美國存託憑證除息期間超額報酬率之影響因素分析

Determinants of ADR Excess Returns Around Ex-dividend Date

10.6735/JAFD.201001_3(1).0003

蔡璧徽(Bi-Huei Tsai)；洪釹茵(Nv-Ying Hong)

美國存託憑證 ； 超額報酬率 ； 稅 ； 除息 ； 交易成本 ； American Depositary Receipts ； Excess Returns ； Taxes ； Transaction Costs ； Ex-dividend

會計與財金研究

3卷1期（2010 / 01 / 01）

39 - 53

繁體中文

美國股票僅需要依據美國稅法課稅，美國股票投資人資格不同稅賦差異很大，然而，在美國存託憑證股利稅制度下，所有美國存託憑證投資大眾均需依據外國股利稅制課徵股利稅，美國存託憑證股利稅對所有投資人均同質一致，因此，美國存託憑證投資人交易行為應該趨於一致，為避免現金股利稅賦，美國存託憑證投資人會在除息日前出售美國存託憑證，並於除息日買回美國存託憑證，故美國存託憑證於除息日會產生增額報酬，本論文重點即是以實證方法證明課稅同質性高的美國存託憑證，除息日是否會產生增額報酬，由於不同的原發行國家會有不同的現金股利稅稅率，且不管是機構投資人或一般投資人稅率均一致，這種優良的特性，能使我們探討：股利稅賦較重的國家，是否除息日超額報酬較大；並進而探討影響除息日超額報酬的因素。本研究採用四十二個國家528家公司所發行的存託憑證6,461個現金除息日作測試。研究結果發現美國存託憑證除息日存在正的超額交易量，這代表投資人會於除息日前一天賣出美國存託憑證，並且於除息日當日買進美國存託憑證，使得除息日當天會有正的超額報酬出現。並且，本研究亦發現，原發行公司之股利殖利率、交易成本以及稅負成本與除息日之超額報酬呈顯著正相關，然而，本研究並無證實美國1993年股利所得稅率增加法案通過，存託憑證市場棄息效應會增強。

Under U.S. regulations, the differential tax obligations for investors with various status and income levels give rise to investor heterogeneity. In contradiction of dividend income tax imposed on U.S. stocks, foreign tax liability is the minimums of the taxation imposed on ADR dividend income. Identical foreign tax rates enable American depositary receipt (ADR) investors to be more homogenous in taxation than U.S. stock holders. ADR investors tend to sell ADRs cum-dividends and repurchase ADRs ex-dividend. Heavy foreign tax liability is likely to cause excess returns on ex-dividend days (ex-days). Therefore, this paper employs a sample of 6,461 cash dividend distributions for 528 firms from 42 different countries covering the period from 1988 to 2004. The results exhibit prominent excess returns precisely on ADR ex-dividend days. Since double taxation, i.e., a U.S. tax and a foreign withholding tax, is imposed on the ADR dividend income, the tax effect is apparent for ADRs on ex-dividend days. Besides, the results of the regressions indicate that abnormal returns on ex-dividend days are positively associated with foreign tax costs and transaction costs. In particular, our findings support the tax-induced trading activities on ex-dividend days for ADRs with higher dividend yields, since the foreign tax cost is mainly composed of dividend yields and foreign tax rates. In addition, because investors require trading returns to cover their transaction costs, the restrictions give rise to positive associations between transaction costs and abnormal returns on ex-dividend days.

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