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| Title: | 民國101年復徵證所稅案對台灣金融業股價之影響
The Impact of the Capital Gain Tax Retaxation on the Stock Retrun of the Financial Industry in 2012 |
| Authors: | 梁劍洲
Liang, Chien Chou |
| Contributors: | 徐燕山
Hsu, Yen Shan
梁劍洲
Liang, Chien Chou |
| Keywords: | 證所稅
事件研究法
Capital Gains Tax
Event Study |
| Date: | 2012 |
| Issue Date: | 2013-07-11 16:46:40 (UTC+8) |
| Abstract: | 我國財政部在民國101年4月12日晚間招開記者會，宣告復徵證所稅的可能，並提出相關的「《所得稅法》部分條文修正草案」與「《所得基本稅額條例》部分條文修正草案」等修法提案。這也是過去25年來最大的稅改提案，造成市場相當大的衝擊。
本文採用事件研究法，以金融產業42家上市櫃公司為樣本，並採用多個事件窗口以對照不同修法流程的方式，研究民國101年復徵證所稅案對樣本公司股價累積異常報酬的影響。另外，本文歸納國內外相關證所稅文獻以及證所稅的法規特性，擷取出股利殖利率、證交所得佔營收比重、金融資產佔總資產比重以及經紀業務等四個變數，與累積異常報酬進行迴歸實證分析探討，有以下結論：
1. 財政部版證所稅為所有復徵證所稅案中最為嚴苛的版本，其造成金融類股股價在在訊息宣告後的第二個交易日，有相當顯著的負向累積異常報酬。
2. 行政院版本證所稅確立了證所稅將往寬鬆版本修訂的方向，且此方向與投資人預期相符。因此在宣告後的事件期間內，金融類股股價始終維持相當顯著的正向累積異常報酬。
3. 立法院三讀通過版在最寬鬆版本的慶祝行情，以及確定要課稅的負面訊息兩股力量消長下，而有累積異常報酬由正向顯著遞減為正向不顯著的現象。
4. 在政府宣告復徵證所稅下，金融類股公司若為有發放股利者，其享有正向的累積異常報酬，此結果與多數文獻實證結果符合；然細部分析發放股利殖利率高低對累積異常報酬影響，卻無一致性的結論。
5. 實證結果指出，證券交易所得佔營收比重越高者，在政府宣告復徵證所稅時，有顯著的負向累積異常報酬。
6. 金融資產佔總資產比例以及經紀業務佔營收比重兩個變數，與累積異常報酬並無顯著關聯性。
The Ministry of Finance held a press conference on April 12 2012, declaring the possibility of Capital Gains Tax (CGT) retaxation, and releasing the draft of "Income Tax Act " and " Income Basic Tax Act ". This is the biggest tax reform proposal over the past 25 years, and makes a considerable market impact.
In this paper uses event study with multiple legislation event windows to examine whether the CGT retaxation would affect the cumulative abnormal returns (CAR) of the 42 listed companies on Taiwan Stock Exchange (TSE) and Over The Counter (OTC), and also establishes the regression model to analyze the relations between CAR and four variables: dividend yield, capital gains to revenues ratio, financial assets to total assests ratio, and brokerage business fees to revenues ratio. The findings of this thesis are as follow:
1. The Ministry of Finance edition is the most demanding version and causes financial stocks in the second trading day to have a quite significant negative CAR.
2. Executive Yuan revised the CGT reform proposal from Ministry of Finance in the direction toward liberal version, which also the version caters to the market. Therefore, the financial stocks have remained fairly significant positive CAR in this window.
3. Legislative Yuan passed version in the most liberal version, however market still have to face the retaxzation after all. Therefore, the financial stocks perform a significant positive CAR at first, but start to decrease after 2nd trading days.
4. Dividend paying company would enjoy a positive CAR relative to non-dividend paying company. This result is in line with the majority of the literatures. However, this paper didn’t find significant relationship between CAR and the level of payment.
5. The empirical results indicate that the higher of the capital gains to revenues ratio, the lower of the CAR on financial stocks.
6. This paper didn’t find strong or significant relationships between financial assets to total assests ratio, brokerage business fees to revenues ratio and CAR. |
| Reference: | 1. 蔡姈燕，“證券交易所得稅對證券市場的影響”，成功大學會計學研究所碩士論文，民國八十四年六月
2. 江昇壕，“實施熱錢稅對證券業股價之影響”，台灣大學會計學研究所碩士論文，民國九十九年六月
3. 李彥幸，“遺贈稅調降效果之研究”，淡江大學企業管理系碩士在職專班碩士論文，民國一百年一月
4. 吳東祐，“兩岸簽訂金融合作MOU對上市上櫃銀行業股價之影響”，台灣大學會計學研究所碩士論文，民國一百年六月
5. 陳亨通，“兩岸金融MOU簽署對股價影響之研究-以台灣上市公司金融類股為例”，淡江大學企業管理系碩士在職專班碩士論文，民國一百年六月
6. 歐陽志仁，“股票市場證券交易所得稅與價格波動性之理論探討”，台北大學經濟學系研究所碩士論文，民國一○一年七月
7. Baltagi, B.H., Li, D. and Li, Qi. (2006) “Transaction Tax and Stock Market Behavior: Evidence from an Emerging Market, ” Empirical Economics, 31, 393-408.
8. Feldstein, M. and Yitzhaki, S. (1978) “The Effects of the Capital Gains Tax on the Selling and Switching of Common Stocks, ” Journal of Public Economics, p17-36.
9. Feldstein, M. and Slemrod, J. and Yitzhaki, S. (1980) “The Effects of Taxation on the Selling of Corporate Stock and the Realization of Capital Gains, ” Quarterly Journal of Economics, p777-791.
10. Jang, Hwee-yong J. (1994) “The Market Reaction to the 1986 Tax Overhaul: A Study of the Capital Gain Tax Change, ” Journal of Busoness Finance & Accounting, V2ln8, 1994 Dec, p1179-1193.
11. Jin, Li (2006) “Capital Gains Tax Overhang and Price Pressure, ” Journal of Finance, VOL. LXI, No.3, p1399-1431
12. Jones, C.M. and Seguin, P.J. (1997) “Transaction Costs and Price Volatility: Evidence from Commission Deregulation, ” The American Economic Review, Vol. 87, No.4, pp.728-737
13. Lang, M.H. and Shackelford D.A. (1999) “Capitalization of Capital Gains Taxes: Evidence from Stock Price Reactions to the 1997 Rate Reduction, ” NBER Working Paper No. W2119.
14. Reese W.A., JR. (1998) “Capital Gains Taxation and Stock Market Activity: Evidence from IPOs,”Journal of Finance, Vol. LIII, No. 5, p1799-1819
15. Slemrod, Joel (1982) “Stock Transactions Volume and the 1978 Capital Gains Tax Reduction,” Public Finance Quarterly, Vol. 10, No. 1, p3-16
16. Song, F.M. and Zhang, J.(2005) “Secutities Transaction Tax and Market Volatility,” The Economic Journal, 115, 1103-1120 |
| Description: | 碩士
國立政治大學
財務管理研究所
100357013
101 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0100357013 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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