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论文编号：	1422
作者编号：	012042
上传时间：	2009/12/14 15:41:44
中文题目：	台湾地区两税合一股利所得税对股票价值的影响研究
英文题目：	The Effect of Implementing the Incorporate System of Two Taxations on Dividend Tax Capitalization of Listed Companies——An Empirical Study Based on Taiwan
指导老师：	齐寅峰 教授
中文关键字：	两税合一　　股利税效应　　台湾地区
英文关键字：	Tax integration Dividend tax capitalization Taiwan
中文摘要：	股利分配是公司财务决策的一项重要内容，公司的股利政策对公司价值有着重要的影响，因此股利问题一直是财务金融界研究的一个热点。税收是导致公司股利政策与公司价值相关的一个重要因素，从而税收对公司的股利政策有着重要的影响。在存在个人所得税的情况下，公司采取的不同的股利政策会使其投资者面临不同的税负，投资者就会对公司股票做出不同的定价。传统的股利税收理论假设公司的盈利只有发放现金股利时才面临股利所得税，而公司保留的盈余不负担股利税，因此在股利宣告时公司的股价会有一个负向的变化，过去针对股利税理论的实证研究也大多采用股利宣告的事件研究法，但这种方法由于很难将股利税效应与股利宣告的信号效应区分开来，这类研究并没有取得一致的结论。1991年，Zodrow提出了一种新的股利税观点，该观点认为公司的未分配利润最终都会以应税股利的形式发放给投资者，因此在股票的定价中应该考虑未分配利润将来所需要交纳的投资者个人所得税，所以股票价格应该扣除了未来利润分配时投资者应缴纳的所得税资本化部分。Harris and Kennsely（1999）接受了Zodrow新的股利税观点，以Ohlson（1995）的股票估价模型为基础，并将未分配利润所需交纳的投资者个人所得税部分加入模型，从而将股票估价模型修改为股利税后估价模型，并以此模型来研究股利税如何影响未分配利润、投资者的投入资本、以及预计的未来公司盈利在股票估价模型中的相对价值。此后，有部分学者利用Harris and Kennsely（1999）的实证模型检验了股利税效应理论，大部分研究支持存在股利税效应。但Harris and Kennsely（1999）模型的有效性也受到部分学者的质疑和修正，而且由于受到非税制因素的干扰，该模型针对不同税制下的股利税效应的比较没有得出一致的结论。台湾于1998年实施了两税合一税制改革，改革前后，投资者的股利税负发生了很大变化，由于台湾的税制改革并不涉及其他非税制因素的改变，因此台湾的税制改革为研究不同税制下股利税效应提供了一个绝佳的机会，也为检验台湾地区是否存在股利税效应提供了更好的条件。本文以台湾税制改革为背景，借鉴其他学者对Harris and Kennsely（1999）模型的质疑和修正，研究台湾“两税合一制”前后上市公司投资者的股利所得税对股票价值的影响及其变化，并以此对股利税效应假设进行检验。本文的研究可以更准确地检验股利税效应理论，检验结论将推动股利税效应理论的发展；本文的研究结论也可以使政府管理部门、企业决策者、投资者更准确地认识台湾地区公司股利政策对公司价值的影响以及资本市场对股利税的反应，为政府、企业及投资者的决策提供指导。 本文研究的主要内容和创新包括： 1．利用台湾两税合一税制改革，检验投资者股利税与股票价值之间的关系。 根据台湾实施两税合一制后特殊性，对Harris and Kemsley（1999）的股利税后股权估值模型进行扩展，研究投资者面临的股利税对资本市场股票价格的影响，从而检验台湾资本市场是否存在股利税效应，以及两税合一税制改变对股票价格的影响，检验投资者股利税与股票价值之间的关系。 2．利用台湾两税合一税制改革，检验公司股利政策对其股利税效应的影响。 考虑到投资者在评估未分配利润最终会以现金股利的形式发放的概率时会考虑公司的股利政策；而且Harris and Kemsley（1999）模型没有考虑股利发放时点对股利税效应大小的影响，本文将公司的股利政策作为股利税效应的一个重要因素加入到模型中，检验公司的股利政策对股利税效应的程度的影响。 3．检验台湾两税合一税制实施后该税制特征对企业股利税效应的影响。 台湾的两税合一税制改革后对税制改革前后的未分配利润的股利所得税实行不同的政策，因此公司未分配利润的组成不同，公司的税额抵扣比率也不同，从而会对公司的股利税效应产生不同的影响，本文针对两税合一税制实施后该税制特征对企业股利税效应的影响进行检验。 4．利用台湾两税合一税制改革，整体性地检验股利税的效应，以及两税合一税制实施对此产生的影响。 针对现有的基于税制的改变来研究股利税效应的文献只是探讨了税制改变以后，资本市场整体股票价值的变化，而未涉及两税合一税制改变影各企业的股利政策及股利税的顾客效应（Clientele effect），以及其对公司股利税效应的影响。，考虑到台湾地区两税合一税制对公司股利政策及股利税顾客效应产生影响，从而导致对投资者个人股利税负资本化产生影响，本文结合Harris and Kemsley（1999）股利税后股票估价模型的应用，将这些影响纳入模型，整体性地探讨股利税的效应，以及两税合一税制实施对此产生的影响。 关键词：两税合一　　股利税效应　　台湾地区
英文摘要：	Dividend is an important policy of corporate finance. Dividend policy has significant impact on corporate value, and it has always been a hot topic in the finance field. Tax is an important factor that influence the correlation between corporate dividend policy and corporate value, and it influence corporate dividend policy. In the presence of the case of personal income tax, investor faced different tax burden with different corporate dividend policy. Dividend policy influences the stock price. The traditional dividend tax theories think that corporate profits face dividend tax burden only when it be distributed as cash dividend. Retained earnings are not faced dividend tax burden. When corporate declared cash dividend, its stock price decrease. In early time, the Empirical research on dividend tax theory utilized dividends declared event method. But this method cannot distinguish dividend tax effect from Signaling effect. The study has not reached unanimous conclusion. In 1991, Zodrow raised a new view of dividend tax effect. He holds that corporate retained earnings must being distributed to investor in future and it will be Levy personal income tax. Investor must capitalize the tax on the stock price. Adopted Zodrow’s view, Harris and Kennsely(1999) developed