美國存託憑證除息日交易行為與租稅之關聯性分析

Abstract

在美國稅法下，美國股票僅需要依據美國稅法課稅，美國股票投資人資格不同稅賦差異很大，然而，對於美國存託憑證，所有美國存託憑證投資大眾均需依據外國股利稅制課徵現金股利稅，故美國存託憑證所有投資人均同質一致，因此，美國存託憑證投資人交易行為應該趨於一致，為避免現金股利稅賦，美國存託憑證投資人傾向在除息日前出售美國存託憑證，而於除息日買回美國存託憑證，因此預期美國存託憑證於除息日會產生異常報酬以及異常交易量。本文重點即是以實證方法證明課稅同質性高的美國存託憑證，除息日是否會產生異常報酬以及異常交易量，由於不同的原發行國家會有不同的現金股利稅稅率，且不管是機構投資人或一般投資人稅率均一致，這種優良的特性，能使我們探討：股利稅賦較重的國家，是否除息日之異常報酬以及異常交易量較大；並進而探討影響除息日異常報酬以及異常交易量的因子。而與之前研究有所不同之處，本篇透過三階段最小平方法探討異常報酬是否與異常交易量具有因果關聯。本研究之樣本涵蓋33個國家299家公司所發行的存託憑證共1424個除息日，研究結果發現美國存託憑證於除息日時存在正的異常報酬率以及異常交易量。並且，研究亦指出稅賦成本以及機構投資人持股對除息日異常報酬呈顯著正相關；而對於異常交易量，稅賦成本與之呈顯著正相關而機構投資人持股則與之呈顯著負相關，而本研究亦發現股利殖利率對異常交易量以及異常報酬率具顯著正向影響。

Under U.S. regulations, the differential tax obligations for investors with various status and income levels give rise to investor heterogeneity. In contradiction of dividend income tax imposed on U.S. stocks, foreign tax liability is the minimums of the taxation imposed on ADR dividend income. Identical foreign tax rates enable American depositary receipt (ADR) investors to be more homogenous in taxation than U.S. stock holders. ADR investors tend to sell ADRs cum-dividends and repurchase ADRs ex-dividend. Heavy foreign tax liability is likely to cause abnormal returns and abnormal volumes on ex-dividend days (ex-days). However, previous studies have not thoroughly discussed the interactive relevance of ex-day abnormal volume and abnormal returns. Therefore, this paper employs 1424 cash dividend distributions for 299 firms from 33 countries covering the period during 2003 to 2006. This paper bases upon three-least square (3SLS) methodology to capture the abnormal trading behaviors induced by the tax factor bound to transaction costs. The results exhibit prominent abnormal returns and abnormal volume on ADR ex-days. The finding of the study supports the view that ADR ex-day abnormal returns are causally and positively related to abnormal volume using 3SLS estimations. In particular, the results also indicate that both of the ex-day abnormal returns and the ex-day abnormal volume are significantly associated with tax cost and the ratio of institutional holdings.