營利事業所得稅稅率調降之市場反應研究─功能固著假說檢驗

Abstract

本研究藉我國上市公司財務報表所揭露之遞延所得稅項目，探討民國98年5月1日，立法院三讀通過將營利事業所得稅稅率自25%調降至20%對我國資本市場的影響，進一步檢驗功能固著假說。 研究結果顯示，遞延所得稅項目淨額與累積異常報酬呈反向關係，與效率市場假說對投資人的假設相符，惟該結果在統計上並不顯著。若再將遞延所得稅項目依性質分解可發現，「遞延所得稅資產淨額─流動」與「遞延所得稅負債淨額─流動」與累積異常報酬之關聯皆具顯著性，且兩者隱含之資訊內涵相反。前述結果顯示投資人對遞延所得稅資產淨額之反應，較符合效率市場假說；而對遞延所得稅負債淨額則傾向於功能固著假說。 故本研究根據上述結果認為，由於上市公司帳列大多為遞延所得稅資產淨額，故若將遞延所得稅資產與負債併同分析，其結果會較偏向效率市場假說，此與Hand（1990）提出之邊際投資人決定市場價格的論點相符。

This thesis uses firms’ net deferred tax items and adjustments caused by Taiwan’s corporate income tax rate decrease from 25% to 20% which was enacted on May 1, 2009, to explore functional fixation on reported accounting numbers by investors. The study shows that net deferred tax items had adverse correlation with cumulative abnormal returns (CAR) of sample corporations, just consisted with the assumption of the Efficient Market Hypothesis (EMH), but it was not significant statistically. When distinguishing net deferred tax items into net current deferred tax assets and liabilities, however, both of them were correlated with CAR significantly, but in different ways. The results indicate that investors’ reaction to deferred tax assets corresponded to EMH, but the way they reacted to deferred tax liabilities was corresponded to the Functional Fixation Hypothesis (FFH). According to the results above, this study concludes that because most of corporations in Taiwan’s security market recorded net deferred tax assets in their balance-sheets, deferred tax items’ result was familiar with net deferred tax assets’ which corresponded to EMH. And this conclusion is consistent with Hand (1990) that marginal investors decide the market price.