臺灣博碩士論文加值系統

本文以兩稅合一通過日之價格反應，來測試股利稅是否資本化於股價之中。由於兩稅合一產生稅額扣抵，使得股東股利稅負下降。而台灣獨特的個人股東資料，使得本文不僅能夠確認出邊際投資人之身分，亦可決定其稅負狀況。本文預期且發現：(1)公司之股利殖利率和其兩稅合一通過日之股價反應呈正向關係，(2)決定價格反應之邊際投資人為個人股東，(3)其稅負狀況影響股利和股價反應間之正向關係。本文進一步發現邊際投資人之稅率級距最有可能落在(0%-6%)及(30%-40%)兩個級距。由於本文能夠避免先前研究使用機構投資人來代理稅負狀況之問題，因此本文的貢獻在於提供直接且更進一步的證據，來證明傳統觀點之股利稅資本化，以及邊際投資人之存在與否。

We examine the price reactions to the enactment of the integrated tax system in Taiwan to test whether dividend taxes are capitalized into share prices. Under the integrated tax system, shareholders receive a tax credit from dividend income received, and thus dividend tax burdens decrease. The unique dataset in Taiwan provides individual-shareholder-level shareholding information, and this allows us to directly determine not only the identity of the marginal investor but also their tax status. We expect and find that (1) a firm’s dividend yield is positively related to share price reactions to the enactment of the integrated tax system, (2) the marginal investors that determine the price reactions are individual shareholders, and (3) their tax statuses affect the positive association between price reactions and dividend yields. We further find that the effective tax rates of the marginal investors probably fall within the lowest and highest tax brackets, (0%-6%) and (30%-40%), respectively. Avoiding problems of the usage of the institutional shareholdings to represent the tax status of investors, as suggested by Guenther and Sansing (2010), our study contributes to provide direct and further evidence to support the traditional view of dividend taxes capitalization and to verify the existence of the marginal investor.

1. INTRODUCTION 6
2. LITERATURE REVIEW 11
2.1 The Tax System in Taiwan 11
2.2 Prior Research 14
2.2.1 Equity Prices and Investor Taxes : the Irrelevance View, the Traditional View, and the New View 14
2.2.2 Empirical Methodologies to Examine the Effect of Dividend Taxes on Asset Pricing 16
2.2.3 The Relevance of the Marginal Investor in Dividend Taxes Capitalization 22
2.2.4 Summary and Discussion 25
3. MODEL AND HYPOTHESES DEVELOPMENTS 28
4. RESEARCH METHODOLOGY AND SAMPLE SELECTION 36
4.1 Research Methodology 36
4.2 Sample Selection 47
5. EMPIRICAL RESULTS 49
6. SENSITIVITY TESTS 57
6.1 Sensitivity to the Measurement of the Weighted Average Tax Rate Variable WAT 57
6.2 Sensitivity to the Partition Point of the Individual Shareholding Variable Proxying for the Ownership of Individuals with Highest Tax Rates 58
6.3 Sensitivity to the Exclusion of Firms Paying both Cash and Stock Dividend 59
6.4 Sensitivity to the Potential Influence of the Industry Effect and Effective Tax Rates of Invested Firms 60
7. CONCLUSIONS 62
REFERENCES 65

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