兩稅合一租稅套利策略之探討

Abstract

摘要 本論文以民國92年12月之法規背景，嘗試建立模型，研究我國自然人投資人，在兩稅合一制度下，藉股市除權事件而進行租稅套利之可能性及付出交易成本後所能獲得之報酬。並以報酬率之高低，解釋投資人進行租稅套利之動機，而推論該租稅套利行為對股市所可能造成之影響。 本研究發現： 1、 投資人可藉除權事件進行租稅套利，而租稅套利空間遠小於直覺。 2、 本益比愈小的股票，愈有套利空間，當本益比大於30以上，已幾乎無租稅套利空間。 3、 探討台灣股市之除權行情，若只看大盤將扭曲傳統產業股之除權行情。由於租稅效應而導致之除權行情則因各股票本益比之高低、公司營利事業所得稅率及投資人結構之不同而呈現漲跌各異之除權行情。 4、 探討股市大盤之除權事件租稅效應，應排除高本益比之類股。 5、 不論多頭或空頭市場皆有租稅效應，皆有除權行情。

ABSTRACT Name : Ho, Liang-chieh Month / Year : Jan. 2004 Adviser: Shu Yeh, Ph.D Title : An investigation of tax arbitrage strategy by ex-dividend event under Imputation Tax System. Based on the law in Dec. 2003, this paper tries to establish models to investigate the feasibility for individual investors to operate tax arbitrage under imputation tax system. The models compute the ROI of tax arbitrage, and the ROI explains the incentive influences to stock exchange market. This paper verifies the following points, 1. Individual investors are likely to operate tax arbitrage. However the profitable operating dspace is much less than imagination. 2. As P/E, Price/Earning, ratio decreases, profitable arbitrage space expands. While P/E ratio exceeds 30, one hardly find arbitrage space. 3. TSE Index doesn’t explain well the existing ex-dividend effect of traditional industry. Tax effect influences the stock price around ex-dividend period. The influence varies for the factors of P/E ratio, corporate income tax rate, and investor construction; and it may result in both of price rise and price fall for individual corporate stock. 4. Due to high P/E ratio stocks are hardly influenced by tax effect on ex-dividend event. If TSE Index excludes high P/E ratio stocks, it explains better ex-dividend tax effect. 5. It exists price change for ex-dividend tax effect for both of bearish market and bullish market.