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研究生:陳佳青
研究生(外文):Chia-Ching Chen
論文名稱:調降營業稅對銀行股股價之影響
論文名稱(外文):The Impact of Reduction of Bank Business Tax on Stock Performances of Banking Industry
指導教授:江明憲江明憲引用關係
指導教授(外文):Min-Hsien Chiang
學位類別:碩士
校院名稱:國立成功大學
系所名稱:國際企業研究所碩博士班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:69
中文關鍵詞:營業稅一般化動差估計法事件研究法
外文關鍵詞:bank business taxevent studyGeneralized method of moments
相關次數:
  • 被引用被引用:4
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  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
1997年國內受金融風暴影響的後遺症,已陸續反應在國內的金融體系上。為了再造金融體質,督促銀行業儘速打消呆帳,財政部於1999年2月19日宣布將金融業適用的營業稅率,由目前的5%降至2%。比較過去學者在事件研究法上所採用的檢定模型,本研究利用一般動差法進行估計,如此可避免傳統事件研究法因模型上的限制而產生的偏誤。同時本研究也利用不同的銀行特徵,將銀行業的股市交易日資料形成各種的投資組合,並且將系統風險納入考量,分別使用隨時間變動的Betas及固定條件下的Betas來進行估計。

在條件Jensen α下,當Betas在固定條件下,五個事件日皆有顯著的平均超額報酬產生,但是當我們將系統風險的變動納入模型之中後,除了第四個事件日(立法院之財政委員會通過此項法案)、及第五個事件日(立法院完成三續)外,市場的反應大致上變為較不顯著的。此乃由於台灣的憲政體制,立法院所制定的法律具有優越性,且為國家的重要典範,因此當立法委員行使立法職權時,相對較會對市場產生影響。而行政院在行使職權時,對於市場的影響相對較有限,因為法案在行政院審議通過後,仍需交付立法院審查,經一讀通過後,送交立法院財政委員會行使二讀程序之審查。因此第一個事件日(財政部宣布降低銀行業等之營業稅稅率)及第三個事件日(行政院通過此項法案)的結果都較第四、第五個事件日不顯著;另外,第二個事件日(前李總統發表對調整營業稅問題之具體看法)則不會對市場造成影響,此乃因為在台灣許多政治人物所發表的意見大多未經過審慎合理的評估,易造成投資人判斷錯誤。

換言之,在條件Jensen α下,以隨時間變動的Betas及風險溢酬來估計平均超額報酬參數 ,市場的反應在立法院之財政委員會通過之前,大致上都是不顯著的;但是當立法院三讀通過此項營業稅法修正案時,相對於其他事件日,有部分的投資組合結果呈現顯著,然而在第四、第五個事件日下,絕大多大數的投資組合,在各個事件區間下,結果還是不顯著的。由此可證明此次調降營業稅並不會使銀行股產生太大的異常反應。
After the financial crisis in southeastern Asia, the bank loan loss problems have become more and more serious in Taiwan. In order to promote the financial constitution, supervise banks to deal with their bad debts and maintain the stabilization of financial market, the central bank of Taiwan declared to reduce the reserve ratio of savings in huge range in the evening of February 19, 1999. To operate in coordination with the policy, the Ministry of Finance also announced several measures to enhance the economic situation. One of the proposals is that the bank business tax rate (hereafter BBTR) would be reduced from 5% to 2%. During the whole enactment process, five major events will happen. This paper is based on the Act to investigate the impact on banking industry and to evaluate the effect of government economic policy decisions.

This paper adopts conditional Jensen Alpha performance evaluation model to examine the impact of the Act. In the series of enactment events, we choose six kinds of event window separately to capture the robustness of the results. Meanwhile, there are three distinctive features in this paper. Firstly, the estimation method of Generalized Method of Moments (hereafter GMM) is applied. Although event study is adopted heavily in most accounting and finance researches for the past decade, many problems still exist in the estimating process. The limitation and assumptions of their estimation models often cause lots of bias of the outcomes; however, GMM will avoid these drawbacks. Secondly, systematic risks are considered in our research design to help increase the credibility of our empirical results. Lastly, we have selected particular characteristics of banks to form several portfolios. Then these portfolios are tested individually for the sake of exploring different reaction between banks.
第壹章、緒論…………………………………………. 1

第一節、研究背景與動機 …………………………… 1
第二節、研究目的…………………………………… 5

第貳章、文獻回顧……………………………………. 7

第一節、投資組合績效評估………………………… 7
第二節、事件研究法………………………………… 9
第三節、一般化動差估計法(GMM)…………… 12
一、一般動差估計法………………………………… 12
二、最適權數矩陣…………………………………… 13
三、過度確認限制之檢定……………………………. 14

第參章、研究設計……………………………………. 16

第一節、投資組合型態……………………………… 16
一、投資組合型態…………………………………… 16
二、投資組合權重之計算…………………………… 17
第二節、研究方法…………………………………… 18
一、超額收益及預期超額收益之定義……………… 18
二、資訊因子對大盤變動的測試…………………… 19
三、條件Jensen’s Alpha…………………………… 20
第三節、資料選取來源……………………………… 24
一、事件日…………………………………………… 24
二、資訊變數與風險因子…………………………… 24
三、無風險利率……………………………………… 25
四、個股資料…………………………………………. 25

第肆章、實證研究……………………………………. 27

第一節、資訊因子的預測能力………………………. 27
第二節、條件Jensen’s Alpha…………………….. 28

第伍章、結論與建議…………………………………. 33

第一節、結論…………………………………………. 33
第二節、研究限制與建議……………………………. 34

參考文獻……………………………………………… 36
中文部份……………………………………………… 36
英文部份……………………………………………… 37
附錄Ⅰ 金融業營業稅率之調………………………. 39
附錄Ⅱ 台灣之立法程………………………………. 44
中文部份
吳毓基,2000,內部關係人交易績效之研究,成功大學國際企業研究所未出版碩士論文。
陳新民,1995,中華民國憲法釋論,三民出版社。
黃金澤,1999,談金融業營業稅率之調降及衍生問題,中國稅務旬刊,第一七二四期,PP.8-17。

英文部份
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Berk, J. B., 1995, “A critique of size related anomalies, “ The Review of Financial Studies, 8, 275-286.
Dodd, Peter, Nicholas Dopuch, and Robert Holthausen, 1984, “Qualified audit opinion and stock prices, “ Journal of Accounting and Economics, 6, 3-38.
Eckbo, B. E., Smith, D. C., 1998, “ The condition performance of insider Trade,“ Journal of Finance 53, 467-498.
Espahbodi, H., Strock, E. and Tehranian, H. 1991, “Impact on equity prices of pronouncements related to nonpension postretirement benefits,” Journal of Accounting and Economics 14, 323-346.
Evans, M. D., 1994, “Expected returns: time-varying risk and risk premia,“ Journal of Finance 49, 655-679.
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