兩岸股票除權（息）交易日之稅後超額報酬與比價心理假說之實證

Abstract

台灣股市存在所謂的「除權效應」，股價在除權交易日前後往往存在異常變動，造成除權交易日的異常報酬；而近年來，中國大陸A股市場上的「高送轉」題材股票也一直受到投資者的熱烈追捧。 台灣自1998年開始實行兩稅合一制度；從2013年1月1日起，台灣個人投資人之股利所得單次給付金額達新台幣5,000元者，須按規定繳納2%的健保補充保險費。而同樣自2013年1月1日起，中國開始對個人投資人的股息紅利所得按持股時間長短實行差別化個人所得稅政策。 本文研究台灣上市櫃公司與中國大陸A股上市公司2013-2014年期間的除權（息）事件資料，探討各市場中的投資人若在除權（息）前一日以收盤價買進股票，再於除權（息）交易日當天連同所獲配股票以收盤價一併賣出，在扣除所增稅費負擔、來回交易手續費及證交稅後，是否仍然存在超額報酬。 研究結果發現台股市場股票除權（息）交易日當天存在顯著大於零的平均異常報酬率，而在扣除所增稅負、來回手續費及證交稅後，僅邊際稅率在5%及以下的個人投資人可獲得顯著大於零的平均稅後超額報酬率。而中國A股市場股票除權（息）交易日之平均異常報酬率顯著小於零，中國市場中的個人投資人無法通過本研究中持股一日的操作而獲利。 另外對於台灣市場除權（息）日異常報酬率的解釋原因，本文的實證結果亦支持李存修（1991,1994）提出的「比價心理假說」，配股率越高，除權（息）後的價格相對越低，會令投資人產生股票價格偏低的心理，因而吸引買盤湧入，造成除權（息）交易日之異常報酬。

There is a so-called “Ex-right Effect” In Taiwan stock market, which means that the stock prices tend to have abnormal changes before and after the ex-dates, leading to abnormal return on ex-dates. Meanwhile, stocks with “high stock dividend” in China’s A-share market are also extremely popular in recent years. In Taiwan, the imputation tax system has been implemented since 1998. And starting from 1/1/2013, the investors in Taiwan must pay a 2% National Health Insurance (NHI) supplementary premium for any single dividend receipt higher than 5,000 NTD. Also from 1/1/2013, China established a new tax policy to differentiate the individual income tax on dividend income based on the holding period of the related shares. This paper studied the companies which announced cash or stock dividends during 2013-2014 period in both Taiwan and China’s A-share market, to prove whether investors can earn after-tax excess return, by buying shares on the day before the ex-dates, and selling on the ex-dates, both at the closing price. The results show that significant positive abnormal return on the ex-dates exists in Taiwan stock market. But net of round trip transaction costs, security transaction tax and the incremental income tax, only individual investors with marginal tax rate at 5% and below could have significant positive excess return. While in China’s A-share market, the average abnormal return on the ex-dates is significantly negative, therefore investors in A-share market cannot make profit by taking the one-day holding strategy. Additionally, for the reasons that caused the abnormal return on ex-dates in Taiwan market, the conclusions of this paper support the Hypothesis of Bargain Hunting proposed by Lee (1991, 1994): The higher the stock dividend rate, the lower the stock price after the ex-right (ex-dividend), letting investors to believe that the stock is underpriced, therefore attracting more buying forces and resulting in the abnormal return on ex-dates.