李存修Lee, Tsun-Siou臺灣大學:財務金融學研究所陳沛宇Chen, Pei-YuPei-YuChen2010-05-112018-07-092010-05-112018-07-092009U0001-2406200914263600http://ntur.lib.ntu.edu.tw//handle/246246/182846我國於民國 87 年起實施兩稅合一制度。本文目的主要在探討在現行稅制下，稅負因素是否會影響投資人於除權（息）前後之投資行為。本文以 2002~2007 年之上市公司股票為樣本，先觀察除權（息）後之超額報酬現象後，取除權（息）前二日及除權（息）後二日之累計超額報酬為應變數，稅額扣抵比率、自然人持股比例、利殖利率和產業別為自變數探討這些因素對投資人行為之影響。其研究結果如下： . 稅額扣抵比率、股利殖利率和除權（息）前超額報酬多呈顯著正相關，和除權（息）後超額報酬多呈顯著負相關。 . 自然人持股比例、電子產業變數和除權（息）前超額報酬多呈顯著負相關，和除權（息）後超額報酬多呈顯著正相關。 表示一般投資人的確會在除權（息）前對租稅負擔較重者進行棄權，而買進可獲取較高租稅利益者；且股利殖利率於除權息前為正顯著，代表偏好高股利所得以及可享有退稅者之買方力道大於因高股利需補繳更多稅額之賣方力道。 另外，本文發現除權（息）前三日之負超額報酬和除權（息）前二日至後一日之正超額報酬呈顯著負相關，推論有股利免稅之法人於棄權後股價相對便宜時進場，並且自然人持股越高及稅額扣抵比率越低者，此策略之正報酬越顯著。再以同樣策略檢驗自然人後發現，針對扣抵比率低於 25%公司，無論何種邊際稅率投資人皆可取正超額報酬；扣抵比率高於 25%公司，則僅邊際稅率低於 6%者可獲取超額報酬。接著本文再觀察時下新興之「高股息基金」發現，該類基金明顯在除權（息）旺季（第三季）不論是帄均報酬及 Jensen‘s α、Sharpe、Treynor 皆遠優於同類股票型基金，顯示高股息基金可能利用參與高股息公司之除權息替投資人賺取超額利。In Taiwan, imputation tax credit system has been implemented since January 1st, 1998. We want to investigate the effect on investor‘s behavior resulted from tax consideration before and after ex-dividend day. The sample is selected from firms listed in the Taiwan Stock Exchange from 2002 to 2007. The empirical results are summarized as follows: . Imputation tax credit ratios and dividend yield have a positive impact on abnormal return before ex-dividend day and a negative impact after ex-dividend day. . The ratio of shares owned by natural person and dummy variable of electronics industry have a negative impact on abnormal return before ex-dividend day and a positive impact after ex-dividend day. In addition, we find that there is a significant negative correlation between AR(-3) and CAR(-2,1). We claim that due to institutional investors have tax-free dividends, they may buy the stock sold by individual investors who don‘t want to pay dividend tax. We also find that with higher ratio of shares owned by natural person and imputation tax credit ratios, higher return is earned. Furthermore, we test if individual investors use the same strategy to catch abnormal return. We find that all individual investors can earn abnormal return from the stock whose imputation tax credit ratio is below 25%, but only the investors whose margin tax rate is below 6% can earn abnormal return from the stock whose imputation tax credit ratio is above 25%. And we also find that "High dividend fund" can earn abnormal return during ex-dividend season.謝辭...I文摘要...IIBSTRACT...III一章　緒論...1一節　研究動機...1二節 研究架構與流程...2二章 相關稅法及文獻探討...4第一節 兩稅合一制度...4 第二節 國內產業租稅優惠相關法令...8 第三節　除權（息）行情相關理論假說...19 第四節　各國相關實證文獻...22 第五節　文獻小結...28三章　研究方法...30第一節　假說建立...30 第二節　資料來源與樣本篩選...31第三節　研究設計...33四章　實證結果與分析...40第一節　超額報酬檢定及迴歸分析...40 第二節 「T=-3 收盤買進，T=+1 收盤賣出」投資策略...66五章　結論與建議...71 第一節　研究結論...71 第二節　研究限制...72 第三節　後續研究建議...72考文獻...74一、國內文獻...74二、國外文獻...76application/pdf1795596 bytesapplication/pdfen-US兩稅合一除權除息超額報酬股東結構稅額扣抵比率Imputation tax systemex-dividendabnormal returnownership structureimputation tax credit ratiothesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/182846/1/ntu-98-R95723040-1.pdf