臺灣博碩士論文加值系統

　　臺灣之所得稅制在民國八十七年由公司營利事業所得稅與個人綜合所得稅之兩稅分離稅制，改為公司所繳納之營所稅可在股東收到股利收入時設算扣抵其個人綜所稅之兩稅合一稅制，此稅制上之重大變革，提供絕佳機會驗證股東之股利租稅負擔與企業股權評價之關係。故本研究旨在探討投資者是否將未來所需面臨之股利稅資本化入股價，亦即股利稅股權評價效果(股利稅資本化效果)之存在與否及其影響因素，並且討論兩稅合一制實施此一股利稅負規定之改變對股利稅資本化效果之影響。實證模式主要以Harris and Kemsley(1999)所推導在公司營所稅與個人綜所稅分離稅制下，納入「未分配盈餘將來分配股利給投資者時，其會面臨股利稅負擔」觀點之股利稅後股權評價模式為基礎，再根據臺灣實施兩稅合一稅制之特性延申，俾檢測兩稅合一前、後股利稅評價效果之存在及其影響因素。本研究以民國83-90年兩稅合一前、後之臺灣上市公司為樣本，主要實證結果彙總如下。

　　(一)股利稅評價(股利稅資本化)效果：反應未分配盈餘終將面臨股利稅負擔，兩稅合一前未分配盈餘存在顯著之負向股利稅資本化評價效果；屬於兩稅合一後未分配盈餘所發放之股利可享股東稅額扣抵，股東平均股利稅負擔較兩稅合一前降低，因此兩稅合一後公司股利稅資本化之程度小於兩稅合一前。

　　(二)股利政策對股利稅資本化程度之影響：(1)兩稅合一前股利稅資本化程度與公司整體股利政策有關，股利發放率愈大公司之股利稅資本化程度愈大。兩稅合一後因為公司所繳營所稅可供股利發放時股東股利稅扣抵，故“公司股利發放率愈大其股利稅資本化程度愈大”之程度會減少。(2)因股票股利可享股利稅負緩課之優惠，故公司股票股利相對發放率愈高，則其股利稅資本化之程度愈低。民國89年以後因為股票股利緩課優惠取消，故公司股利稅資本化程度提高。

　　(三)兩稅合一後股利稅資本化程度之影響因素：屬於兩稅合一後之未分配盈餘所發放之股利因可享股東稅額扣抵，故其股利稅負平均而言小於兩稅合一前之未分配盈餘，因此公司屬於兩稅合一後未分配盈餘所占之比重愈大，公司股利稅資本化程度愈小；而且公司之稅額扣抵比率愈高，股利稅資本化程度愈小。

　　(四)公司股權結構對公司股利稅資本化程度之影響：(1)「法人股東」(兩稅合一設算扣抵稅制受惠較少)持股比重愈大之公司，其兩稅合一後股利稅資本化程度減少之效果愈小。(2)實證結果未發現免稅及僑外投資者(未受惠兩稅合一設算扣抵稅制)持股比重與兩稅合一後股利稅資本化程度減少效果間之顯著關係。

　　歸納而言本研究之實證結果顯示，資本市埸的確反應出股東股利租稅負擔對公司未分配盈餘評價效果之影響，投資者不但將公司未分配盈餘將來分配股利時，其終將面臨之股利稅負擔資本化入股價以減少股權之評價，而且隨著股利稅負規定之改變(兩稅合一稅制之實施、股票股利緩課優惠取消等)，股利稅評價效果亦隨之改變，驗證股利稅評價理論在臺灣資本市埸之適用性。

　　The income tax system in Taiwan changed form the classical tax system which business income tax paid at the corporate level could not be used to offset the shareholders’ individual income taxes, to the integrated income tax system since 1998. The tax reform in Taiwan gives us a good chance to detect the relationship between shareholder-level tax liability and equity valuation. If rational investors assume equity will eventually be paid out as dividends, then future dividend taxes will be capitalized into share prices (capitalization of dividend tax). This study aims to examine how taxes on dividends affect the relative valuation of retained earnings versus contributed equity and how the implementation of integrated income tax system affects the capitalization of dividend tax. Based on the equity valuation model on an after-dividend-taxes basis developed by Harris and Kemsley (1999) under classical tax system, the equity valuation models used in this study extend to the implementation of integrated income tax system and other factors affect the capitalization of dividend taxes. The sample of this study consists of firms listed in the Taiwan Stock Exchange from 1994 through 2001. The empirical results are summarized as follows:

　　1. Capitalization of dividend taxes: The dividend taxes liabilities of retained earnings have significant negative impacts on equity valuation before the implementation of integrated income tax system. Because the business income taxes paid at the corporate level can be used to offset the shareholders’ individual income taxes, and therefore, the dividend taxes liabilities of retained earnings are reduced, the empirical results show that capitalization of dividend taxes decrease significantly after the implementation of integrated income tax system.

