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| Title: | 整體企業租稅規避與權益資金成本
Aggregate corporate tax avoidance and cost of equity capital |
| Authors: | 周柏宇
Chou, Po Yu |
| Contributors: | 何怡澄
周柏宇
Chou, Po Yu |
| Keywords: | 整體租稅規避
權益資金成本
風險分攤
金融外部性
Aggregate corporate tax avoidance
Cost of equity capital
Risk sharing
Pecuniary externality |
| Date: | 2017 |
| Issue Date: | 2017-07-24 12:01:40 (UTC+8) |
| Abstract: | 資金成本是投資者選擇標的所面對的機會成本及預期報酬率 (expected rate of return)，不同投資計畫有不同的預期現金流量與風險程度，對應不同的預期報酬率。本文按Sikes and Verrecchia (2016) 實證方式，檢視臺灣經濟體全體企業之整體租稅規避 (aggregate corporate tax avoidance) 產生之金融外部性對企業權益資金成本的影響。本文採用臺灣1996-2015年企業資料，驗證市場全體企業進行整體租稅規避的程度愈高，市場的稅後現金流量變異增加導致共變異風險上升，進而抬高資本市場整體的權益資金成本。
本文進一步以現金有效稅率中位數，依企業租稅規避程度分為高低兩組迴歸，僅發現在低租稅規避程度企業迴歸，其整體租稅規避指標與權益資金成本呈顯著正相關，意即低租稅規避程度企業，受到市場現金流量變異增大之影響，權益資金成本連帶提高，但此一外部性並未影響高度租稅規避企業；然而高度租稅規避企業，其個體租稅規避指標與權益資金成本呈顯著正相關，表示租稅規避較為激進的企業伴隨之租稅風險衍生的成本高於租稅節省利益，因此權益資金成本上升。本文的實證數據顯示台灣資本市場，存在因租稅規避衍生的金融外部性 (pecuniary externality)，此金融外部性也會顯著提高低度租稅規避企業的資金成本。另外，將企業是否有海外關係企業作分組，發現金融外部性來自海外關係企業採用降低邊際稅率方式進行租稅規避，削弱與稅制將企業風險分攤給政府的效果，更突顯金融外部性的效果。最後，由於公司現金流量與市場現金流量共變異增加，會提高權益資金成本，對此，本文進一步分析發現，當公司現金流量變異高於市場現金流量變異時，整體租稅規避衍生的金融外部性對企業的影響更高。
This paper aims to examine a new pecuniary externality caused by aggregate corporate tax avoidance in Taiwan’s capital market. According to Sikes and Verrecchia (2016), as more firms take aggressive tax avoidance strategies, cost of equity capital for all firms in the market may increase. When firms utilize lower tax rate methods to reduce tax, they may expand the range of after-tax cash flow. Due to the increasing variance of after-tax cash flow, the covariance risk may enhance and therefore cost of equity capital increases.
Our analysis expolits data from TEJ database. The sample period starts from 1996 to 2015. We adopt the methogology introduced by Hou et al.(2012) to forecast earnings and apply another four estimations of implied cost of capital to measure our cost of equity capital. Besides, this study uses the sum of annual cash taxes paid scaled by annual pretax income (cash ETR) to proxy the degree of tax avoidance.
The results show positive correlation between aggregate tax avoidance and implied cost of capital does exist, and it further verifies the existence of pecuniary externality. Furthermore, by dividing the sample into two groups by median of cash ETR, the results indicate that firms with higher level of tax avoidance may increase the net implied cost of capital, while those of lower level may have an ambiguous effect on implied cost of capital. |
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| Description: | 碩士
國立政治大學
財政學系
104255002 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G1042550022 |
| Data Type: | thesis |
| Appears in Collections: | [財政學系] 學位論文
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