胡星陽2006-08-232018-07-092006-08-232018-07-092004http://ntur.lib.ntu.edu.tw//handle/246246/29645本計畫以台灣證券交易所上市公司做為樣本，檢視除權日附近的委託單流 量。這一樣本的優點在於可以區分所得稅假說和其他文獻上所提供的假說，另一 優點在於利用委託單可以探討投資人的異質性。我們發現，課稅與不課稅的兩個 樣本，在除權日當日的報酬率上非常相似，小額投資人的下單行為也很類似：除 權日之前賣出，除權日及之後買進。這部分證據支持小額投資人偏好低股價的股 票。但是對其他投資人來說，課稅與不課稅的樣本在委託單流量上有很大的差 異。在不課稅的樣本，其他投資人在除權日附近的交易行為和平常沒有顯著的差 異。在課稅的樣本，機構投資人扮演著套利者的角色：在除權日之前買進，除權 日及之後賣出；外資和大額投資人主要在除權日才買進，這和所得稅假說是一致 的。This paper examines order flows around ex-dividend dates on the Taiwan Stock Exchange. Not only does Taiwan’s tax code allow us to separate the tax hypothesis from other explanations, but Taiwan’s data also permits us to examine the heterogeneity of investors’ behavior around ex-dividend dates. We find that, despite a similar stock return behavior for both taxable and non-taxable distributions, the order behavior is very different across the two distributions. We find strong evidence that small investors sell before the ex-date and start to buy from the ex-date, which suggests that small investors prefer low-priced stocks. We find weaker evidence consistent with the tax hypothesis: foreigners and large domestic investors who are tax-disadvantaged avoid participating in dividends. We also find strong evidence that institutions play the role of short-term arbitrageurs around ex-dividend dates.application/pdf38164 bytesapplication/pdfzh-TW國立臺灣大學財務金融學系暨研究所除權日股票股利稅雜訊買賣單不平衡ex-datestock dividendtaxnoiseorder imbalancereporthttp://ntur.lib.ntu.edu.tw/bitstream/246246/29645/1/922416H002048EF.pdf