　　2. Firms’ dividend policy and the capitalization of dividend taxes: The capitalization of dividend taxes is positively related with the firms’ total dividends payout ratios before the implementation of integrated income tax system. However, such relationship becomes weaker significantly after the implementation of integrated income tax system. The capitalization of dividend tax is negatively related with the firms’ earnings stock dividends payout ratios because the taxes on stock dividends can be deferred. In addition, capitalization of dividend tax decrease after the cancellation of the deferral of tax on stock dividends in 2000.

　　3. Factors affecting the capitalization of dividend taxes after the implementation of integrated income tax system: The new tax rule applied to the dividend distributed from retained earnings earned after 1998, therefore the investors should have higher valuation on them. The results show that the capitalization of dividend tax is negatively related with the firms’ relative weight of retained earnings earned after1998 to total retained earnings. It also is negatively related with the firms’ imputation tax credit ratio. For firms with higher imputation tax credit ratio, their stockholder will have greater tax benefit.

　　4. Firms’ stockholder structures and the capitalization of dividend taxes: Decrease in capitalization of dividend tax after the implementation of integrated income tax system is negatively related with the level of local institutional ownerships (with less tax benefit from new tax rule), but is not significantly related with the ownerships of local tax exemption and oversea stockholders (which has no tax benefit from new tax rule).

　　In summary, the empirical results of this study show that the dividend tax liabilities of retained earnings have been capitalized into share prices to reduce the valuation of equity, and the capitalization of dividend tax change with the tax reform (implementation of integrated income tax system after 1998, cancellation of the deferral of tax on stock dividends after 2000), the dividend policy of the firm, and the stockholder structures of the firm. Empirical results show significant relationship between shareholder-level tax liability and equity valuation. It also proves the applicability of valuation models on an after-dividend-tax basis in the Taiwan stock market.

第一章　緒論………………………………………………………………… 1
　　第一節　研究動機……………………………………………………… 1
　　第二節　研究目的……………………………………………………… 2
　　第三節　論文貢獻……………………………………………………… 5

第二章　相關法令規定……………………………………………………… 7
　　第一節　「獨立課稅」制之股利稅負規定…………………………… 7
　　第二節　「兩稅合一」制之股利稅負規定…………………………… 9

第三章　相關實證文獻探討………………………………………………… 18
　　第一節　租稅對股利政策及公司價值之影響………………………… 18
　　第二節　兩稅合一對股利政策及股利租稅效果之影響……………… 31
　　第三節　兩稅合一對股利租稅顧客效果之影響……………………… 33

第四章　基本模式建構及假說發展………………………………………… 36
　　第一節　基本模式建構………………………………………………… 36
　　第二節　假說發展……………………………………………………… 40

第五章　研究方法…………………………………………………………… 53
　　第一節　實證模式……………………………………………………… 53
　　第二節　變數定義……………………………………………………… 64
　　第三節　樣本與資料選取……………………………………………… 69
　　第四節　資料分析方法………………………………………………… 72

第六章　實證結果分析……………………………………………………… 73
　　第一節　整體股利稅資本化及兩稅合一影響之實證結果…………… 73
　　第二節　公司股利稅資本化程度影響因素假說之實證結果………… 80
　　第三節　公司股票股利政策對股利稅資本化程度影響之實證結果… 88
　　第四節　兩稅合一後公司股利稅資本化程度影響因素之實證結果… 96
　　第五節　敏感性分析之實證結果……………………………………… 101

第七章　結論與建議………………………………………………………… 124
　　第一節　研究結果……………………………………………………… 124
　　第二節　研究限制與建議……………………………………………… 127

