本文以兩稅合一通過日之價格反應，來測試股利稅是否資本化於股價之中。由於兩稅合一產生稅額扣抵，使得股東股利稅負下降。而台灣獨特的個人股東資料，使得本文不僅能夠確認出邊際投資人之身分，亦可決定其稅負狀況。本文預期且發現：(1)公司之股利殖利率和其兩稅合一通過日之股價反應呈正向關係，(2)決定價格反應之邊際投資人為個人股東，(3)其稅負狀況影響股利和股價反應間之正向關係。本文進一步發現邊際投資人之稅率級距最有可能落在(0%-6%)及(30%-40%)兩個級距。由於本文能夠避免先前研究使用機構投資人來代理稅負狀況之問題，因此本文的貢獻在於提供直接且更進一步的證據，來證明傳統觀點之股利稅資本化，以及邊際投資人之存在與否。

We examine the price reactions to the enactment of the integrated tax system in Taiwan to test whether dividend taxes are capitalized into share prices. Under the integrated tax system, shareholders receive a tax credit from dividend income received, and thus dividend tax burdens decrease. The unique dataset in Taiwan provides individual-shareholder-level shareholding information, and this allows us to directly determine not only the identity of the marginal investor but also their tax status. We expect and find that (1) a firm’s dividend yield is positively related to share price reactions to the enactment of the integrated tax system, (2) the marginal investors that determine the price reactions are individual shareholders, and (3) their tax statuses affect the positive association between price reactions and dividend yields. We further find that the effective tax rates of the marginal investors probably fall within the lowest and highest tax brackets, (0%-6%) and (30%-40%), respectively. Avoiding problems of the usage of the institutional shareholdings to represent the tax status of investors, as suggested by Guenther and Sansing (2010), our study contributes to provide direct and further evidence to support the traditional view of dividend taxes capitalization and to verify the existence of the marginal investor.

Auerbach, A. (1979). Share valuation and corporate equity policy. Journal of Public Economics 11: 291-305.
Auerbach, A., K. Hassett (2007). The 2003 dividend tax cut and the value of the firm: an event study. In: Auerbach, A., Hines, J., Slemrod, J., (Eds.) Taxing Corporate Income
in the 21st Century. Cambridge University Press, New York.
Auerbach, A. J., and M. A. King (1983). Taxation, Portfolio Choice, and Debt–Equity Ratios:A General Equilibrium Model. Quarterly Journal of Economics 98: 587–609.
Ayers, B., C. Cloyd, and J. Robinson (2002). The effect of shareholder-level dividend taxes on stock prices: evidence from the revenue reconciliation act of 1993. The Accounting Review 77 (October): 933–947.
Bali, R., and G.. Hite (1998). Ex-dividend day stock price behavior: discreteness or tax-induced clienteles? Journal of Financial Economics 47:127-159.
Bartholdy, J. and K. Brown (2001). Testing for multiple types of marginal investor in ex-day pricing. Working paper
Bell, L., and T. Jenkinson (2002). New evidence on the impact of dividend taxation and on the identity of the marginal investor. Journal of Finance 57: 1321-1346.
Black, F., and M. Scholes (1974). The effects of dividend yield and dividend policy on common stock prices and returns. Journal of Financial Economics 1: 1-22.
Bond, S. R., M. P. Devereux, and A. Klemm (2007). The effects of dividend taxes on equity prices: A re-examination of the 1997 UK tax reform. Oxford University Centre for Business Taxation Working Paper 0701.
Bradford, D. E. (1981). The incidence and allocation effects of a tax on corporate distributions. Journal of Public Economics 15:1-22.
Brennan, M. (1970). Taxes, market valuation, and corporate financial policy. National Tax Journal 23: 417–427.
Casey, K., D. Anderson, H. Mesak, and R. Dickens (1999). Examining the impact of the 1986 Tax Reform Act on corporate dividend policy: A new methodology. Financial Review 34: 33–46.
