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研究生:陳韻珊
研究生(外文):Yun-Shan Chen
論文名稱:股東稅額扣抵比率如何影響稅負顧客效果之實證分析
論文名稱(外文):The Impact of Tax Credit Ratios on the Tax Clientele Effect: Empirical Evidence from Taiwan
指導教授:林世銘林世銘引用關係
指導教授(外文):Suming Lin
口試委員:吳清在陳明進王泰昌陳國泰
口試委員(外文):Tsing-Zai WuMing-Chin ChenTaychang WangKuo-Tay Chen
口試日期:2013-07-31
學位類別:博士
校院名稱:國立臺灣大學
系所名稱:會計學研究所
學門:商業及管理學門
學類:會計學類
論文種類:學術論文
論文出版年:2013
畢業學年度:101
語文別:中文
論文頁數:63
中文關鍵詞:稅負顧客效果除息日跌幅比率股利殖利率股東可扣抵稅額短期交易假說
外文關鍵詞:tax clientele effectsex-day price drop ratiodividend yieldcredit ratioshort-term trading hypothesis
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本文首先探討我國兩稅合一的稅制環境是否適用Elton and Gruber (1970)的稅負顧客效果,其次檢驗兩稅合一的稅額扣抵比率對稅負顧客效果及投資人在除息期間的投資行為之影響。本研究沿用Elton and Gruber (1970)推算股利所得隱含稅率(Implied Tax Rate)的方法,並加入稅額扣抵比率的影響,以求得符合我國兩稅合一下邊際投資人之股利所得的隱含稅率,作為稅負顧客效果中股利所得稅率的替代變數。實證結果顯示,納入稅額扣抵比率後,低所得稅率股東傾向持有高股利殖利率的股票,反之亦然,亦即EG的稅負顧客效果在兩稅合一的環境下仍可獲得支持。其次,我們發現,稅額扣抵比率越大者,除息日的股價跌幅比率越大,代表兩稅合一之股東可扣抵稅額減輕了股利稅負對跌幅比率之影響。
此外,本研究將股東隱含稅率區分為高低兩組,分別發現隱含稅率較低的組別,其所得稅率與稅額扣抵比率之相關性為先遞增(正向)後遞減(負向);而隱含稅率較高的組別,其所得稅率與稅額扣抵比率之相關性為負向,綜合以上兩組的實證結果可發現,股東所得稅率與稅額扣抵比率的關係應為下凹(concave down)函數。由此推論,稅額扣抵比率形成兩稅合一下新的稅負顧客效果。
本研究再檢驗股利政策的變動以及稅額扣抵比率的變動是否會引起投資人變更其持股比例,進而造成除息日以前累積異常交易量的變化。由實證結果僅發現,在營利事業所得稅率降低為17%以後,稅額扣抵比率的改變會引起投資人進行持股的調節,並引動異常交易量。另外,本研究藉由觀察除息期間實際交易量的變動,以及實證模型控制機構投資人的買賣超與持股比例,發現除息期間存在短期套利行為,同時驗證短期交易假說。

The purpose of this paper is to investigate the effect of the credit ratio under the imputation system on tax clientele effects. We consider the impact of both cash dividends and tax credits on ex-dividend share price adjustments for companies. Thus, the first purpose of this paper is to focus on whether share price drops efficiently to reflect the particular effects of dividend yield and tax credit ratio. Otherwise, tax credit is part of gross dividend. It may develop a different clientele under the imputation tax system. Our second purpose is to examine the relation between implied tax rate and credit ratio. Miller and Modigliani (1961), Elton and Gruber (1970) and Weston and Brigham (1987) suggest that changes in payout policy can lead to change in clientele. There are also costs (taxes and brokerage) to stockholders who would be forced to switch from one stock to another if a firm changes its dividend policy. The final (third) purpose of this paper is to test whether the cumulative abnormal volume is positively related to the magnitude of the dividend yield change and the credit ratio change.
Based upon an examination of 2,600 ex-dividend events that took place on the listed company between January 2007 and December 2012, we first find that ex-day price drop ratio both increases with dividend yields and tax credit ratio. This result is consistent with the tax clientele theory. We also find a nonlinear relation between implied tax rate and credit ratio. This result suggests that implied tax rate is a concave function of the credit ratio and tax credit has formed a new clientele under the imputation tax system. This clientele indicates that low tax-bracket investors have greater preference for credit ratio than high tax-bracket investors and implies tax credits are characterized as dividends by investors. Finally, we provide weak evidence that changes in credit ratio will lead to change in clientele after the reduced corporate income tax rate 17%.

口試委員審定書 i
誌謝 ii
中文摘要 iii
ABSTRACT iv
第一章 研究背景與目的 1
第二章 我國稅制簡介及文獻回顧 3
第一節 我國的稅制現況 3
第二節 文獻回顧 5
一、 股利的顧客效果與稅負顧客效果理論 5
二、 短期交易假說 7
三、 兩稅合一下的稅負顧客效果 8
四、 與台灣有關的稅負顧客效果文獻 9
第三章 假說推衍 12
第四章 實證結果 18
第一節 樣本選取 18
第二節 研究模型與變數說明 18
第三節 單變量分析 26
第四節 迴歸分析 28
一、 假說一之實證結果 28
二、 假說二之實證結果 31
三、 假說三/四之實證結果 34
第五章 結論與建議 37
參考文獻 40
附錄一 變數定義 45

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