參考文獻……………………………………………………………………… 129


表目錄

表2-1 兩稅合一前、後各種股東租稅負擔之設算比較………………… 12
表2-2 股東可扣抵稅額帳戶記載項目、內容及計入時點彙總表……… 15
表4-1 本研究之實證研究架構…………………………………………… 52
表5-1 兩稅合一前、後，不同股利支付率樣本股利稅資本化之比較… 56
表5-2 本研究之變數定義彙總表………………………………………… 68
表5-3-1 整體股利稅資本化及兩稅合一影響樣本篩選過程…………… 70
表5-3-2 公司股利稅資本化程度影響因素假說樣本篩選過程………… 71
表5-3-3 公司股票股利政策對股利稅資本化程度影響假說樣本篩選
過程 ……………………………………………………………… 71
表5-3-4 兩稅合一後公司股利稅資本化程度影響因素假說樣本篩選
過程 ……………………………………………………………… 71
表6-1-1 整體股利稅資本化及兩稅合一影響假說之敘述統計量表…… 73
表6-1-2 整體股利稅資本化及兩稅合一影響假說之相關係數表……… 74
表6-1-3(a) 整體股利稅資本化及兩稅合一影響假說之實證結果
－HK model……………………………………………………… 76
表6-1-3(b) 整體股利稅資本化及兩稅合一影響假說之實證結果
－HHK model………………………………………………………78
表6-2-1公司股利稅資本化程度影響因素假說之敘述統計量表…………80
表6-2-2公司股利稅資本化程度影響因素假說之相關係數表……………81
表6-2-3(a)公司股利稅資本化程度影響因素假說之實證結果-HK模式…84
表6-2-3(b)公司股利稅資本化程度影響因素假說之實證結果-HHK模式 86
表6-3-1公司股票股利政策對股利稅資本化程度影響…………………… 88
表6-3-2公司股票股利政策對股利稅資本化程度影響假說相關係數表… 89
表6-3-3(a)公司股票股利政策對股利稅資本化程度影響假說之實證結果-HK模式…………………………………………………………92
表6-3-3(b)公司股票股利政策對股利稅資本化程度影響假說之實證結果-HHK模式………………………………………………………94
表6-4-1 兩稅合一後公司股利稅資本化程度影響因素假說………………96
表6-4-2 兩稅合一後公司股利稅資本化程度影響因素假說相關係數表…97
表6-4-3(a)兩稅合一後公司股利稅資本化程度影響因素假說之實證結果-HK模式…………………………………………………………99
表6-4-3(b)兩稅合一後公司股利稅資本化程度影響因素假說實證結果
-HHK模式 ……………………………………………………100
表6-5-1(a)控制公司成長性及盈餘持續性之實證結果－HK模式………104
表6-5-1(b)控制公司成長性及盈餘持續性之實證結果－HHK模式……106
表6-5-2(a)公司股利稅資本化程度影響因素假說之實證結果-HK模式…110
表6-5-2(b)公司股利稅資本化程度影響因素假說之實證結果-HHK模式112
表6-5-3 以股東投入資本及未分配盈餘(C+RE)分析之實證結果 ………116
表6-5-4 兩稅合一前樣本之股利稅資本化實證結果－HHK模式………118
表6-5-5 公司股利政策對股利稅資本化程度影響之實證結果-HHK模式120
表6-6-1 主要實證結果彙總表 ……………………………………………122
表6-6-2 敏感性測試實證結果彙總表 ……………………………………123

一、中文文獻
王玉鳳, 民84. 台灣地區股票股利除權行情之研究, 中山大學財務管理研究所未出版碩士論文.

王雪花, 民83. 股票股利與股價關聯性之研究. 台灣大學會計學研究所未出版碩士論文.

王詠慧, 民90. 兩稅合一前後未分配盈餘與股價關連之研究. 國立臺灣大學會計學研究所未出版碩士論文.

汪瑞芝, 民91. 兩稅合一制前後上市公司股利發放、租稅規劃及資本結構之實證研究. 國立政治大學會計學研究所未出版博士論文.

江衍陞, 民90. 兩稅合一對我國資訊電子業上市上櫃公司股利政策影響之實證研究. 國立中央大學企業管理學研究所未出版碩士論文.

吳清在、張振輝, 民91. 促進產業升級條例取消股票股利緩課規定對公司董事會股權結構股利政策及經營績效之影響.中華會計學刊, 近期刊出.

李存修, 民83. 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, 41-60.

李皓, 民90. 內部人、股市多空及兩稅合一對我國上市公司股利政策影響之探討. 國立中正大學財務金融研究所未出版碩士論文.

邱正仁, 民81. 試論我國公司企業無償增資配股之會計與財務問題. 第三屆會計理論與實務研討會論文集. 國立政治大學商學院.

林吟山, 民88. 我國上市公司公積配股顧客效應之研究. 國立政治大學會計學研究所未出版碩士論文.

