我國過去之所得稅制乃是採營利事業所得稅與個人所得稅並行之制度，此種對股利所得的重複課稅，扭曲了企業籌措財源的方式，使得公司傾向於以舉債的方式籌措資金，並扭曲了企業盈餘分配之決策、造成稅法之複雜性及稅務行政的複雜化。在經過政府及相關部門多年來之努力，我國於民國八十七年一月一日起正式實施兩稅合一新制。本文之目的即在藉由探討兩稅合一之各相關事件日股票異常報酬之變化，以觀察台灣股票市場對新稅制的反應，實證結果可供未來修正或訂定類似政策參考。 為探究兩稅合一之各相關事件日股票異常報酬變化之產生原因，本研究檢定公司有效稅率、盈餘保留率及股東個人邊際稅率是否足以解釋各相關事件日之股票異常報酬。實證結果顯示，公司有效稅率確會影響各相關事件日之股票異常報酬，且與本研究所預期之方向相同，為正相關，顯示市場也認為在兩稅合一之下，預期有效稅率愈高的公司，其因為兩稅合一所得到的利益也會愈大。但在盈餘保留率及股東個人邊際效率方面，卻無法獲得滿意的實證結果，其可能原因有二：第一，歷史資料可能無法有效替代預期之保留盈餘比率。第二，董監持股比率可能無法有效作為股東個人邊際稅率之替代變數。 / The major deficiency of Taiwan's past tax system was that the business income was taxed twice: once at the corporate level and once at the individual level. This system significantly distorts companies' financing strategies, and companies tend to get the needed fund by issuing bonds. Besides, it also distorts the way companies allocate their earnings and causes taxes and tax-related administrations to be very complicated. However, after great efforts made by the Department of Treasury since 1996, the new tax system-"Integrating individual and corporate taxes" became effective from the beginning of 1998. The main purpose of this thesis is to examine the market reactions to the new system by studying the variations of the abcdrmal returns of stock prices at event days related to this new tax system. The empirical results could be used for amendments or the making of similar policies in the future. To study reasons that variations of abcdrmal returns of stock prices at the event days of this new tax system exist, this study tests weather Corporate Tax Rate, Retention Rate of Earnings and Individual Tax Rate can explain the abcdrmal returns of stock prices at the related event days. Empirical results show that Corporate Tax Rate affects the abcdrmal returns of stock prices at the related event days, and the direction is the same as expected, which is positive-correlated. The result shows that "the market" also thinks under the new tax system, the higher the expected Corporate Tax Rate, the higher the benefit from the new tax system will be. However, for the Retention Rate of Earnings and the Individual Tax Rate, the results are unsatisfactory. Two reasons are possible: first, historical data probably cannot represent the expected Retention Rate of Earnings. Second, the ratio that stocks held by members of board of directors is not a good proxy for the Individual Tax Rate effectively.

財政部證管會為促進國內證券市場國際化及自由化並便利國內企業至國外 籌募資金，於民國八十一年四月十五日公佈實施「上市發行公司參與發行 海外存託憑證審核要點」，以鼓勵我國證券發行人或持有人發行海外存託 憑證(GDR)。迄今已有中鋼、亞泥、統一、嘉泥、東雲與台揚等上市公司 完成發行，而大眾電腦與信益陶瓷也通過證管會的審核，正在等待時機發 行。除此之外，更有其他的上市公司，如：東鋼、燁隆、華榮電線電纜及 和成等公司，也搶搭海外存託憑證的發行列車。既然GDR已繼海外可轉換 公司債而成為國內上市公司海外籌資的重要金融工具，因此有必要對GDR 的本質做個通盤性的瞭解。除了探討GDR發行後的折溢價情形外，由於GDR 是在海外市場交易且以美元計價，故GDR對國內重大事件的價格行為反應 以及新台幣匯率的變動對GDR報酬率的影響為何，亦是本研究的重點。根 據資料蒐集的可行性，本研究以中鋼、亞泥、統一及嘉泥等四家公司為樣 本，以簡單迴歸及事件研究法來進行實證研究，得到以下的發現： 1：海 外存託憑證的價格總是處在不均衡的狀態，若可進行套利，則海外存託憑 證與其表彰股票的價值終將相等，而達到均衡。但對於台灣上市公司所發 行的海外存託憑證而言，由於法令的限制，使得海外存託憑證的溢價期間 比折價的期間還要長。 2：新台幣的匯率效果對於海外存託憑證的報酬率 有影響。 3：台灣發行之海外存託憑證其價格行為反應與表彰股票的反應 有異。之所以會有上述的發現，本研究認為除了法令的限制外，國內上市 公司所發行GDR的歷史不算長，故海外投資人對台灣之GDR還很陌生。此外 ，區隔的金融市場造成資訊傳遞上的障礙以及海外投資人對資訊重視的程 度與國內投資人有別，亦為可能的解釋。

