二稅合一政策改變後對除權息日股價之影響

Abstract

本研究針對所得稅二稅合一的變化，以台灣上市公司作為研究對象，採用事件研究法，分析事件發生年度與前一年度的超額報酬，針對 2015 年至 2016 年股東可扣抵稅額減半規定，與 2018 年與 2019 年的股東可扣抵稅額取消後投資人對於除權(息)當日行為之變化。對於稅賦政策改變下，投資人是否會因為稅賦誘因減少，而降低參與除權的意願。而高股票週轉率代表在市場的活躍性與關注度，高週轉率的報酬通常比較低，股價高波動性代表著高風險，我們也測試這二類的投資人對於租稅效應變化的影響。因為股東可扣抵稅額減半及取消，稅賦的優惠消失降低投資人參與除權(息)的意願，低稅率的投資人降低除權(息)前購入股票的意願，而高稅率的投資人會在除權前選擇賣出股票，規避股利所得的稅負，因此產生負的超額報酬，符合租稅效應理論。我們在事件發生時測試週轉率的影響性，發現投資於週轉率較大公司的人更在意租稅效應的發生，產生了更高的負的超額報酬，公司股價的波動率代表著高風險，實證也證明投資者厭惡損失，對事件提供了更大的負超額報酬。

This study focuses on the effects of the integration of two taxes on income in Taiwan, specifically targeting listed companies. Using the event study methodology, it examines the abnormal returns during the years of policy changes compared to the previous year, particularly looking at the periods 2015-2016 when the shareholder tax credit was halved, and from 2018-2019 when the credit was completely abolished. The study explores whether these tax policy changes reduce investors' willingness to engage in ex-dividend day activities due to decreased tax incentives. The study also notes that companies with high stock turnover rates, which indicate market activity and interest, typically have lower returns, and high price volatility represents higher risk. These elements are tested to understand the impact of tax effects on these two types of investors. The findings reveal that the reduction and cancellation of tax credits reduced investors' willingness to engage in ex-dividend transactions, with investors in lower tax brackets showing reduced propensity to buy stocks before the ex-dividend date. Conversely, investors in higher tax brackets tended to sell stocks before the ex-dividend date to avoid higher taxes on dividend income, resulting in negative abnormal returns, which aligns with tax effect theory. Additionally, during these events, companies with higher turnover rates were more concerned about the tax effects, resulting in even higher negative abnormal returns. The volatility of a company's stock price, which indicates higher risk, was also shown to be a factor contributing to greater negative abnormal returns, affirming that investors are averse to losses.