本研究之目的，旨在探討1996年至2002年間台灣《所得稅法》之修訂對於投資人在除權（除息日）股價行為之影響。台灣在1998年一月一日兩稅合一新制正式實施，而2000年一月一日則取消《促進產業升級條例》中有關盈餘配股得以緩課之規定，凡此種種稅法之改變，皆會影響投資人所負擔之稅負，進而影響其投資行為；而本研究之模型，係採用Elton and Gruber（1970）所發展有關除息日投資人股價行為之均衡模式決定股票「跌價/股利比」（Drop-off ratio），來探討臺灣1996年至今所歷經之稅制改革，是否對於投資人投資行為確有影響，並實證投資人之股價行為是否產生結構性之變化。而本研究之分析結果為，投資人在除權（息）日對於股利或資本利得兩種報酬形式之選擇，將因為稅制之變革而影響兩種報酬形式之相對價值，使投資人對兩者之偏好受影響，進而影響除權（息）日之股票「跌價/股利比」（Drop-off ratio）。
另外，不同於美國之租稅情況，臺灣地區對於資本利得不課稅。而本研究之預期為：台灣在兩稅合一實施之後，由於股現金股利之稅負較前降低，因此投資人在面對除息時，應該較兩稅合一以前偏好以現金股利方式實現其投資報酬。就股票股利取消緩課之規定而言，將因為投資人盈餘配股之稅負減少，進而使得投資人在除權日時，增加對於盈餘配股之偏好。而實證之結果，正如本研究之預期。除外，另發現盈餘配股之取消緩課，亦使得除息日時之Drop-off ratio較前上升，可能之原因為，盈餘配股及現金股利具有替代性，且取消緩課之期間正值大盤景氣不佳之時。
稅制之改革對於經濟之發展影響至鉅，而本研究之實證結果，將有助於了解稅法修改所造成之影響，並提供相關立法增修之回饋資訊。

The purpose of this study is to investigate whether the tax reform in Taiwan affect the pricing behavior on ex-dividend day in the Taiwan Stock Exchange. On January 1, 1998, the new integrated tax system in Taiwan was formally implemented. And on January 1, 2000, the newly amended Promoting Industries Upgrading Act of 2000 about delaying taxation on stock dividend income was rescinded. These tax reforms will affect investors’ tax burdens and their investing behaviors. Being different from foreign countries, Taiwan does not tax capital gains from stock trading. Besides, in Taiwan, stock dividend income distributed from retained earnings will be taxed.
This study will modify the model developed by Elton and Gruber（1970）to explore the tax reforms’ effect on the drop-off ratios, and to empirically test if such reforms make structural change on investors’ behavior. Our analyses shows that tax reform will change the relative value of dividend and capital gain, and it will lead investors to change their relative preference on dividend and capital gain.
Since the dividend income tax is lower than before the new integrated tax system was implemented in 1998, we expects that investors will prefer to realize their return in form of cash dividend, and since the delaying taxation on stock dividend income was rescinded, it will increase investors’ tax burdens. So, we also expect that investors will prefer to realize their return in form of capital gains. Our empirical results support our expectation.
Tax reform usually influence on economy development. This project is expected to provide evidence on economic effects from tax reform. The empirical results of this project will provide feedback information to legislators.

參考文獻

一、 中文部分
1. 王雪花，(民83)，股票股利與股價關聯性之研究，臺灣大學會計研究所碩士論文。
2. 李存修，（民80），「股票股利及現金增資之除權與股價行為 ﹣﹣理論與實證」，臺大管理論叢（第2卷第1期）：1-40
3. ﹍﹍﹍，（民83），「股票股利除權交易日之稅後超額報酬與比價心理假說之實證」，臺大管理論叢（第5卷第1期）：41-60
4. 林德威，(民90年)，兩稅合一制對台灣上市(櫃)股票除權除息行為影響之實證研究，台灣大學會計研究所碩士論文。
5. 林世銘、陳明進，（民90），「兩稅合一前後上市公司除權及除息日股價行為之探討」，管理學報（第18卷第3期）：477-501.
6. 黃士青，(民86)，除息日與除權日之股價行為與套利機會之研究，台灣大學會計研究所碩士論文。
7. 張鼎聲，(民91年)，兩稅合一後除權除息之租稅規避行為，台灣大學會計研究所碩士論文。
8. 陳明進、陳奕任，（民90年），「兩稅合一股東可扣抵稅額比率對股票除息及除權之影響」，財稅研究（第33卷第4期）：28-45
9. 陳怡文，(民79)，台灣地區上市股票填息現象之研究—租稅效應與顧客效應之實證，政治大學企業管理研究所碩士論文。
10. 陳昭銘，(民83)，除息(權)日前後股票市場之交易行為，政治大學企業管理研究所碩士論文。
11. 崔惠雯，(民89年)，兩稅合一前股票除權行為之研究，台灣大學會計研究所碩士論文。
12. 劉聰衡，謝麗珠，（民85年），「臺灣股市除權日前後風險與報酬之實證研究」，證券市場發展季刊（第8卷第1期）：89-108

二、 英文部分
1. Bali, R. and G. L. Hite (1998), “Ex dividend day stock price behavior: discreteness or tax-induced clienteles?” Journal of Financial Economics 47(2): 127-159.
2. Booth, L. and D. Johnston (1984), “The ex-dividend day behavior of Canadian stock prices: tax change and clientele effects,” Journal of Finance 39: 457-476.
3. Brown and Clarke (1993), “The ex-dividend day behavior of Australia share prices before and after dividend imputation,” Australia Journal of Management 18:1-40.
4. Brook, L. D. (1980), “Marginal Stockholders and Implied Tax Rates,” The Review of Economics and Statistics 62(4):616.
5. Compbell, J. and W. Beranek (1955), “Stock price behavior on ex-dividend dates,” Journal of Finance 10: 425-429.
6. Davidson, I.R. and C.A. Mallin (1989), “Ex-effects: an empirical reassessment of the clientele effect using UK data,” Accounting and Business Research 75: 227-236.
7. Elton, E and M. Gruber (1970), “Marginal stockholder tax rates and the clientele Effect,” Review of Economics and Statistics: 68-74.
8. Frank, M. and R. Jagannathan (1998), “Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes,” Journal of Financial Economics 47(2): 161-188.
8. Green, R. C. and K. Rydqvist (1999), “Ex-day behavior with dividend preference and limitations to short-term arbitrage: the case of Swedish lottery bonds,” Journal of Financial Economics 53(2): 145-187.
9. Kadapakkam, P. (2000), “Reduction of constraints on arbitrage trading and market efficiency：an examination of ex-day returns in Hong Kong after introduction of electronic settlement,” The Journal of Finance 55(6) :2841-2861.
10. Kalay, A. (1982), “The ex-dividend day behavior of stock prices: a re-examination of the clientele effect,” Journal of Finance 37(4): 1059-1070.
11. Lakonishok, J. and T. Vermaelen, 1983, “Tax reform and ex-dividend day behavior,” Journal of Finance 38(4), 1157-1179.
12. Lasfer, M. A. (1995), “Ex-day behavior: tax or short-term trading effects,” The Journal of Finance 50(3): 875-897.
13. Michaely, R. (1991), “Ex-dividend day stock price behavior：the case of the 1986 tax reform act,” Journal of Finance 47(2): 845-859.
14. Poterba, J. and L. Summers (1984) “New evidence that tax affect the valuation of dividends,” Journal of Finance 39(5): 1397-1415.
15. Walker and Partington (1999), “The value of dividends：evidence from cum-dividend trading in the ex-dividend period,” Accounting and Finance 39(3): 275-296.