隨著企業往全球化發展，產業環境也不斷的變遷，跨國購併已成為企業追求快速成長的手段之一，而近幾年新興國家的快速發展也使得開發中國家的企業逆向購併已開發國家企業的現象愈見普遍，因此，此議題特別值得加以關注，本研究欲針對中國和台灣的企業，探討在其在跨國購併上，是否能為公司股東創造價值。 本研究以2003年1月1日至2010年12月31日間，中國和台灣製造業之上市公司所從事的跨國購併交易案做為樣本，利用事件研究法及GARCH(1,1)的模型，對公司的股票報酬率進行衡量，檢測是否有顯著的異常報酬產生，並影響股東價值。 研究結果顯示，即使在購併宣告日之前，平均異常報酬率有顯著的正面效果，但在宣告日之後，卻轉而有顯著的負面效果，此一正一負正好抵消了購併預期應帶來的好處，因此當開發中國家的企業進行跨國購併時，對主併企業的股東價值並無顯著的正面影響。

<p>Marknadens reaktion när ett företag informerar och annonserar om en eventuell nyemission sägs vara oförutsägbar. Enligt tidigare forskning pressas aktiekursen i de flesta fallen nedåt vid en nyemission. Under det senaste året har en del nyemissioner utförts i synnerhet på grund av den globala lågkonjunkturen då många företag haft för lite kapitalbas. Vad gäller företag på Stockholmsbörsen som valt att nyemittera aktier har även här de flesta fått se sin aktiekurs rasa.<strong><em></em></strong></p><p>Författarna till denna uppsats avser att studera hur marknaden reagerar på ett offentligt tillkännagivande av en kommande nyemission. Det undersöks även om det förefaller någon skillnad mellan tillkännagivanden av nyemissioner genomförda innan eller under lågkonjunkturen och skillnader branscher emellan.<strong><em></em></strong></p><p>Då vi ville se hur denna händelse påverkar ett företags aktiekurser valde vi att göra en eventstudie. En eventstudie ger oss möjligheten att mäta effekten av en specifik händelse. Datainsamlingen har endast bestått av sekundärdata som vetenskapliga artiklar, litteratur, tidigare forskning samt elektroniska databaser så som Avanza och OMX. Vi valde att ta med alla de företag som under tidsperioden 2005-01-01 till 2009-04-01 annonserat om en nyemission och som i dagsläget fortfarande är noterade på OMX, Stockholmsbörsen.<strong><em></em></strong></p><p>I studien ingick 21 tillkännagivanden varav hela 13 stycken, ca 62 % av dem, resulterade i en negativ kursreaktion och avkastning. Fyra av åtta tillkännagivanden om nyemission som offentliggjordes innan lågkonjunkturen uppvisade en nedåtgående kursreaktion på annonseringsdagen och därmed en negativ abnormal avkastning. Denna trend fortsätter att hålla i sig då även nio av 13 tillkännagivanden under lågkonjunkturen, visade på en negativ abnormal avkastning.</p><p> </p><p> </p><p> </p> / <p>The market reaction when a company provides information about a possible equity issue is said to be unpredictable. According to previous research the stock price, in most cases, is pushed downward in case of an equity issue. Over the past year some equity issues has been implemented particular because of the global recession. This because many companies experience too small funds. As for companies on the Stockholm Stock Exchange that have chosen to do an equity issue most of them had also experienced a decline in the stock price.<strong><em></em></strong></p><p>The authors of this essay intend to study how the market reacts to a public announcement of an upcoming equity issue. They would also like to know if there is any differences between the announcements of an equity issue that's been done before or during the recession and if there is any differences between industries.<strong><em></em></strong></p><p>Thus we wanted to see how equity issues affect a company's stock price, we have chosen to do an event study. An event study enables us to measure the effect of a specific event. The data that we been using has only consisted of secondary data as scientific articles, literature, previous research and electronic databases such as Avanza and OMX. For our study we have chosen to include all of the companies that during the period 2005-01-01 to 2009-04-01 announced about an upcoming equity issue and are still listed at the OMX, on the Stockholm Stock Exchange.<strong><em></em></strong></p><p>The study included 21 public notices of which entirely 13 of them, about 62 %, resulted in a negative rate reaction and return. Four of the eight notices about an equity issue, which was announced before the recession, resulted in a declining rate reaction on the day of the announcement and also had a negative abnormal return. This trend continues thus nine of 13 notices, which announced an equity issue during the recession, also showed a negative abnormal return.</p><p> </p><p> </p><p> </p>

