查詢結果分析
來源資料
頁籤選單縮合
題 名 | 兩稅合一前後上市公司除權及除息日股價行為之探討=Ex-dividend Day Price Behavior of the Taiwan Stock Exchange before and after the Imputation Tax System |
---|---|
作 者 | 林世銘; 陳明進; 李存修; | 書刊名 | 管理學報 |
卷 期 | 18:3 2001.09[民90.09] |
頁 次 | 頁477-501 |
分類號 | 567.21 |
關鍵詞 | 兩稅合一; 除權除息; 超額報酬; 比價心理假說; Imputation tax system; Ex-dividend; Excess return; Bargain hunting hypothesis; |
語 文 | 中文(Chinese) |
中文摘要 | 本文探討我國兩稅合一實施前後,上市公司分配民國85至87年度盈餘的除權(息)日是否仍有以往文獻所稱在除權(息)日可以獲得平均超額利潤的市場異常現象(market anomaly)。研究結果發現,兩稅合一降低股利所得之稅負,讓投資人進行除權(息)日套利的報酬比以往提高。此外,對於除權(息)日超額報酬的解釋原因,本文的實證結果亦支持李存修(1991)的比價心理假說,亦即除權(息)的股利愈多,除權(息)後的價格相對愈低,會使投資人有股價偏低的感覺而吸引買盤,因而造成除權(息)日的超額報酬。最後,本文也發現公司稅額扣抵比率愈高者,其股東參與除權(息)交易所能獲得之股票超額報酬率也愈高。 |
英文摘要 | This paper investigates the behavioral responses of ex-dividend day stock prices in the Taiwan Stock Exchange, following the 1998 introduction of the Imputation Tax System (the integration of business income tax and individual income tax). The results reveal that after the adoption of the new tax system, there was an increase in the average excess return of stock purchases on the day prior to ex-dividend, and selling on the next day, both at the closing price. Evidence also supports the bargain-hunting hypothesis (Lee, 1991), that the excess return is positively correlated to the level of the dividend distributed, but negatively correlated to the ratio of the ex-dividend price to the cum-dividend price. This paper also documents the clear, positive relationship between the excess return and the imputation tax credit ratio. |
本系統中英文摘要資訊取自各篇刊載內容。