本文以事件研究法探討兩稅合一制度對公司屬性與股票報酬關聯性之影響。本研究假設在採行兩稅合一制度後:(1)公司之股東個人適用稅率與公司股價呈反向關係,(2)公司有效稅率與公司股價呈正向關係,(3)預期盈餘保留率愈高與該公司股價呈反向關係。在控制公司屬性變數對股票報酬之影響後,實證結果顯示在兩稅合一之下,預期有效稅率愈高的公司將在兩稅合一得到愈大的利益。本研究以董監事持股比率來替代股東個人稅率。在控制該變數對日報酬之影響後,實證結果顯示公司之股東個人邊際稅率與股票報酬有顯著的反向關係。在保留盈餘比率方面,本研究並無法從實證結果完全支持假說。 This study adopts the event study approach to examine the effects of integration of individual and corporate taxes (IICT) on the associations between firm's characteristics and stock returns. The three firm characteristics examined are individual stockholder's marginal tax rate, firm's effective tax rate, and firm's earnings retention rate. We hypothesize that, on IICT event days, firms' stock returns should be positively correlated with their effective tax rates and negatively correlated with their earnings retention rates and individual stockholder's marginal tax rate. After controlling for firm characteristics' effects on the stock returns, the empirical results indicate that: (1) firms with higher expected effective tax rates generally have higher stock returns, and (2) firms whose stockholders are subjected to higher individual marginal tax rates generally have smaller stock returns. Firms' earnings retention rates do not have significant effect on their stock returns.