林世銘、陳明進及李存修, 民90. 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18卷, 477-501.

林炯垚及陳怡文, 民79. 台灣地區上市股票填息現象之研究—租稅效應與顧客效應之實證. 管理科學學報, 第7卷, 49-68.

林江亮, 民90. 股東權利基礎評價之實證研究. 國立政治大學會計學研究所未出版博士論文.

金成隆，民85. 資訊特性與揭露頻率資訊內涵之研究：以盈餘與銷貨為分析基礎. 國立政治大學會計研究所未出版博士論文.

馬孝璿, 民88. 兩稅合一對上市上櫃公司股利政策影響之探討. 國立中山大學財務管理研究所未出版碩士論文.

徐俊明，民89. 財務管理-理論與實務. 新陸書局.

張慧珊, 民91. 兩稅合一制度對於股權評價之影響研究. 國立臺灣大學會計學研究所未出版博士論文.

張青霞, 民90. 兩稅合一制度下「股東可扣抵稅額」於企業評價之角色 - Ohlson模型之應用. 國立政治大學會計學研究所未出版碩士論文.

財政部, 民87. 兩稅合一方案介紹.

許崇源, 民89. 稅務會計－稅法與會計實務. 新陸書局.

許崇源、俞洪昭、洪盈斌及戚務君, 民89. 兩稅合一制度對公司屬性與股票報酬關聯性之影響. 會計評論, 第32卷, 81-101.

崔惠雯, 民89. 兩稅合一前股票除權行為之研究, 國立台灣大學會計學研究所未出版碩士論文.

曾秀玉, 民90. 我國兩稅合一制對上市公司股利政策影響之研究. 朝陽科技大學企業管理學研究所未出版碩士論文.

陳志愷,民90. 稅務會計. 智勝出版社.

楊世芳, 民77. 除息(權)日股價行為—台灣股票市場之實證研究. 台灣科技大學工程技術研究所未出版碩士論文.

葉秀鳳,民90. 兩稅合一與租稅優惠對高科技產業公司股利政策之影響. 國立中山大學財務管理學系研究所未出版碩士論文.

謝劍平,民91. 財務管理－新觀念與本土化. 智勝出版社.

謝明樹,民87.我國租稅制度對公司股利政策之影響.淡江大學會計學研究所未出版碩士論文.

盧育仕, 民89. 兩稅合一對我國上市公司股利政策影響之實證研究. 逢甲大學會計與財稅研究所未出版碩士論文.



二、英文文獻
Amoako-Adu, B., 1983. Corporate valuation and personal taxes: Extension and application to Canada. The Financial Review 18, 281-291.

Amoako-Adu, B., M. Rashid, and M. Stebbins, 1992. Capital gains tax and equity values: Empirical test of stock price reaction to the introduction and reduction of capital gains tax exemption. Journal of Banking and Finance 16, 275-287.

Auerbach, A. J., 1979. Share valuation and corporate equity policy. Journal of Public Economics 11, 291-305.

Ayers, B.C., C.B. Cloyd, and J.R. Robinson, 2000. Capitalization of shareholder taxes in stock prices: Evidence from the Revenue Reconciliation Act of 1993. Working paper.

Barclay, M., 1987. Dividends, taxes, and common stock prices: The ex-dividend day behavior of common stock price before the income tax. Journal of Financial Economics 19, 31-43.

Bellamy, D.E., 1994. Evidence of imputation clienteles in the Australian Equity Market. Asia Pacific Journal of Management 11, 275-287.

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, 1-22.

Bradford, D. F., 1981. The incidence and allocation effects of a tax on corporate distributions. Journal of Public Economics 15, 1-22.

Brennan, M., 1970. Taxes, market valuation, and corporate financial policy. National Tax Journal 23, 417-427.

Chen, N. F., B. Grundy, and R. F. Stambaugh, 1990. Changing risk, changing risk premiums and the dividend yield effect. Journal of Business 63, 178-206.

Chu, E.L., 1997. Impact of earning , dividend and cash flows on stock return:　Case of Taiwan’s Stock Market. Review of Quantitative Finance and Accounting 9, 181-202.

Chui, A., N. Strong, and J. Cadle, 1992. The empirical significance of tax effects on the valuation of dividends: The UK evidence. Journal of Business Finance and Accounting 19, 515-532.

Collins, J.H., and D. Kemsley, 2000. Capital gains and dividend taxes in firm valuation: Evidence of triple taxation. The Accounting Review 75, 405-427.