Chalmers, J. (1998). Default risk cannot explain the muni puzzle: evidence from municipal bonds that are secured by U.S. treasury obligations. Review of Financial Studies 11: 281-308.
Chen, N., B. Grundy, and R. Stambaugh (1990). Changing risk, changing risk premiums, and dividend yield effects. Journal of Business 63: 51–70.
Chetty, R., Rosenberg, J., and Saez, E. (2007). The effects of taxes on market responses to dividend announcements and payments: What can we learn from the 2003 dividend tax cut? In: Auerbach, A., Hines, J., Slemrod, J., (Eds.). Taxing Corporate Income in the 21st Century. Cambridge University Press, New York.
Collins, J., and D. Kemsley (2000). Capital gains taxes and dividend taxes in firm valuation: Evidence of triple taxation. The Accounting Review 75 (October): 405-427.
Del Guercio, D. (1996). The distorting effect of the prudent man law on institutional equity
investments. Journal of Financial Economics 40: 31-62.
Desai, M., and D. Dharmapala (2009). Dividend taxes and international portfolio choice. Review of Economics and Statistics, Forthcoming.
Dhaliwal, D., O. Li, and R. Trezevant. (2003a). Is a dividend tax penalty incorporated into common stock return? Journal of Accounting and Economics 35:155-178.
Dhaliwal, D., M. Erickson, M. Frank, and M. Banyi (2003b). Are shareholder dividend taxes on corporate retained earnings impounded in equity prices? Additional evidence and analysis. Journal of Accounting and Economics 35: 179–200.
Dhaliwal, D., M. Erickson, and R. Trezevant (1999). A test of the theory of tax clienteles for dividend policies. National Tax Journal 52: 179-194.
Dhaliwal, D., L. Krull, O. Li, and W. Moser (2004). Dividend taxes and implied cost of equity capital. Journal of Accounting Research 43: 675-708
Dhaliwal, D., L. Krull, O. Li (2007). Did the 2003 Tax Act reduce the cost of equity capital? Journal of Accounting and Economics 43: 121-150.
Elton, E., and M. Gruber (1970). Marginal stockholder tax rates and the clientele effect, Review of Economics and Statistics 52: 68-74.
Elton, E., M. Gruber, and J. Rentzler (1983). A simple examination of the empirical relationship between dividend yields and deviations from the CAPM. Journal of Banking and Finance 7: 135–146.
Erickson, M., and E. Maydew. (1998). Implicit taxes in high dividend yield stocks. The Accounting Review 73 (October): 435-458.
Fama, E., and K. French (1998). Taxes, financing decisions, and firm value. Journal of Finance 53: 819–843.
Francis, J. C., T. C. Wu, and N. T. Kuo (2010). Effects of Tax Reform on Drop-Off Ratios on the Ex-Dividend and Ex-Right Prices. Review of Quantitative Finance and Accounting (forthcoming)
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: 161-188.
Gompers, P., and A. Metrick (2001). Institutional investors and equity prices. Quarterly Journal of Economics 116: 229-259.
Gordon, R., and D. Bradford (1980). Taxation and the stock market valuation of capital gains and dividends. Journal of Public Economics 14: 109–136
Graham J. R. (2003). Taxes and corporate finance: a review. Review of financial studies 16: 1075-1129.
Green, R. C. (1993). A simple model of the taxable and tax-exempt yield curves. Review of Financial Studies 6: 233-264.
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: 145-187.
Guenther, D., and R. Sansing (2006). Fundamentals of shareholder tax capitalization. Journal
of Accounting and Economics 42: 371-384.
Guenther, D., and R. Sansing (2010). The effect of tax-exempt investors and risk on stock ownership and expected returns. The Accounting Review 85: 849-875.
Hanlon, M., and S. Heitzman (2010). A Review of Tax Research. Working paper. Massachusetts Institute of Technology.
