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Title:	臺灣地區上市股票填息現象之研究--租稅效應與顧客效應之實證
Authors:	陳怡文
Contributors:	林炯垚陳怡文
Date:	1990 1989
Issue Date:	2016-05-03 14:06:46 (UTC+8)
Abstract:	論文提要內容:本研究基本上是以除息日股價的變動，從事台灣地區上市股票填息現象之研究，並對學理上所謂之租稅效應(Tax Effect)與顧客效應(Clientele Effect)假說作一驗證。除息樣本取自民國七十二年之七十七年間在台灣正卷交易所掛牌交易之股票，經篩選後共得326個可用樣本點。在研究方法上，本研究採用了除息日股價降幅與股利比，及超額報酬等兩種統計量。首先測試除息日之填息現象是否顯著；其次再擴大至除息期間(除息前5天~除息後5天)之超額報酬研究，視其是否支持租稅效應假說；最後再對租稅所引起之顧客效應做檢定。實證結果發現:1. 除息日當天確實有顯著之填息現象存在:平均股價降幅為股利金額的58.77%，而平均超額報酬則在千分之八左右。2. 填息現象可為租稅效應所解釋:觀察除息期間之超額報酬，我們發現僅除息日有顯著超額報酬，其他各日則無。此結果支持租稅效應假說，並使吾人得以確信主宰除息日之股價行為者，為有避稅傾向之投資人；其操作型態為除息前賣出，待除息日當天再買進。3. 由租稅所引起之顧客效應在台灣股票市場上並不成立:以股利報酬率(或股利金額)將樣本分群後，發現除息日股價降幅與股利比、及超額報酬等統計量與股利報酬率(或股利金額)並無顯著的相關性存在。總結上述三點，就股利與股價之關係而言，本研究支持股利與股價有關的說法。亦即，股利將因其所帶給投資人的稅負，而對除息日股價產生某種程度的影響。
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Description:	碩士國立政治大學企業管理學系
Source URI:	http://thesis.lib.nccu.edu.tw/record/#B2002005210
Data Type:	thesis
Appears in Collections:	[Department of Business Administation] Theses

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