稅負誘發之股權結構移轉與股利偏好探討

Abstract

自1961年MM首次提出租稅顧客效果以來，國際間一直有相關的論文探討，然而卻僅能以間接的證據來做實證分析。本篇研究係藉由股東會日與除息(權)日間各類別股東持股比例之變化此一直接證據來探討稅負誘發之股利顧客效果。我們的實證結果顯示租稅顧客效果確實存在，並且發現具稅負優勢的小股東反而較偏好高可扣抵稅額之科技公司而非傳產公司。另外，我們也以此份資料對各股東之股利偏好做相關檢定。發現大股東在此段期間中會賣出含權與含息的股票，而外資股東則會買進同時具高現金殖利率且又有配股票股利的股票。在此同時，我們也觀察到國內公司法人股東在這段期間似乎扮演著吸收大股東賣出持股的角色，值得進一步之深入探討。

Since Miller and Modigliani first to introduce the Tax Clientele Effect in 1961, this theory has always been hot issue in academia. This study uses the data of shareholders ownership transfer between Shareholders Meetings Day and Ex-Dividend Day to test the tax clientele hypothesis. Our evidence supports the tax clientele effect. We also find that small individual investors prefer Tech-related firms to Non-tech related firms among high tax-creditable-ratio firms. Besides, we also use this data to explore the dividend preference among different investors. Our evidence indicates that domestic major individual investors tend to sell their holdings of firms that pay dividends, while QFII prefer those firms with both high dividend yields and stock dividends. We also find that domestic corporate investors play a special role which worth further study.