Dhaliwal, D.S., M. Erickson, and R. Trezevant, 1999. A test of the theory of tax clienteles for dividend policies. National Tax Journal, 179-194.

Eades, K. M., P. J. Hess, and E. H. Kim, 1984. On interpreting security returns during the ex-dividend period. Journal of Financial Economics 13, 3-34.

Elton, E., and M. Gruber, 1970. Marginal stockholder tax rates and the clientele effect. Review of Economics and Statistics 52, 68-74.

Fama, E. F., and K. R. French, 1998. Taxes, financing decisions, and firm value. Journal of Finance 53, 819-843.

Guenther, D. A., and R. C. Sansing, 2002. Fundamentals of shareholder tax capitalization. Working paper.

Hamson, D., and P. Ziegler, 1990. The impact of dividend imputation on the firm’s financial decisions. Accounting and Finance 30, 29-54.

Hanlon, H., J. Myers, and T. Shevlin, 2001. Dividend taxes and firm valuation: A re-examination. Working paper.

Harris, T. S., and D. Kemsley, 1999. Dividend taxation in firm valuation: New evidence. Journal of Accounting Research 37, 275-291.

Harris, T. S., R. G. Hubbard, and D. Kemsley, 2001. The share price effects of dividend taxes and tax imputation credits. Journal of Public Economics 79, 569-596.

Kalay, A., 1982. The ex-dividend day behavior of stock prices: A re-examination of the clientele effect. Journal of Finance 37, 1059-1070.

Kemsley, D., 2001a. Dividend tax capitalization: Clarifications and responses to recent challenges. Working paper.

Kemsley, D., 2001b. Dividend tax capitalization: Further thoughts, comments, and response to Michelle Hanlon, James Myers, and Terry Shevlin. Working paper.

King, M., 1974. Dividend behavior and theory of the firm. Economica 41, 25-34.
_______, 1977. Public Policy and the Corporation. New York: Wiley.

Lakonishok, J., and T. Vermaelen, 1983. Tax reform and ex-dividend day behavior. The Journal of Finance 38, 1157-1179.

Lamdin, D. J., and C. Hiemstra, 1993. Ex-dividend day share price behavior: Effects of the Tax Reform Act of 1986. Review of Economics and Statistics 75, 778-783.

Lasfer, M. A., 1995. Ex-day behavior: Tax or short-term trading effects. Journal of Finance 50, 875-897.

Litzenberg, R., and K. Ramaswamy, 1979. The effect of personal taxes and dividends on capital asset prices: Theory and empirical evidence. Journal of Financial Economics 7, 163-195.

Menyah, K., 1993. Ex-dividend equity pricing under UK Tax Regimes. Journal of Business Finance and Accounting 20, 61-81.

Miller, M. H., and M. Scholes, 1982. Dividends and taxes: Some empirical evidence. Journal of Political Economy 90, 1118-1141.

Miller, M. H., and F. Modigliani, 1961. Dividend policy, growth, and the valuation of shares. Journal of Business 34, 411-433.

Myers, S., and N. Majluf, 1984. Corporate finance and investment decisions when firms have information that investors do not have. Journal of Financial Economics 13, 187-221.

Ohlson, J., 1995. Earnings, book value and dividends in security valuation. Contemporary Accounting Research, 661-688.

Papaioannou, G. J., and G.M. Savarese, 1994. Corporate dividend policy response to the Tax Reform Act of 1986. Financial Management, 56-63.

Poterba, J., 1987. Tax policy and corporate saving. Brookings Papers on Economic Activity, 455-575.

Poterba, J., and L. Summers, 1984. New evidence that taxes affects the valuation of dividends. Journal of Finance 39, 1397-1415.
________, and __________, 1985. The economic effects of dividend taxation. In Recent Advances in Corporate Finance, edited by E. Altman and M. Subrahmanyam. Homewood, I11: Irwin.

Rosenberg, B., and V. Marathe, 1979. Tests of capital pricing hypotheses. Research in Finance 1, 115-223.

Scholes, M., M. Wolfson, M. Erickson, E. Maydew, and T. Shevlin, 2001. Taxes and Business Strategy. Prentice Hall, Englewood Cliffs, NJ.

Shackleford, D., and T. Shevlin, 2001. Empirical tax research in accounting. Journal of Accounting and Economics 31, 331-387.

White, H., 1980. A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 48, 817-838.

Zodrow, G., 1991. On the “traditional” and “new” view of dividend taxation. National Tax Journal 44, 497-509.