奢侈稅對相關上市公司之衝擊

Abstract

摘要 從2003年至2010年來，台灣房市持續高升，以台北市為例，甚至飆漲超過一倍，但台灣2003至2010年來人民所得與房租卻只有些微成長，由此可見，房地產極有可能是由超額資金供給所飆高。政府為了防止房地產泡沫化，推行奢侈稅，希望能藉此對房市的投機行為有重大影響。 本文想知道奢侈稅是否對於營建業、金融業是否有顯著影響。利用事件研究法中GARCH模型、AR檢定、累計三日異常報酬(CTAR)、累計五日異常報酬(CFAR)來檢定營建業與金融業的股價表現。發現在營建業中，GARCH模型、AR檢定、累計三日異常報酬、累計五日異常報酬，營建業估計係數大多為負，且幾乎達1%顯著。顯示奢侈稅對於營建業確實有重大影響。 至於在金融保險業中，在GARCH模型、AR檢定、累計三日異常報酬、累計五日異常報酬，金融保險估計係數則是正負交錯，並無一個明顯趨勢，顯示奢侈稅對於金融保險業並無重大影響。 本文除了以奢侈稅對相關產業影響進行研究，也研究奢侈稅對於公司財務比率之影響，希望能瞭解公共政策對於股價的影響，讓下次政府制定公共政策時能了解民眾之預期心理，讓社會更加安定。 本文以負債比率、ROE、市值做為自變數，累計三日異常報酬與累計五日異常報酬做為應變數。結果發現，奢侈稅對於負債比率大的公司並無明顯影響，推測可能為上市公司的主要業務並非皆以房地產為主要營運項目，導致奢侈稅對於負債比率大的公司並無明顯影響。 我們也以ROE、市值來檢定民眾對股市的預期心理。本文實證發現在股市大盤飆漲的期間，民眾對於高ROE與高市值的公司會有不切實際的幻想，導致在後來股市大盤不漲時，高 ROE與高市值的公司股價會下跌的比較多。

Abstract From 2003 to 2010, Taiwan’s housing market has been rising. Take Taipei City as an example, the property price had been raised to more than double. Nevertheless, for the same period there was not any meaningful rise in people’s income and rent. This fact reveals that the rise of real estate might be due to the excessive money supply in the market. In order to avoid the blowup of real estate bubbles, the government has implemented luxury tax to curb the speculative activities on the residential properties. This study attempts to examine whether luxury tax has any significant impact on Construction industry and Finance and Insurance industries in reality. It adopts the GARCH model, AR test, CTAR (Cumulative three-day abnormal returns) and CFAR (Cumulative five-daily abnormal returns) used in the methodology of event study to assess the share price performances of these two target industries. In this study, the findings show that estimated coefficients for Construction industry were mostly negative and their significance even reached 1 percent. This indicates that luxury tax had real significant effect on Construction industry. On the other hand, the estimated coefficients for Finance and Insurance industries in this study did not show such a clear pattern. It tells that luxury tax had little significant impact on this industry. This paper also studies the impact of luxury tax on the financial ratios of listed companies on Taipei Stock Exchange (TSE) in order to seek in-depth understanding of the influence of public policies on share price. The purpose is to produce a possible meaningful reference so that government would take public expectation into account when forming future public policies and thereby achieving better social stability. In this case, debt ratios, ROE, and market capitalization were made the independent variables while CTAR and CFAR were made dependent variables. The study findings show that luxury tax had little effect on share prices of companies with higher debt ratios. This may be attributed to that not many listed companies had real estate as one of main operating items and thus, bore little impact from luxury tax. ROE and market capitalization were also used to examine the expectation of the public on the stock market. It indicates that while the stock market was soaring, people tended to have unrealistic expectation for companies with high ROE and market capitalization, which led to the overdrop of share prices of these companies when the stock market stopped soaring.