現金股利稅率對美國存託憑證除息期間價量之影響

Abstract

現金股利稅率對美國存託憑證 除息期間價量之影響

摘要

本研究主要探討現金股利稅對美國存託憑證除息期間價量關係之影響。分析其中可能影響除息期間交易行為之因素。研究目的有八：1、探討美國存託憑證除息日存在超額報酬率與超額交易量。2、探討美國存託憑證發行國家課徵之股利稅稅率對除息日超額報酬率與超額交易量之關聯性。3、探討美國存託憑證之原發行公司股利殖利率對除息日超額報酬率與超額交易量之關聯性。4、探討美國存託憑證稅賦成本對除息日超額報酬率與超額交易量之關聯性。5、探討美國存託憑證交易成本對除息日超額報酬率與超額交易量之關聯性。6、探討美國於1993年實施之股利所得稅稅率增加法案對除息日超額報酬率與超額交易量之關聯性。7、探討美國於1997年實施之納稅人負擔減輕法案對除息日超額報酬率與超額交易量之關聯性。8、探討美國存託憑證在除息日超額報酬率與超額交易量間之關聯性。

研究結果發現：1、美國存託憑證在除息日期間存在顯著為正的超額報酬率與顯著為正的超額交易量。2、美國存託憑證原發行國家課徵之股利稅稅率對除息日之超額報酬率無顯著影響，也對除息日之超額交易量無顯著影響。3、美國存託憑證原發行公司股利殖利率對除息日之超額報酬率有顯著正向影響，但是對除息日之超額交易量無顯著影響。4、美國存託憑證稅賦成本對除息日之超額報酬率有顯著之正相關，但是對除息日之超額交易量無顯著相關。5、美國存託憑證交易成本對除息日之超額報酬率呈顯著正相關，但對除息日之超額交易量呈顯著負相關。6、美國於1993年實施之股利所得稅稅率增加法案後，對美國存託憑證除息日之超額報酬率顯著負相關，但是對除息日之超額交易量則呈顯著正相關。7、美國於1997年實施之納稅人負擔減輕法案後，對美國存託憑證除息日之超額報酬率無顯著相關，但對除息日之超額交易量呈顯著負相關。8、美國存託憑證在除息日發生之超額交易量與超額報酬率呈顯著正相關。

本研究的主要貢獻有為：1、以往的相關研究題目都單獨各自針對除息日的超額報酬率或超額交易量，本研究將除息當日超額報酬率與超額交易量兩者同時整合探討。2、以三階段最小平方法在實證結果中分離出超額報酬率與超額交易量之共變數而找出兩者間的相關性。

關鍵字：美國存託憑證；超額報酬率；超額交易量；現金股利稅；共變數；三階段最小平方法

Dividend Tax Rate Induced Stock Price and Volume around Ex-dividend Date —Evidence from ADR Market

Abstract

This paper mainly examines how the withholding dividend tax rate induced ex-dividend date trading of American Depositary Receipts (ADRs). ADR dividends are often subject dividend taxes (withholding taxes), creating incentives for certain investors to avoid the distribution. We explore the reasons why we observe the positive excess returns and excess volumes around the ex-dividend date. The study purpose in this paper are summarized as follows: 1. We explore whether ADRs exhibit positive excess returns and excess volumes on the ex-dividend date. 2. We explore the correlation between dividend taxes rate and excess returns, as well as the correlation between dividend taxes rate and excess volumes. 3. We explore the correlation between dividend yield and excess returns, as well as the correlation between dividend yield and excess volumes. 4. We explore the correlation between the amount of tax to be paid and excess returns, as well as the correlation between amount of tax to be paid and excess volumes. 5. We explore the correlation between transaction cost and excess returns, as well as the correlation between transaction cost and excess volumes. 6. We explore the correlation between Revenue Reconciliation Act of 1993 and excess returns, as well as the correlation between Revenue Reconciliation Act of 1993 and excess volumes. 7. We explore the correlation between Taxpayer Relief Act of 1997 and excess returns, as well as the correlation between Taxpayer Relief Act of 1997 and excess volumes. 8. We explore the correlation between excess returns and excess volumes.

The empirical results in this research are summarized as follows: 1. ADRs exhibit significant positive excess returns and significant positive excess volumes on the ex-dividend date. 2. This research is unable to prove dividend tax rate and excess returns exhibit significant positive correlation. Also unable to prove dividend tax rate and excess volumes exhibit significant positive correlation. 3. Dividend yield and excess returns exhibit significant positive correlation. However, dividend yield and excess volumes does not exhibit significant positive correlation. 4. The tax amount to be paid and excess returns exhibit significant positive correlation. However, he tax amount to be paid and excess volumes does not exhibit significant positive correlation. 5. Transaction cost and excess returns exhibit significant positive correlation. However, transaction cost and excess volumes exhibit significant negative correlation. 6. The Revenue Reconciliation Act of 1993 was signed and applied beginning of 1993. This change increased the incentive to convert ordinary income to capital gains, this research is able to prove it affect the excess returns in ADRs market. However, The Revenue Reconciliation Act of 1993 was signed and applied beginning of 1993. This change decreased the incentive to convert ordinary income to capital gains, this research is able to prove it affect the excess volumes in ADRs market. 7. The Taxpayer Relief Act of 1997 was signed and applied beginning of 1997. This change decreased the incentive to convert ordinary income to capital gains, but this research is unable to prove it affect the excess returns in ADRs market. However, The Taxpayer Relief Act of 1997 was signed and applied beginning of 1997. This change increased the incentive to convert ordinary income to capital gains, this research is able to prove it affect the excess volumes in ADRs market. 8. Excess returns and excess volumes exhibit significant positive correlation. This research has two contributions: First, all of the past studies focus on excess returns or excess volumes around the ex-dividend date dividedly. This research focus on both excess returns and excess volumes simultaneously. Second, we apply the “Three Stage Least Square” methodology to separate the covariance between excess returns and excess volumes. That make this research to find out an empirical correlation between excess returns and excess volumes significantly.

Key word: American Depositary Receipts; Excess Returns; Excess Volumes;Withholding Taxes; Dividend Taxes; Withholding Taxes; Covariance;Three Stage Least Square; 3SLS