the Stock Valuation Model raised by Ohlson (1995) by added the influence of retained earnings dividend tax. With the model, they empirically studied the value of retained earnings, shareholders invested capital and the expected future earnings. After them, some researcher empirically tested dividend tax capitalization theory with HK’s model. Those researches support the existence of dividend tax capitalization. But HK’s model has also been questioned by some scholars, and the model is not effective to compare the difference of dividend tax capitalization on different tax regime because of the effects of other Non-taxation factors. Income tax integration system was adopted in Taiwan in 1998.The tax integration changed investor income tax burden. And this reform did not involve other Non-taxation factor. It provides a precious chance to study dividend tax capitalization on different tax regime. Based on the tax integration change, this dissertation studies the influence of dividend tax to stock value before and after the tax integration with developed HK’s model. It tests dividend tax capitalization theory more exactly than the previous study. My research can promote the study of dividend tax capitalization theory and it can provide guidance to the government, enterprises and investors for their decision-making The following are the main contents and the innovative ideas of this dissertation. 1. Test the relationship between investors’ dividend tax and stock value base on the tax integration change of Taiwan. I developed the HK’s model of 1999 according to the special characteristic of the tax integration change of Taiwan and use it to study the influence of investors’ dividend tax burden to stock value. This study can test the dividend tax effect and the influence of the tax integration change to stock price in Taiwan. 2. Test the influence of corporate dividend policy to dividend tax capitalization based on the tax integration changed of Taiwan. While investors evaluate the probability of corporate distributing retained earnings, they must consider corporate dividend policy. But HK’s model didn't consider the influence of corporate retained earnings dividend time. I added the corporate dividend policy into the model as an important influenced factor of dividend tax capitalization. It can test the influence of dividend policy to dividend tax capitalization. 3. Test influence of the tax system characteristic to dividend tax capitalization after the tax integration change of Taiwan. After the tax integration change of Taiwan, the different part of corporate retained earnings which gain before or after the tax integration practice a different income tax policy. So the company retained earnings’ composition influence dividend tax capitalization. I will test it in this dissertation. 4. Make a whole test of dividend tax effect base on the tax integration change of Taiwan, and test the influence of the tax integration change to dividend tax capitalization. The exist literature of dividend tax effect base on tax system change only study the change of stock value after the tax system change. It do not involve the influence of tax system change to corporate dividend policy and Clientele effect. In consideration of the influence of the tax integration change of Taiwan to corporate dividend policy and Clientele effect, I add this effect to the empirical model which based on HK’s model to test whole dividend tax effect and the influence of the tax integration change to dividend tax effect. Keyword: Tax integration Dividend tax capitalization Taiwan
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