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| Title: | 投資人情緒與現金減資--以台灣為例
Investor Sentiment and Cash Refund --The Case of Taiwan Stock Markets |
| Authors: | 藍寧
Lan, Ning |
| Contributors: | 周冠男
Chou, Kuan-Nan
藍寧
Lan, Ning |
| Keywords: | 投資人情緒
可扣抵稅額
行為公司理財
Investor sentiment
Capital deducted
Cash refund |
| Date: | 2021 |
| Issue Date: | 2022-02-10 13:01:18 (UTC+8) |
| Abstract: | 現金返還減資這類的財務決策近年來受到相當多企業的偏愛，但也因為減資造成股本的大幅降低與股價的劇烈波動，引起諸多學者的關注進而探討。本文試著站在投資人情緒與稅制變化可能影響行為公司理財的觀點探討這個議題。實證發現除了股票價值的低估、自由現金流、財務槓桿假說外，投資人情緒假說一樣可以用來解釋公司的現金減資決策，但台灣股票市場似乎不支持由市場調查而得的直接情緒指標，僅支持由市場交易資料衍生的間接情緒指標。另外，台灣的上市(櫃)公司可能會因為投資人的租稅壓力，在股東財富極大化下制定財務決策，尤其在現金股利與現金返還減資這部分。最後，現金宣告後的異常報酬與可扣抵稅額減半期間的投資人情緒顯著卻為負向。可能的原因是雖然投資人對現金減資的情緒高昂，但在可扣抵稅額減半期間，股東還是會傾向先將ICA帳戶的餘額先取回扣抵，若一開始公司就直接以現金返還的方式降低股本，股東可能會對未來的成長機會擔憂而傾向悲觀。
整體而言，本文結合經理人與投資人的情緒探討公司財務決策的現金減資與投資人情緒是否具有關聯性，實證結果顯示投資人情緒可以幫助解釋公司的現金減資計畫及現金減資宣告後的股價變化。
In recent years, there has been a trend of corporations using capital deductions to allow cash refunds back to their shareholders. Previously, when companies deduct capital, it indicates that they have accumulated losses that they need to remedy, however, cash refunds via capital deductions are not the same.
The main purpose of this study is to address the association between investor sentiment and firm’s capital decuctions to allow cash refunds. We use logistic and multiple regression models and also test cumulative abnormal returns to investigate the motivations of these actions.
The empirical results show that there is a positive CAR during the narrow trading announcement window. Inspecting the motivations, our findings support the signaling, undervaluing, free cash flow and investor sentiment hypothesis. Our tests also show that Consumer Confidence Index does not correlate with cash refunds via capital deductions. The results imply that stock market variables are better than macro-economic indices as a measuring tools of investor sentiment for predicting this.
In 2015, Taiwan`s imputation rate was cut from 100% to 50% and the highest tier of personal income tax rate was increased from 40% to 45%. After this tax reform, the results shows a negative significant association between investor sentiment and cumulative abnormal returns.
Our findings suggest that if a company directly reduces its equity in the form of cash refunds from the beginning, shareholders may be worried about future growth opportunities and are likely to be more pessimistic. |
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| Description: | 碩士
國立政治大學
經營管理碩士學程(EMBA)
109932114 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109932114 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202200030 |
| Appears in Collections: | [經營管理碩士學程EMBA] 學位論文
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