銀行保險業營業稅調升事件之市場反應研究

Abstract

本研究藉由事件研究法中的市場模型探討民國103年2月24日行政院正式公布財政健全方案中，將銀行業、保險業經營專屬本業之銷售額之稅率自原本的2%調升為5%之事件對市場造成之衝擊，是否真的如財政部新聞稿所言對金融類股市並無明顯影響。本文同時也將同年5月16日經立法院於三讀通過修正營業稅法，於民國103年6月4日經總統公布，與先前之行政院公布日共計三個日期作為研究事件日，以觀察整個增稅期間投資人對增稅事件是否持續關注，本文之研究發現不僅於行政院公布當日有顯著負向異常報酬產生之外，在立法院三讀通過當日亦產生顯著之負向異常報酬，顯示行政院的說法未能獲得實證證據之支持。同時本文也發現投資人仍會持續關注增稅事件的各個階段，但隨著事件發展與情況越趨明確後期持續期間逐漸遞減。 本研究發現本次營業稅增稅事件確實對銀行保險業產生負向的異常報酬，同時累積異常報酬與因增稅事件減少之增額每股盈餘(△EPS)確實有正向顯著關係，顯示增繳的營業稅額越大之公司確實產生較多的負向異常報酬。

On February 24, 2014, the Executive Yuan of the Republic of China made an announcement about increasing the Non-value-added business tax rate of banking and insurance from 2% to 5%. This policy then formally proceeded to the Legislative Yuan for deliberation and examination. After around two-month legislative procedure, the Amendment of Value-added and Non-value-added Business Tax Act was proceeded directly to The Second Reading and passed on May 16, 2014. The Amendment was announced by the President Ma on June 4, 2014. This study uses event study methodology to examine the stock market reaction to the increase of the Non-value-added business tax rate from 2% to 5%. The paper also analyzes the cumulative abnormal returns (CAR) with the firm characteristics which could assist us to recognize what kinds of characteristics are significant in influencing the cumulative abnormal returns. In the sensitivity analysis, the study examined different “window” periods to further investigate how long the abnormal returns could last. By focusing on the periods these investors’ reaction could last in three event dates, this study found that a decreasing effect with the progress of our event from the first announcement date to the announcement by the president. The paper draws the following conclusions: (1) With event study, the paper had a supporting conclusion for our hypothesis one (Stock market reacts to the increase of business tax rate of the banking and insurance companies) on February 24, 2014 and May 16, 2014, but the result is non-significant on date June 4, 2014. (2) The greater influence on a firm’s EPS being expected, the greater the negative cumulative abnormal returns it has. (3) Through examining the CAR in different “window” periods, a decreasing effects with the progress of the event were found, signaling the possible reaction pattern to the event like bills or policies which take a long time in process.