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    題名: 稅額扣抵比率及股權集中度對除權(息)股價之影響
    作者: 丁文萍
    貢獻者: 陳明進
    丁文萍
    關鍵詞: 除權息
    累積異常報酬
    稅額扣抵比率
    股權集中度
    Ex-dividend
    Cumulative Abnormal Return
    Imputation Credits
    Ownership Concentration
    日期: 2007
    上傳時間: 2009-09-18 09:08:47 (UTC+8)
    摘要: 本文以除權息前後累積異常報酬率為應變數，探討稅額扣抵比率及股權集中度對除權息前後累積異常報酬率的影響。研究對象為民國88年至96年間分配盈餘的國內上市公司，排除行業性質特殊之金融業，以普通最小平方法從事實證模型分析。主要實證結果彙整如下：
    1.稅額扣抵比率與除權息前之累積異常報酬率呈顯著正相關，與除權息後之累積異常報酬率呈負相關，但較不顯著。此表示稅額扣抵比率的租稅因素影響在除權息前較為顯著，但在除權息後現象較不顯著。
    2.股權集中度與除權息前後之累積異常報酬率的關係均未達統計上顯著水準。產生此實證結果的可能解釋有二：（1）非稅成本的考量；（2）本文以股權集中度衡量可能並未真正捕捉到個人投資人的所得稅率。
    3.低稅額扣抵比率類的除權息前累積異常報酬率，較高稅額扣抵比率（基準）類樣本為低的現象，此與預期相符。但在其他加入類別虛擬變數的迴歸結果，並未發現在不同稅額扣抵比率或股權集中度下，會對除權息前後之累積異常報酬率有不同的影響。
    4.公司規模及股價淨值比與除權息前後累積異常報酬率均呈顯著正向關係；股利殖利率與除權息前累積異常報酬率呈顯著正向關係，而與除權息後之累積異常報酬率呈顯著負向關係。電子業別與除權息前之累積異常報酬率呈顯著負向關係，而與除權息後之累積異常報酬率呈顯著正向關係。
    在圖表的分析中，可看出高稅額扣抵比率或低股權集中度的樣本，其除權息前後累積異常報酬率波動較小，較不受除權息事件的影響。
    The main purpose of this paper is to examine, before and after the ex-dividend day, the impacts of imputation credits and ownership concentration on cumulative abnormal returns(CARs). In this paper , CARs before and after the ex-dividend day are used as the dependent variable. The data are collected from the domestic listed companies which had allocated the earnings from 1999 to 2006. Because of its special characteristics, the financial industry is excluded from the data. In order to analyze the impacts of imputation credits and ownership concentration on CARs , we used the ordinary least squares. The empirical results in this paper are summarized as follows:
    1.The imputation credits have a significant positive impact on CARs before the ex-dividend day, but they don’t have a significant negative impact on CARs after the ex-dividend day. This phenomenon implies that the influence of tax factor before the ex-dividend day is more significant than that after the ex-dividend day.
    2.The failure of finding a significant relation between ownership concentration and CARs of before and after the ex-dividend day maybe due to two reasons. Frist, investors may not take tax factor into account when they invest the stock. Second, the proxy variable for ownership concentration of this study may not fully capture the marginal income rate of individuals.
    3.CARs before the ex-dividend day in listed company with lower imputation credit are lower than that in listed company with higher imputation credit, the empirical result matchs general intuition. But other regressions with dummy variables regarding the degree of the imputation credit and ownership concentration don’t find significant relation among the imputation credit, ownership concentration and CARs before and after the ex-dividend day.
    4.The size of companies and the ratio of market price to their book value have a significant positive impact on CARs before and after the ex-dividend day. Dividend yield has a significant positive impact on CARs before the ex-dividend day, but a negative impact on CARs after the ex-dividend day. A dummy variable standing for electronic industry has a significant negative impact on CARs before the ex-dividend day, but positive impact on CARs after the ex-dividend day.
    In the analysis of diagrams, we find CARs before and after the ex-dividend day fluctuate less for companies with higher imputed credit or lower ownership concentration.
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