税赋待遇、市净率与除息日价格异常现象

当代财经 ›› 2017, Vol. 0 ›› Issue (02): 312-.

税赋待遇、市净率与除息日价格异常现象

黄志典，曾澧尧

（台湾大学管理学院，台北 999079）

收稿日期:2016-09-08 发布日期:2021-01-21
作者简介:黄志典，台湾大学副教授，博士，主要从事金融市场、国际金融与宏观经济研究，通讯作者联系方式jdhwang@ntu.edu.tw；曾澧尧，台湾大学硕士，主要从事金融市场研究。

Tax Treatment, Price-to-Book Ratio, and Ex-Dividend Date Price Anomaly

HUANG Zhi-dian, ZENG Li-yao

(National Taiwan University, Taipei 999079, China)

Received:2016-09-08 Published:2021-01-21

摘要/Abstract

摘要： 探讨税赋待遇与市净率是否可以解释REIT及普通股除息后的价格行为十分必要。税赋待遇不同可能导致REIT与普通股在除息期间有不同的价格行为；另外，除息事件会使市净率改变，投资人可能因此而调整投资组合，进而影响REIT与普通股除息后的价格表现。研究发现，REIT和普通股除息后的价格行为确实与税赋待遇及市净率变化有关，这有助于扩展相关领域的研究视角，对拟定投资策略也具有参考价值。

关键词: 除息日价格异常现象,税赋待遇,市净率效应,不动产投资信托,拔靴法

Abstract: It is necessary to discuss whether tax treatment and price-to-book ratio can explain the ex-dividend price anomaly of REITs and common stocks. Differences in tax treatment may cause REITs and stocks to have different ex-dividend price behaviors. Moreover, ex-dividend events will change the price-to-book ratio, prompting investors to adjust their portfolio and affecting the prices of REITs and stocks after the ex-dividend date. This study finds that the ex-dividend price behaviors of REITs and stocks are indeed related to their tax treatment and the changes of price-to-book ratio, which is conductive to widening the research perspective of the related field and also providing valuable references for making investment strategies.

Key words: ex-dividend date price anomaly; tax treatment; price-to-book effect; REIT, bootstrap approach

黄志典，曾澧尧. 税赋待遇、市净率与除息日价格异常现象[J]. 当代财经, 2017, 0(02): 312-.

HUANG Zhi-dian, ZENG Li-yao. Tax Treatment, Price-to-Book Ratio, and Ex-Dividend Date Price Anomaly[J]. Contemporary Finance & Economics, 2017, 0(02): 312-.