稅制變動下台灣上市公司除權及除息日股價行為之探討

Abstract

本文以民國87年度至99年度我國上市公司之盈餘分配資料為樣本，探討我國兩稅合一制度實施以後，投資人是否能利用除權（息）日之填權（息）現象，以「先買後賣」的方式賺取超額報酬，並觀察民國99年所得稅法修訂是否對超額報酬產生影響。實證結果發現，87年度時綜所稅率在21%以下之投資人，能以此套利方式賺得顯著的超額報酬；但在99年度時，縮小到只有稅率在5%以下的投資人能賺得超額報酬，而適用高邊際稅率之投資人則在88年度開始觀察到顯著的負向超額報酬。此外，民國99年所得稅法修訂造成低邊際稅率投資人之超額報酬略為上升，而高邊際稅率投資人之超額報酬則有下降的情形。整體而言，自兩稅合一實施至今，各年度之超額報酬有逐年下降的趨勢。本文進一步研究發現，比價心理假說及稅額扣抵比率仍然為影響超額報酬高低之攸關因素。最後依據實證結果，探討其管理意涵，並給予政府與投資人相關之建議。

We investigate the stock prices on ex-dividend day in the Taiwan Stock Exchange in different tax regimes over the period 1998-2010. We also calculate extra returns that investors can earn by purchasing stocks on the day prior to ex-dividend and selling on the following day at the closing price. We find significant extra returns for investors in low income tax rate, but the average extra return has decreased since 1998. On the other hand, we find significant losses for investors in high income tax rate. Moreover, consistent with our analytical model, changes in income tax law in 2010 causes the extra returns to increase and the extra losses to decrease. Finally, we find evidence that the extra returns are positively correlated to the income tax credit ratio, and negatively correlated to the ratio of the ex-dividend price to the cum-dividend price. According to our findings, we discuss the management implications and present our suggestions to the investors and government.