消費跨時替代效果與資產不完全替代對股價動態調整的影響－股利可扣抵稅額之宣告效果分析

The Impact of Intertemporal Substitution Effect of Consumption and Imperfect Asset Substitution with Respect to the Dynamic Adjustment of Stock Price under the Announcement Effect Analysis of Deductible Dividend Tax Ratio

10.30401/RSS.202112_15(2).0002

廖培賢(Peir-Shyan Liaw)；陳少卿(Shao-Qing Chen)

投資人股利可扣抵稅額比例 ； 消費跨時替代效果 ； 資產替代性 ； 宣告效果 ； intertemporal substitution effect of consumption ； the deductible dividend tax rate ； asset substitution degree ； announcement effect

社會科學論叢

15卷2期（2021 / 12 / 01）

53 - 104

繁體中文

本文我們以廖培賢（2015）考量「消費跨時替代效果」（intertemporal substitution effect of consumption）的產出固定、物價浮動以及股票與債券呈現不完全替代的股票市場宣告效果（announcement effect）封閉經濟體系模型為基礎，進而建構一個同時考量「消費跨時替代效果」以及股票與債券呈現不完全替代的封閉經濟體系模型，使用宣告效果的分析方法來進行：一旦經濟體系遭逢財政部實施投資人股利可扣抵稅額比例未來將會變動的政策宣告對相關總體經濟變數的動態調整型態將會有何種動態衝擊的討論，研究結果發現：一旦財政部進行投資人股利可扣抵稅額比例的政策宣告時，短期名目股價到底會呈現調整不及、調整過度、錯向跳動抑或錯向調整那種動態調整型態？其中（1）「流動性效果」與「股利效果」以及「籌碼效果」二者之和的相對大小、（2）消費跨時替代效果之相對強弱、（3）「流動性效果」與「所得效果」、「股利效果」以及「籌碼效果」三者之和的相對大小這三項決定因素占了舉足輕重的角色。

This paper innovates and develops a macroeconomic model in a closed economy based on the framework developed by Liaw (2015). In view of intertemporal substitution effect of consumption, full employment output and commodity price free adjustment, we use the announcement effect approach of rational expectation to investigate the dynamic impact of the deductible dividend tax rate with respect to the adjustment pattern of stock price. The major findings are if the policy authority executes the deductible dividend tax rate policy announcement, then (i) the relative magnitude of the liquidity effect and the sum of the chip effect and the dividend effect, (ii) the relative magnitude of the liquidity effect and the sum of the income effect, the chip effect and the dividend effect, (iii) the relative magnitude of the intertemporal substitution effect of consumption are the key determinants of the dynamic adjustment pattern of the stock price.

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