民國107年所得稅法修正與股價變動之關聯性研究

Abstract

本研究藉由民國（下同）107年1月18日立法院三讀通過所得稅法部分條文修正之事件，透過實證分析，探討稅率變動所造成之遞延所得稅評價變動是否影響投資人對股價之反應。研究結果顯示，每股淨遞延所得稅資產對股價之預期影響率（NDTA）與累積異常報酬率（CAR）並未呈現本文所預期的正向關係。本研究考量到電子業公司享受較多租稅優惠、有效稅率較低，進一步將樣本中屬於電子業之公司排除，而研究結果顯示，107年調增營利事業所得稅稅率使淨遞延所得稅資產之帳面價值調升愈多的非電子業上市公司，有愈高的股票累積異常報酬率，但是該現象在統計上並不顯著，惟其迴歸係數值具有經濟上顯著性。本研究亦將NDTA拆分為每股遞延所得稅資產對股價之預期影響率（DTA）與每股遞延所得稅負債對股價之預期影響率（DTL）兩個變數進行測試，研究結果顯示，投資人關注遞延所得稅負債的程度可能大於關注遞延所得稅資產的程度。 本文根據上述結果建議我國證券市場投資人，不宜貿然以為所得稅稅率的調升，造成公司的淨遞延所得稅資產增加、財務結構變佳，就會使公司的股價上升。亦即本文的研究結果顯示：稅率變動所造成的遞延所得稅資產（與負債）的評價增加（減少），可能不是投資決策的重要參考因素。

This study takes the opportunity of the amendment to tax rates of the Income Tax Law on January 18, 2018, to investigate the relevance between deferred income tax assets and liabilities valuation changes and changes in stocks return of listed companies. The research results show that the expected impact rate of net deferred tax assets per share on stock prices (NDTA) and cumulative abnormal return (CAR) do not show the positive relationship expected in this article. Because companies in the electronics industry enjoy more tax incentives and have lower effective tax rates, this study further excludes companies in the electronics industry from the sample. We find that listed companies who have a higher NDTA will have a higher CAR on stocks, but this phenomenon is not statistically significant. However, the regression coefficient is economically significant. This study also split NDTA into two variables: the expected impact rate of deferred tax assets per share on stock prices (DTA) and the expected impact rate of deferred tax liabilities per share on stock prices (DTL). The research results show that investors may pay more attention to deferred income tax liabilities than to deferred income tax assets. Based on the above results, this article recommends that investors in Taiwan’s securities market should not rashly assume that the increase in the company’s net deferred income tax assets, due to tax rate changes, should not be regarded as will cause the company’s stock price to increase.