专注论文查重修改6年+经验

课徵证券交易所得税对台湾股票市场投资人的影响

【中文摘要】:台湾政府于2012-2013年对证券交易所得税进行所得税法改革,2012年3月28日财政部宣告将复徵证券交易所得税,又于2013年5月16日推出针对前一版本证券交易所得税之修正法案,本研究使用事件研究法探讨2012年及2013年台湾证券交易所得税税改事件的宣告效果,透过观察上市、上柜以及兴柜市场股票异常报酬与异常週转率于事件窗口之变化情形,比较各市场股票成交价量的异常变化以推论对股票市场投资人的影响,并藉由累积异常报酬与公司特性迴归分析投资人面对加税政策或减税政策时偏好的股票特质与报酬来源。本研究结果彙整以下四点:
一、2012证券交易所得税加税政策被市场视为坏消息,宣告日后上市、上柜及兴柜市场异常报酬率及异常週转率降低,降低市场效率。
二、2013证券交易所得税减税政策被市场视为好消息,宣告日后异常报酬率及异常週转率迅速增加,提高市场效率。
三、投资人面对加税政策或减税政策会做出不同的投资选择,若市场上出现加税的坏消息,投资人会倾向选择规模较大、体质较佳的价值型股票;若出现减税的好消息,投资人会倾向选择规模较小、潜力较佳的成长型股票。
四、股东报酬来源包括股利收益与资本利得,面对加税政策投资人偏好高股利收益的股票,面对减税政策投资人偏好高资本利得的股票。
【英文摘要】:For a very long time, individual investors in Taiwan did not have the responsibility to pay income tax on their net capital gains. After Tax Reform Committee announced the Tax Reform Act 2012 (TRA''12) which would impose tax on stock capital gains, included an 8500-point TAIEX threshold for individual investors, the economy immediately went from bad to worse. A year after, Taiwan government introduced an amendment to TRA''12, which in this paper we called Tax Reform Act 2013 (TRA''13), turning the individual investors to be exempt from capital gains tax just like before.
This paper examines daily stock return and share turnover reactions to the 2012-2013 capital gains tax overhaul. Using event study methodology, the analysis shows a significantly negative abnormal return and abnormal turnover in stock markets during the announcement date of TRA''12, which we infer to as a bad news; and there is a significantly positive abnormal return and abnormal turnover during the announcement date of TRA''13, which we infer to as good news. Besides, the empirical results indicate that investors change their stock-picking strategies when facing good news or bad news. They would invest in dividend-paying value stocks when there are bad news, and invest in growth stocks when there are good news. Besides investors would change their preferences between dividends and capital gains depending on the new tax rules.
【参考文献】:

