股東可扣抵稅額減半政策之事件研究;An Event Study on the Halved Imputation Credit Policy

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Title:	股東可扣抵稅額減半政策之事件研究;An Event Study on the Halved Imputation Credit Policy
Authors:	林意芝;Lin,I-Chih
Contributors:	會計研究所
Keywords:	可扣抵稅額減半;事件研究;異常報酬;Halved Imputation Credit;Event Study;Abnormal Returns
Date:	2016-06-14
Issue Date:	2016-10-13 14:08:58 (UTC+8)
Publisher:	國立中央大學
Abstract:	本研究旨在對股東可扣抵稅額減半事件進行事件研究，以探討兩稅合一稅制改革對上市櫃公司市場反應的影響，並且以迴歸模式分析此事件造成的股價之異常報酬率與公司股利殖利率、法人持股比率，與稅額扣抵比率之間的關聯性。實證結果顯示：(1)對於投資人是壞消息的事件日有顯著股票負向異常報酬率，對於投資人是好消息的事件日有顯著股票正向異常報酬率，惟在政策三讀通過日之事件日，由於市場已經提早反應完畢，故無發現市場負向異常報酬率。(2)股利殖利率愈高的公司，所受到扣抵減半衝擊愈大，故上市櫃公司的股票累積異常報酬率與股利殖利率間呈現負向關係。(3)僅在第一事件日發現法人持股比率能減緩累積異常報酬率與股利殖利率之間的負向關係。(4)僅在第一事件日發現高稅額扣抵比率之上市櫃公司，其股票累積異常報酬率低於低稅額扣抵比率之上市櫃公司。最後，額外測試部分沒有發現股東可扣抵稅額減半實施後上市櫃公司股利殖利率降低，但在股東可扣抵稅額減半實施後，法人持股比率與現金股利殖利率呈現正向關係，稅額扣抵比率與現金股利殖利率、盈餘配股殖利率，與總股利殖利率皆呈現負向關係。以上這些結果提供我國股東可扣抵稅額減半政策對於公司價值評價影響之實證證據，並且支持公司股利政策會影響到股利稅評價效果的程度，公司股權結構與稅額扣抵比率皆是公司制定股利政策時的重要考量因素。;Using Event Study methods, this study examines the stock market reactions to the announcements of the Halved Imputation Credit Policy and explores the relation among the abnormal stock returns of this tax policy and dividend yields, institutional ownerships, and imputation tax credit. We find that (1) The event day of bad news for investors has negative significant abnormal stock returns; by contrast, the event days of good news for investors have positive significant abnormal stock returns, but on the other hand, the event day of the third reading of halved imputation credit policy has no negative abnormal stock returns due to early market reaction, and (2) a firm with higher dividend yield is more easily affected by the halved imputation credit policy, which leads to the fact that the relation between the firm’s stock price and its dividend yield is negative, and (3) only the first event day indicates that institutional holdings mitigate this negative reaction, and (4) only the first event day shows that the firm with a higher imputation tax credit has less cumulative abnormal returns than that with a lower imputation tax credit. Finally, Additional testing part indicates that the dividend yields do not decrease significantly after implementation of the halved imputation credit policy. However, the results show that institutional ownership is positively related to cash dividend yield, and imputation tax credit is negatively related to cash dividend yield, stock dividend yield, and total dividend yield. Not only do our results provide empirical evidence on the impact of the halved imputation credit policy on firm’s valuation, but they also suggest that dividend policy of the firm influences the extent to which dividend taxes are reflected in share values. Our evidence is consistent with the expectation that both firm ownership structure and imputation tax credit influence the firm’s dividend policy.
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