最低稅負制對股市之影響

Abstract

以往政府為了促進經濟成長，制定許多租稅優惠的規定，由於不斷擴大減免稅負範圍，使其稅制不公而導致貧富差距過大。有鑑於此，財政部於94年年初，積極展開最低稅負制之研究與準備工作，並於94年12月9日由立法院三讀通過「所得基本稅額條例」。本研究針對最低稅負制政策的變動進行事件研究，探討該事件是否因增加稅負而對於上市櫃公司之股價產生不利之影響。同時並以多元迴歸模型，研究事件期間所產生的累積異常報酬，與上市櫃公司企業特性的關聯性。本研究選定三個事件日，分別為（1）行政院表示最低稅負稅率將訂為10％的消息公布日、（2）立法院一讀通過最低稅負制草案日以及（3）立法院三讀通過最低稅負制之日。 研究結果發現：「行政院確定最低稅負稅率將訂為10％」的事件，使上市櫃公司股價產生負的累積異常報酬，其中以高科技電子業衝擊最大。在「立法院一讀通過最低稅負制草案」的事件期間，上市櫃公司的股價僅在事件日當日反應利空消息，產生負的異常報酬。而「立法院三讀通過最低稅負制」的事件，除了金融保險業有負的異常報酬產生之外，整體上市櫃公司的股價並無出現負的異常報酬。另外，本文以「行政院確定最低稅負稅率將訂為10％」事件期間上市櫃公司之累積異常報酬，與各企業間的特性進行迴歸分析。研究結果顯示：補徵之稅額佔總市值比較高、有效稅率較低、員工配股率較高之公司以及高科技電子業，其累積異常報酬相較其他類別產業來的低；而外資持股比率較高的公司，與累積異常報酬呈顯著正向關係。

To rationalize the nation’s taxation systems, the Ministry of Finance proposed a draft of the alternative minimum tax (AMT) in 2005. On December 9, 2005, the AMT proposal passed its third reading in the Legislature Yuan. This new tax system was predicted to have negative impacts on stock market. This paper uses event study to examine the stock market reactions to the change of the AMT policy. Three event days are chosen: (1) August 30, 2005, the date the Executive Yuan announced the AMT rates； (2) November 23, 2005, the date the Legislative Yuan passed the first reading of the AMT； (3) December 9, 2005, the date the Legislative Yuan passed the third reading and approved the AMT. The results of this study are as follows: (1) On August 30, 2005, when the Executive Yuan proposed a 10% corporate AMT rate, most companies had significant negative cumulative abnormal returns (CAR), especially the electronic industry. On November 23, 2005, when the Legislative Yuan passed the first reading, companies also experienced negative stock returns. On December 9, 2005, when the Legislative Yuan passed the third reading, this event no longer affected companies’ stock returns, except for the financial and insurance industry. (2) The results of the regression analysis suggest that CAR was negatively related with AMT-to-market value ratio, and employee stock bonus ratio. The results also indicate that the electronic industry had significantly negative CAR when the Executive Yuan proposed a 10% corporate AMT rate. However, CAR was positively related with effective tax rate and foreign investment ratio.