  • [25] 吴启铭(2013)。证券交易所得税宣告对我国上市公司股票市场之影响-事件研究法之应用(未出版硕士论文)。国立政治大学,台北。
  • [24] 吴函霓(2013)。证券交易所得税对我国股市之影响(未出版硕士论文)。国立政治大学,台北。
  • [23] 沈中华、李建然(2000)。事件研究法:财务与会计实证研究必备。台北:华泰文化。
  • [22] 陈如芳(2000)。证券交易所得税对证券市场之影响(未出版硕士论文)。国立政治大学,台北。
  • [21] 陈其美(2002)。证券所得税制与交易税制对市场效率性与流动性的影响。(国科会专题研究计画成果报告,NSC 90-2416-H-002-018)台北:国立台湾大学财务金融学系暨研究所。
  • [20] 周宾凰、张宇志、林美珍(2007)。投资人情绪与股票报酬互动关係。证券市场发展季刊,19(2),153-190。
  • [19] 周宾凰、蔡坤芳(1997)。台湾股市日资料特性与事件研究法。证券市场发展季刊,9( 2),1-27。
  • [18] 梁剑洲(2013)。民国101年复徵证所税案对台湾金融业股价之影响(未出版硕士论文)。国立政治大学,台北。
  • [17] Reese Jr, W. A. (1998). Capital gains taxation and stock market activity: evidence from IPOs. The Journal of Finance, 53(5), 1799-1819.
  • [16] Poterba, J. M., & Weisbenner, S. J. (2001). Capital gains tax rules, tax‐loss trading, and turn‐of‐the‐year returns. The Journal of Finance, 56(1), 353-368.
  • [15] Peterson, P. P. (1989). Event studies: A review of issues and methodology. Quarterly journal of business and economics, 36-66.
  • [14] Lang, M. H., & Shackelford, D. A. (2000). Capitalization of capital gains taxes: Evidence from stock price reactions to the 1997 rate reduction. Journal of Public Economics, 76(1), 69-85.
  • [13] Landsman, W. R., & Shackelford, D. A. (1995). The lock-in effect of capital gains taxes: evidence from the RJR Nabisco leveraged buyout. National Tax Journal, 245-259.
  • [12] Klein, P. (2001). The capital gain lock-in effect and long-horizon return reversal. Journal of Financial Economics, 59(1), 33-62.
  • [11] Klein, P. (1999). The capital gain lock-in effect and equilibrium returns. Journal of Public Economics, 71(3), 355-378.
  • [10] Kaplanis, C. P. (1986). Options, Taxes, and Ex‐Dividend Day Behavior. The Journal of Finance, 41(2), 411-424.
  • [9] Kalay, A. (1982). The ex‐dividend day behavior of stock prices: a re‐examination of the clientele effect. The Journal of Finance, 37(4), 1059-1070.
  • [8] George, T. J., & HWANG, C. Y. (2007). Long‐Term Return Reversals: Overreaction or Taxes?. The Journal of Finance, 62(6), 2865-2896.
  • [7] Feldstein, M., Slemrod, J., & Yitzhaki, S. (1980). The effects of taxation on the selling of corporate stock and the realization of capital gains. The Quarterly Journal of Economics, 777-791.
  • [6] Dyl, E. A. (1977). Capital gains taxation and year‐end stock market behavior. The Journal of Finance, 32(1), 165-175.
  • [5] Dai, Z., Maydew, E., Shackelford, D. A., & Zhang, H. H. (2008). Capital Gains Taxes and Asset Prices: Capitalization or Lock‐in?. The Journal of Finance, 63(2), 709-742.
  • [4] Jin, L. (2006). Capital gains tax overhang and price pressure. The Journal of Finance, 61(3), 1399-1431.
  • [3] Brown, S. J., & Warner, J. B. (1985). Using daily stock returns: The case of event studies. Journal of financial economics, 14(1), 3-31.
  • [2] Black, F., & Scholes, M. (1974). The effects of dividend yield and dividend policy on common stock prices and returns. Journal of financial economics, 1(1), 1-22.
  • [1] Ayers, B. C., Lefanowicz, C. E., & Robinson, J. R. (2003). Shareholder taxes in acquisition premiums: The effect of capital gains taxation. The Journal of Finance, 58(6), 2783-2801.
  • 来源:中山大学;作者:吴诗萍
    文懂论文-重复率修改第一品牌,http://www.szwox.com解决论文查重论文降重复,重复率高等各种论文难题的专家

    最新文章

    • 什么是学术不端行为
      什么是学术不端行为
      什么是学术不端行为 1992 年,由美国国家科学院、国家工程院和国家医学研究院组成的 22 位...
    • 论文降重复服务 1. 本网站及服务 szwox.com提供哪些服务? szwox.com是一个...

    联络我们

    QQ: 767326772
    文懂论文
    网站:http://www.szwox.com/
    E-mail: turuinit@foxmail.com

    我们的服务

    我们提供毕业论文、期刊论文、硕士论文、博士论文、会议论文格式排版,论文查重,重复率修改等服务。强大论文查重系统,一手老师资源,首创安全保密查重修改流程。充分保障客户论文查重安全以及修改后的品质,赢得了老师和同学们的信任和口碑。