兩稅合一股東可扣抵稅額減半之市場反應研究

Abstract

兩稅合一制自民國87年度實施以來，除了未達到顯著促進投資之效，還有擴大貧富不均之現象。有鑑於財政收支失衡情形，立法院於民國103年5月16日三讀通過「兩稅合一修正案」。本研究以行政院會通過日以及立法院三讀通過日為事件日，並透過事件研究法中的市場模型探討「股東可扣抵稅額減半」是否對於上市櫃公司之股價造成不利之影響。 為探究兩稅合一相關事件日異常報酬變化之產生原因，本研究以多元迴歸模型檢定個人股東之可扣抵稅額、外資持股比率、殖利率以及獲利能力與累計異常報酬之相關性。本研究發現，在事件發生期間外資持股比率與累計異常報酬率為負相關、獲利能力與累計異常報酬率為正相關，與本研究所預期之方向相同；屬於個人股東之可扣抵稅額以及股利殖利率卻無法獲得滿意的實證結果，本研究推測是國內個人股東並非在2014年之事件日立即反應此不利影響，而可能是於2015年領取股利時（可扣抵稅額減半之正式生效日）才會反應於股價上。

Taiwan has implemented the integrated income tax system to prevent the double taxation of dividends since 1998. However, it didn’t meet the goals of investment promotion, but expanded the gap between the poor and the rich. To rationalize the nation’s taxation system, the modified imputation tax system proposal passed its third reading in the Legislature Yuan on May 16, 2014. This paper uses event study methodology to examine the stock market reaction to the modification of Imputation Tax System. Two event days are chosen: (1) March 13, 2014, the date the Executive Yuan passed the resolution. (2) May 16, 2014, the date the Legislative Yuan passed the third reading and approved the amendment of the imputation tax system. To analyze the variations of abnormal returns of stock prices on the event days, this study tests weather the imputation credits available for individual shareholders, foreign investors' holding rate, dividend yield and profitability can explain the abnormal returns of stock prices. The results of the regression analysis are as follows: (1) As we expected, cumulative abnormal returns (CAR) were negatively related with foreign investors' holding rate, and positively related with the profitability of the firms. (2) The imputation credit available for individual shareholders and the dividend yield didn’t have a significantly negative correlation with CAR. We infer that domestic individual shareholders will not respond to the bad news until they receive dividends in 2015. (the year the partial imputed tax credit system actually takes effect on the dividends received ).