| 摘要Abstract | 民國 81 年 9 月間，行政院「平均地權條例」修正草案審查會議通過當時財政部長王建 的提案，擬改按實際成交價格課徵土地增值稅。此一提案立即成為當時廣受爭議的事件，最後王 建以政策無法實施而辭職。本文對此一土地租稅政策的變動進行事件研究(event study)，探討 該事件對上市公司股價異常報酬之影響。研究結果發現：(1)在民國 81 年 9 月，當行政院院會通 過「土地交易按實際價格課徵土地增值稅」草案時，負債比率較高的上市公司，其股票異常報酬 率低於負債比率低的上市公司；而且，在此一事件期間內，賣空負債比率較高之上市公司股票， 可獲得正的異常報酬率。(2)在民國 81 年 10 月，當土地交易按實價課稅政策不能實施，王建 部長因此請辭時，土地佔資產比率較高的上市公司，其股票累積異常報酬率高於土地佔資產總額 比率低的上市公司；而且，在此期間內，買空土地佔資產比率較高之上市公司股票，可獲得正的 異常報酬率。因此本文之研究結果顯示，在土地增值稅政策變動的事件日，投資人可以利用財務 報表資訊研擬適當的投資策略，以獲得超額利潤。In Taiwan, the tax base of land value increment tax is based on the government-announced value, which is far below the actual market value and is restated only once a year. In September 1992, the cabinet of Executive Yuan, however, passed a proposal (a draft amendment to the Statute for the Equalization of Land Rights), initiated by the then-Minister of Finance, to raise the tax base of the incremental value from the government-announced value to the market value. The proposal immediately became a hotly debated issue and was strongly criticized by the National Federation of Commerce. In October 1992, under great political pressure, the Executive Yuan withdrew this disputed proposal, with the then-Minister of Finance stepping down. The proposed change from the government-announced value system to the market value system was predicted to have negative impacts on companies with high debt ratios and high land-to-total assets ratios. Further, the negative impacts were predicted to be reversed when the proposal was withdrawn from the Executive Yuan. This study examines the stock market reactions to this proposed change in the land value increment tax policy. The results of this study are as follows: (1) In September 1992, when the Executive Yuan passed the proposal to raise the tax base of land value increment tax, companies with high leverage experienced significant negative stock returns. Further, during this event period, investors may obtain significant positive stock returns by holding a short position selling stocks of companies with high debt ratios. (2) In October 1992, when the then-Minister of Finance stepped down, suggesting that the market value-based land tax policy could not be effected, companies with high land-to-total assets ratios experienced significant positive stock returns. Further, during this event period, investors may obtain significant positive stock returns by holding a long position buying stocks of companies with high ratios of land to total assets. The findings of this study suggest that investors may use financial statement information to devise stock trading strategies to obtain excess returns in responding to changes in the land value increment tax policy. |