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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/30995


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    題名: 美國不動產投資信託資產稅賦遞延交換對股票報酬和股利之影響
    The Effect of Tax Deferred Exchange on Stock Return and Dividend in U.S. REITs Property Transaction
    作者: 劉依涵
    Yi-Han,Liu
    貢獻者: 姜堯民
    Yao-Min, Chiang
    劉依涵
    Yi-Han,Liu
    關鍵詞: 稅賦遞延交換
    資產出售
    營運現金流量
    事件研究法
    樣本選擇偏誤模型
    Heckman 兩階段估計法
    Probit 模型
    不動產投資信託
    Tax Deferred Exchange
    Sell-offs
    Fund From Operation
    Event Study
    Sample Selection Bias Model
    Heckman Two-stage Estimation
    Probit Model
    Real Estate Investment Trusts
    日期: 2007
    上傳時間: 2009-09-14 09:01:39 (UTC+8)
    摘要: 本文以2003到2006年美國上市之不動產投資信託（REITs）的資產稅賦遞延交換做研究，並用資產出售交易作為比較，觀察稅賦遞延交換對股票報酬和股利的影響，研究結果發現稅賦遞延交換對於股票報酬有負的宣告效果，然而出售資產的交易有正的且顯著的宣告效果，由於美國REITs基於稅法規定，作為免稅體，每年要以股利的形式分配百分之九十的盈餘給股東，稅賦遞延交換並不能像資產出售交易一樣帶來現金流入，因此對於未來股東的股利所得有所影響，股東對於股票報酬沒有正向的反應，但是股東會考慮稅賦遞延交換會帶來資產重配置的效率，再加上REITs通常會支付比規定還要多的股利，因此稅賦遞延交換的對於股票報酬的負影響會因此而減弱，進一步針對交易方式還有REITs股利分配進行研究，研究的結果支持稅賦遞延交換後的股利比起直接出售交易後所發放的股利還要少。本文除了研究股東對於交易宣告的反應之外，也綜觀不同資產交易方式的現金流量和REITs股利的關連性，藉此瞭解影響REITs選擇交易方式的內涵因素，以及對股票報酬和股利的影響。
    This research examines the tax deferred exchanges made by public U.S. Real Estate Investment Trusts (REITs) over 2003-2006 as well as the transactions of sell-off. The purpose of this study attempts to explore the effects of tax deferred exchange on stock returns and dividend distribution. Result of this study shows that announcement effect of tax deferred exchange is negative in stock value. On the contrary, the relationship between sell-offs and stock value is significantly positive. The reason to explain the difference on announcement effect between two types of property transaction is the specific taxable earning distribution restriction on REITs. U.S REITs have to pay out 90 % of taxable earnings in the form of dividends to their shareholders to exempt from tax. As a result, tax deferred exchange doesn’t bring cash inflow contributing to dividend increase and then shareholders react a lower stock return on tax deferred exchange than on sell-offs. However, the negative effect is weakened by the efficiency of asset reallocation and the regular dividend distribution over tax law restriction. In the analysis of dividend payment, the result of dividend examination supports the hypothesis that tax deferred exchange without cash inflow make dividend fewer than sell-offs. This study may be of importance in explaining the reaction of shareholders on tax deferred exchange of REITs’ property, as well as in providing shareholders with a better understanding of the relationship between cash flow and dividend distribution in order to clarify the cause that affect REITs to utilize different types of transaction and the factors that affect stock return and dividend.
    參考文獻: Bradley, Michael, Capozza, Dennis R. and Seguin, Paul J. (1998) Dividend Policy and Cash-flow Uncertainty. Real Estate Economics, 26(4), 555-580
    Campbell, Robert D., Petrova, Milena and Sirmans, C.F. (2006) Value Creation in REIT Property Sell-offs. Real Estate Economics, 34(2), 329-342
    Capozza, Dennis R. and Lee, Sohan (1995) Property Type, Size and REIT Value. The Journal of Real Estate Research, 10,363-380
    Gentry, W. M., Kemsley, D., and Mayer, C. J. (2003) Dividend Taxes and Share Prices: Evidence from Real Estate Investment Trusts. The Journal of Finance, 58(1), 261-282
    Ghosh, Chinmoy and Sirmans, C.F. (2006) Do Managerial Motives Impact Dividend Decisions in REITs? Real Estate Finance and Economics, 32,327-355
    Glascock, J.L., Davidson, W.N. III and Sirmans, C.C.(1991)The Gain From Corporate Selloffs : The Case of Real Estate Asset. AREUA Journal, 19(4), 567-582
    Graham, Carol M. and John R. Knigh (2000) Cash Flows vs. Earnings in the Valuation of Equity REITs. Journal of Real Estate Portfolio Management, 6, 17-25
    Heckman, J.(1979) Sample Selection Bias as a Specification Error. Econometrica, 47, 153-161.
    Holmes, A. and B.A. Slade. (2001)Do Tax Deferred Exchange Impact Purchase Price? Real Estate Economics, 29(4), 567-588
    John, K. and Ofek, E. (1995) Asset Sales and Increase in Focus. Journal of Financial Economics, 37(1),105-126
    Kallberg, Jarl G., Liu Crocker H. and Srinnivasan (2003) Dividend Pricing Model and REIT. Real Estate Economics, 3, 435-450
    Li, Quiang, Sun, Hua, Ong, Seow Eng (2006) REIT Spilt and Dividend Changes: Test of Signaling and Information Substitutability. Real Estate Finance and Economics, 33,127-150
    Lu, Chiuling and Shen, Yang-pin (2003) Do REITs Pay Enough Dividend? Working paper, Yuan Ze University
    Maris, Brian A. and Elayan, Fayez A. (1990) Capital Structure and the Cost of Capital for Untaxed Firms : The Case of REITs. AREUEA Journal, 18(1), 22-39.
    Mcintosh,Willard and Ott, Steven H. (1995) The Wealth Effects of Real Estate Transactions: the Case of REITs. Real Estate Finance and Economics, 10,299-307
    Munneke, Henry J. and Slade, Barrett A. (2000) An Empirical Study of Sample-Selection Bias in Indices of Commercial Real Estate. Journal of Real Estate Finance and Economics, Vol. 21(1),1- 45
    Vincent, Linda (1999) The Information Content of Funds From Operations (FFO) for Real Estate Investment Trusts (REITs). Journal of Accounting and Economics, 26,69-104
    Wang, Ko, Erickeson, John and Gau, George W. (1993) Dividend Polices and Dividend Announcement Effect for Real Estate Investment Trusts. Journal of the American Real Estate and Urban Economics Association, 21(2), 185-201
    描述: 碩士
    國立政治大學
    財務管理研究所
    94357031
    96
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0094357031
    資料類型: thesis
    顯示於類別:[財務管理學系] 學位論文

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