股利與資本利得之互換對投資組合最佳化的影響：臺灣與美國ETF之實證分析（2015–2024）

Abstract

現代投資理論把投資的風險分類為系統性風險以及非系統性風險，而被動式投資工具如ETF，因能有效分散非系統性風險，成為投資人廣泛採用的重要資產配置工具。對於台灣的投資人，ETF是很受歡迎的投資工具，且除了台灣國內的基金，亦因美股市場歷史績效優異，使美國ETF成為熱門的海外投資選項。然而，由於美國對非稅務居民課徵30%的股息預扣稅，導致許多台灣投資人傾向避開高殖利率的投資標的，轉而投資不發放或低殖利率的成長型股票，此舉雖可減少稅負，但同時低殖利率的股票較多是高風險和初創期的新創產業，造成台灣的投資人增加整體投資組合的風險。 本研究以特定稅群的台灣投資人投資美股為例，探討能否透過不同投資策略，將原本須課稅的股息收入轉化為資本利得，以求減低台灣人在投息美股時所受的限制，擴大投資範疇。研究結果顯示，本研究所提出的策略在稅後報酬上具實質成效，特別是對於發放股息較高頻率的債劵型ETF，同時本研究為了把買賣價差和手續費的情況考慮，進行了敏感性分析，分別進行了零手續費和買賣價差以及把以上費用設定為五基點做成的影響分析，並發現在有費用的情況下策略依舊可行。

Modern portfolio theory classifies investment risk into systematic and unsystematic components. Among various tools for mitigating unsystematic risk, exchange-traded funds (ETFs) have emerged as a popular choice. For Taiwanese investors, both domestic and international ETFs are widely popular, with U.S. ETFs attracting particular attention given their performance. However, a 30% dividend withholding tax imposed by the United States on foreign investors has discouraged Taiwanese investors from holding dividend-paying U.S. stocks. As a result, many invest in no dividend growth stocks, which are often associated with higher volatility and risk exposure. This study explores whether strategic trading can convert taxable dividends into untaxed capital gains. The results from this study demonstrate that the strategies proposed are effective in mitigating the impact of dividend taxation, particularly for ETFs with higher frequency of dividend distributions, such as bond ETFs. Overall, the findings suggest that with thoughtful strategy design, Taiwanese investors can reduce tax-related investment limitations and improve risk-adjusted returns in cross-border ETF portfolios.