台灣兩稅合一對除權除息股價的影響

Abstract

根據效率市場假說和套利理論，市場交易不受稅、無交易成本以及不可扣抵稅額的影響，除權除息當日股價下跌幅度應與股利價值相等。 有許多研究為此辯論，股價下跌幅度是否精準地反應現有的財金理論。有些研究相信市場的效率足以被那些假設解釋；其他則相信投資者的行為和偏好將會影響除權除息日的股價下跌幅度。 此篇研究分析台灣從1995年到2001年間，兩稅合一制影響投資者的行為所帶來的結果。我們發現在趨勢上的改變，愈來愈多企業選擇增加現金股利的發放，而因此股價下跌比例也增加。這個改變顯示，相對於資本利得，股東得到的股利價值增加。

According to the efficient market hypothesis and the arbitrage theory where there are no taxes, transaction costs and imputation credits, the ex-dividend price drop of the stock should be equal to the value of the dividend. Whether this price drop accurately reflects the established financial theories has been debated by many researchers. Some believe that the market is sufficiently efficient to be explained by the hypotheses. Others believe that investor behavior and preferences will influence the price drop on the ex-dividend date. This paper analyzes the effects of the introduction of the imputation tax system on the behavior of dividend price drops in Taiwan from 1995 to 2001. We found that there is a shift in trend for more companies to distribute cash dividends, and that the ex-dividend price drop ratio increased which suggests that shareholders increased their value of dividends relative to capital gains.