change announcement: An event study analysis en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 一、英文部分1.Auerbach, A., 1979. Wealth maximization and the cost of capital. Quarterly Journal of Economics, 93, 433-446.2.Basu, S., 1977. Investment performance of common stocks in relation to their price-earnings ratios – a test of the efficient market hypothesis. The Journal of Finance, 32(3), 663-682.3.Bauman, W, Scott, and Robert E, Miller, 1997. InvestorExpectations and the Performance of Value Stocks versus Growth Stocks,. Jounal of Porlfolio Management., 23(3), 57-68.4.Bauman, W. Scott, Conover C. Mitchell and Miller, Robert E., 1998. Growth versus value and large-cap versus small-cap stocks in international markets. Financial Analysts Journal, 54(2), 75-89.5.Black, F and M. Scholes, 1974. The Effects Of Dividend Yield and Dividend Policy on Common Stock Prices and Returns. Journal of Financial Economics, 1(1), 1-226.Blume, Marshall E. 19S0, Stock Returns and Dividend Yields: Some More Evidence. Review of Economics, 62, 567-577De Bondt, Werner F-M., and Richard Thaler, 1985. Does the Stock Market Overreact? Journal of Finance, 40(3), 793-805.7.Douglus A. Shackelford, 2000. Stock market reaction to capital gains tax changes: empirical evidence from the 1997 and 1998 tax acts. Tax Policy and the Economy, 14, 67-928.Fama, Eugene F., and Kenneth R. French, 1992. The Cross-Section of Expected Stock Returns. Journal of Finance, 47(2), 427-466.9.Feldstein, M. and S. Yitzhaki, 1978. The effect of the capital gains tax on the selling and switching of common stocks. Journal of Public Economics, 105, p17-36.10.Gemmill, Robert F., 1956. The Effect of Capital Gains Tax on Asset Price. National Tax Journal 9, p289-301.11.Gordon, R., Bradford, D., 1980. Taxation and the stock market valuation of capital gains and dividends: theory and empirical results. Journal of Public Economics, 14, 109-13612.Gunther, D., 1999. Investor Reaction to Anticipated 1997 Capital Gains Tax Rate Reduction. Boulder, CO: University of Colorado. Working Paper.13.Jang, Hwee-yong J., 1994. The Market Reaction to The 1986 Tax Overhaul: A Study of the Capital Gain Tax Change. Journal of Business Finance & Accounting, 21(8), 1179-119314.Kalay, A., 1980. Signalling, Information Content and the Reluctance to Cut Dividends, Journal of Financial and Quantitative Analysis, 15(4), 855-86915.Kaplanis, C.P., 1986. Options, Taxes and Ex-Dividend Day Behavior, Journal of Finane, 41(2), 411-424.16.Klein, P., 1999. The capital gain lock-in effect and equilibrium returns. Journal of Public Economics, 71, 355-378.17.Lakonishok, Josef, Andrei Shleifer, and Robert W, Vishny, 1994. Contrarian Investment, Extrapolation, and Risk. Journal of Finance, 49(5), l54l-1578.18.Lang, Mark H. and Douglus A. Shackelford, 1999. Capitalizationof Capital Gains taxes: Evidence from Stock Price Reactions to the 1997 Rate Reduction. Journal of Public Economics, 76(1), 69-85.19.Peterson,P., 1989. Event Studies: A Review of Issues and Methodology. Quarterly Journal of Business and Economics, 28, 36-67.20.Poterba, James M., 1987.Tax Evasion and Capital Gains Taxation. NBER Working Paper No. W2119.21.Reese, William A., JR,1998. Capital Gains Taxation and Stock Market Activity: evidence from IPOs. Journal of Finance, 53(5), 1799-1819.二、中文部分1.毛慶生、黃寶慧(2000)，證券交易所得稅與證券交易稅對股票價格的影響，國立政治大學學報，81卷1期，頁73-129。2.何佳諭(2013)，政治連結與併購上市和未上市公司之績效影響－以中國上市企業為例，國立政治大學財務管理學系碩士論文。3.張琬如(2010)，我國資本利得稅式支出之估算－以證券交易所得為例，國立台灣大學經濟學系碩士論文。4.陳如芳(1999)，證券交易所得稅對證券市場之影響，國立政治大學財務管理學系碩士論文。5.謝昌歷(2013)，政治連結對跨國併購的績效影響─以中國上市企業為例，國立政治大學財務管理學系碩士論文。 zh_TW