Hanlon, M., J. Myers, and T. Shevlin (2003). Dividend taxes and firm valuation: a re-examination. Journal of Accounting and Economics 35: 119-153.
Harris, T., and D. Kemsley (1999). Dividend taxation in firm valuation: new evidence. Journal of Accounting Research 37 (2): 275–291.
Harris, T., R. Hubbard., and D. Kemsley (2001). The share price effects of dividend taxes and tax imputation credits. Journal of Public Economics 79: 569–596.
Kalay, A. (1982). The ex-dividend day behavior of stock prices: a re-examination of the clientele effect. Journal of Finance 37: 1059-1070.
King, M. (1977). Public policy and the corporation. Chapman and Hall, London.
Lasfer, M. A. (1995). Ex-day behavior: tax or short-term trading effects. Journal of Finance 50: 875-897.
Lang, M., and D. A. Shackelford. (2000). Capitalization of capital gains taxes: evidence from stock price reactions to the 1997 rate reduction. Journal of Public Economics 76 (April): 69 - 85.
Lee, Y. T., Y. J. Liu, R. Roll, and A. Subrahmanyam (2006). Taxes and dividends clientele: evidence from trading and ownership structure. Journal of Banking and Finance 30: 229-246.
Li, O., and D. Weber (2009). Taxes and ex-day returns: Evidence from REITs. National Tax Journal 62: 657-676.
Litzenberger, R. H. and K. Ramaswamy (1979) “”The Effects of Personal taxes and Dividends on Capital Asset Prices: Theory and Empirical Evidence” Journal of Financial Economics 7: 163-195.
Liztenberger, R. H., and K. Ramaswamy (1982). The effects of dividends on common stocks prices: tax effects or information effects. Journal of Finance 37: 429-443.
Maydew, E. (2001). Empirical tax research in accounting: A discussion. Journal of Accounting and Economics 31: 389-403.
Michaely, R., and J. Vila (1995). Investors' heterogeneity, and volume around the ex-dividend day. Journal of Financial and Quantitative Analysis 30: 171-198.
Miller, M., and Modigliani, F. (1961). Dividend policy, growth, and the valuation of shares Journal of Business 34: 411-433.
Miller, M. (1977). Debt and taxes. Journal of Finance 32: 213-233.
Miller, M., and M. Scholes (1978). Dividends and taxes. Journal of Financial Economics 6: 333–364.
Miller, M., and M. Scholes (1982). Dividends and taxes: some empirical evidence. Journal of Public Economy 90: 1118-1141.
Naranjo, A., M. Nimelendran, and M. Ryngaert (1998). Stock returns, dividend yields, and taxes. Journal of Finance 53: 2029–2057.
Ohlson, J. (1995). Earnings, book values and dividends in security valuation. Contemporary Accounting Research 11: 661-687.
Poterba, J., and L. Summers (1984). New evidence that taxes affect the valuation of dividends. Journal of Finance 39: 1397-1415.
Poterba, J. (1989). Lifetime incidence and the distributional burden of excise taxes. American Economic Review 79: 325-330.
Scholes, M., and M. Wolfson (1992). Taxes and business strategy: a planning approach. Prentice-Hall, Inc., Engelwood Cliffs, NJ.
Shackelford, D. (1991). The market for tax benefits: evidence from leveraged ESOPs. Journal of Accounting and Economics 14: 117–145.
Shackelford, D., and T. Shevlin (2001). Empirical tax research in accounting. Journal of Accounting and Economics 31 (September): 321-387.
Sialm, C. (2009). Tax changes and asset prices. American Economic Review 99: 1356-1383
White, H. (1980). A heteroscedasticity-consistent covariance matrix estimator and a direct test for heteroscedasticity. Econometrica 48: 817–838.
Yu, H.C., W.C. Chi, and C. Y. Hsu (2003). The nature of corporate income taxes under a full imputation tax regime: a test of functional fixation. Journal of Business Finance and Accounting 30: 589-619.