兩稅合一可扣抵稅額與補充健保門檻對除權(息)日股價行為之影響

Abstract

證券交易的兩種相關稅制—股利所得稅與證券交易所得稅近年來迭有變更，因為股票的價值與其未來稅後現金流量關係密切，稅制的變革自然也會影響到股價。而由於證券交易所得稅已確定自2016年起停徵，本研究不再探討證所稅變革之影響，而重於股利相關稅賦之影響。 2013年起股利所得單筆5000元以上須加徵2%的補充健保費，2016年起此項補充健保費的起徵門檻提高至20000元，補充健保費改為1.91%。1998年起，實施兩稅合一，營利事業所繳納之營所稅可在個人申報綜合所得稅時扣抵，但自2015年起，此項可扣抵稅額降為一半。這些變化影響到投資人參與股利除權(息)之意願，進而影響到股票除權(息)交易日前後的價格走勢。例如可扣抵稅額減半，如同增加股利所得的稅賦，使得高綜所稅邊際稅率(2015年起最高可到45%)的投資人參與配股配息的意願降低，而在除權(息)交易日前拋售股票。 本研究探討2015年至2016年台灣上市上櫃股票在稅制的變革之後，除權(息)日之異常報酬與超額報酬之表現。研究結果發現，台灣股票上市上櫃公司在2015年與2016年之除權(息)交易日當天皆有顯著的正異常報酬。在除權(息)的後十日，2015呈現顯著為負的異常報酬，2016為不顯著之異常報酬。 不同邊際稅率之投資人有不同之稅賦成本，將除權(息)日之異常報酬扣除交易成本及稅賦之後，便可得到超額報酬。本研究發現，邊際稅率5%以上之投資人皆無法獲得超額報酬。因此， 2015年開始實施之可扣抵稅額減半造成台灣股市除權(息)行情縮水，且影響程度大於2016年開始實施之補充健保門檻提高，以至於2015、2016年只有邊際稅率0%之投資人能獲得超額報酬。

Taiwan’s dividend revenue tax and gains derived from the securities transactions tax have been varied recently. Since the gains derived from the securities transactions tax has been abolished since 2016, this paper emphasize more on the effect of dividend tax on the stock market. An additional health insurance premium of 2% have been charged on all dividend payments of NT$5,000 or more since the beginning of 2013. Moreover, this health insurance premium has been changed to 1.91% on all dividend payments of NT$20,000 since 2016. On the other hand, the imputation tax credit system went into effect in 1998 and the deductible tax has been reduced by half since 2015. All these changes above will have some impact on the willingness and behavior of the investor on ex-dividend day. This paper focus on the result of the ex-dividend day performance after the change of the tax policy in Taiwan. This research collect data from 2015 to 2016 to calculate both abnormal return and excess return from the stock market around ex-dividend day. The empirical result from both 2015 and 2016 shows that there exists significant positive abnormal return on the ex-dividend day. Furthermore, there exists significant negative abnormal return after the ex-dividend day in 2015 and insignificant abnormal return in 2016. We also find that only investors with 0% tax rate can get excess return on the ex-dividend day in both 2015 and 2016. As a result, the effect of the deductible tax reduced by half has a large effect of Taiwan’s ex-dividend day.