封閉型基金折溢價的資訊內涵－以除息行情為例

Abstract

本文以台灣與美國發行的封閉型基金為研究對象，研究主題有以下三個： （1）檢驗封閉型基金的折溢價是否具有資訊內涵，分別檢定折價與溢價基金在除息後是否出現不同的異常報酬，亦即折價與溢價基金是否有不同的除息行情； （2）探討除息行情的解釋因素，檢定基金的折溢價比率與配息金額對於除息行情的解釋能力是否顯著； （3）探討基金投資人在除息日前後的交易行為。 本文主要發現如下： 1. 折溢價會導致封閉型基金在除息後出現不同的異常報酬： 折價基金在除息後出現正的異常報酬，而溢價基金在除息後則出現負的異常報酬。 台灣市場的實證結果顯示，折價基金在除息後10日內有12.1％的異常報酬，而溢價基金在除息後10日內則有-3.32％的異常報酬。 美國市場的實證結果顯示，折價基金在除息後10日內有5.52％的異常報酬，而溢價基金在除息後10日內則有-1.1％的異常報酬。 2. 基金的「折溢價比率」與「配息金額」對除息行情具有顯著的解釋能力： 台灣與美國市場的實證研究顯示，「折溢價比率」與「配息金額」對於除息行情的解釋能力都非常顯著，除息行情的大小主要是受到這兩個解釋變因的影響。 3. 投資人在除息期間有棄息避稅的投資行為： 根據台灣與美國市場的實證研究，本文發現封閉型基金在除息日前後的異常報酬具有反向關係，合理推論投資人在稅負的考量下，傾向在除息前賣出持有基金以免收到現金股利而被課稅，等除息後，再到市場上買回基金。

This study examines the ex-dividend performance of closed-end funds (CEFs) traded in Taiwan and the US. The findings of this study are summarized as follows: 1. CEFs traded with discount in Taiwan have an cumulative abnormal return of 12.1% for the 10 day period after ex-dividend day, while CEFs traded with premium in Taiwan have an cumulative abnormal return of -3.32% for the 10 day period after ex-dividend day. CEFs traded with discount in the US have an cumulative abnormal return of 5.52% for the 10 day period after ex-dividend day, while CEFs traded with premium in the US have an cumulative abnormal return of -1.1% for the 10 day period after ex-dividend day. 2. The premium/discount ratio and the size of dividend distribution are two explanation factors of the ex-dividend performance. The premium/discount ratio has negative influence to the abnormal returns of CEFs after ex-dividend day, while the size of dividend distribution has positive influence to the abnormal returns of CEFs after ex-dividend day. 3. The abnormal returns of CEFs before and after the ex-dividend day are correlated negatively. This implies investors may sell CEFs before ex-dividend day and buy them back after ex-dividend day for tax purpose.