An investigation of tax arbitrage strategy by ex-dividend event under imputation tax system
Date Issued
2005
Date
2005
Author(s)
Ho, Liang-chieh
DOI
zh-TW
Abstract
ABSTRACT
Name : Ho, Liang-chieh Month / Year : Jan. 2004
Adviser: Shu Yeh, Ph.D
Title : An investigation of tax arbitrage strategy by ex-dividend event under Imputation Tax System.
Based on the law in Dec. 2003, this paper tries to establish models to investigate the feasibility for individual investors to operate tax arbitrage under imputation tax system. The models compute the ROI of tax arbitrage, and the ROI explains the incentive influences to stock exchange market.
This paper verifies the following points,
1. Individual investors are likely to operate tax arbitrage. However the profitable operating dspace is much less than imagination.
2. As P/E, Price/Earning, ratio decreases, profitable arbitrage space expands. While P/E ratio exceeds 30, one hardly find arbitrage space.
3. TSE Index doesn’t explain well the existing ex-dividend effect of traditional industry. Tax effect influences the stock price around ex-dividend period. The influence varies for the factors of P/E ratio, corporate income tax rate, and investor construction; and it may result in both of price rise and price fall for individual corporate stock.
4. Due to high P/E ratio stocks are hardly influenced by tax effect on ex-dividend event. If TSE Index excludes high P/E ratio stocks, it explains better ex-dividend tax effect.
5. It exists price change for ex-dividend tax effect for both of bearish market and bullish market.
Subjects
除權行情
兩稅合一
租稅套利
ex-dividend
Imputation tax system
tax arbitrage
Type
other