Marknadens reaktion när ett företag informerar och annonserar om en eventuell nyemission sägs vara oförutsägbar. Enligt tidigare forskning pressas aktiekursen i de flesta fallen nedåt vid en nyemission. Under det senaste året har en del nyemissioner utförts i synnerhet på grund av den globala lågkonjunkturen då många företag haft för lite kapitalbas. Vad gäller företag på Stockholmsbörsen som valt att nyemittera aktier har även här de flesta fått se sin aktiekurs rasa. Författarna till denna uppsats avser att studera hur marknaden reagerar på ett offentligt tillkännagivande av en kommande nyemission. Det undersöks även om det förefaller någon skillnad mellan tillkännagivanden av nyemissioner genomförda innan eller under lågkonjunkturen och skillnader branscher emellan. Då vi ville se hur denna händelse påverkar ett företags aktiekurser valde vi att göra en eventstudie. En eventstudie ger oss möjligheten att mäta effekten av en specifik händelse. Datainsamlingen har endast bestått av sekundärdata som vetenskapliga artiklar, litteratur, tidigare forskning samt elektroniska databaser så som Avanza och OMX. Vi valde att ta med alla de företag som under tidsperioden 2005-01-01 till 2009-04-01 annonserat om en nyemission och som i dagsläget fortfarande är noterade på OMX, Stockholmsbörsen. I studien ingick 21 tillkännagivanden varav hela 13 stycken, ca 62 % av dem, resulterade i en negativ kursreaktion och avkastning. Fyra av åtta tillkännagivanden om nyemission som offentliggjordes innan lågkonjunkturen uppvisade en nedåtgående kursreaktion på annonseringsdagen och därmed en negativ abnormal avkastning. Denna trend fortsätter att hålla i sig då även nio av 13 tillkännagivanden under lågkonjunkturen, visade på en negativ abnormal avkastning. / The market reaction when a company provides information about a possible equity issue is said to be unpredictable. According to previous research the stock price, in most cases, is pushed downward in case of an equity issue. Over the past year some equity issues has been implemented particular because of the global recession. This because many companies experience too small funds. As for companies on the Stockholm Stock Exchange that have chosen to do an equity issue most of them had also experienced a decline in the stock price. The authors of this essay intend to study how the market reacts to a public announcement of an upcoming equity issue. They would also like to know if there is any differences between the announcements of an equity issue that's been done before or during the recession and if there is any differences between industries. Thus we wanted to see how equity issues affect a company's stock price, we have chosen to do an event study. An event study enables us to measure the effect of a specific event. The data that we been using has only consisted of secondary data as scientific articles, literature, previous research and electronic databases such as Avanza and OMX. For our study we have chosen to include all of the companies that during the period 2005-01-01 to 2009-04-01 announced about an upcoming equity issue and are still listed at the OMX, on the Stockholm Stock Exchange. The study included 21 public notices of which entirely 13 of them, about 62 %, resulted in a negative rate reaction and return. Four of the eight notices about an equity issue, which was announced before the recession, resulted in a declining rate reaction on the day of the announcement and also had a negative abnormal return. This trend continues thus nine of 13 notices, which announced an equity issue during the recession, also showed a negative abnormal return.

Sverige genomförde vid årsskiftet 2012/2013 ytterligare en sänkning av bolagsskatten. Denna gång från 26,3 till 22 procent. Målet med sänkningen var att hamna under EU’s genomsnittliga bolagsskattenivå vilket skulle minska företags incitament till att fly Sverige för lågskatteländer. Samtidigt ville regeringen minska företagens skuldsättningsgrad. I teorin sjunker värdet på skatteskölden vid en bolagsskattesänkning och därmed också värdet på företagen. Från företagens och ägarnas perspektiv innebär sänkt skatt högre nettovinst och således en högre utdelning. Hur reagerar marknaden? Ett försök att besvara frågan görs genom att gruppera företagen efter skuldsättningsgrad och undersöka vad som händer med aktierna under den dag nyheten om bolagsskattesänkningen publiceras. Detta undersöks genom en eventstudie vilken avgränsas till Norden och andra marknader med liknande finansiellt system samt liknande lagstiftning. Till grund för undersökningen ligger aktier representerade på Stockholm OMX Large Cap. Studien finner en signifikant positivt reaktion sett till hela marknaden när nyheten om bolagsskattesänkningen blir offentlig. Vid indelning efter skuldsättningsgrad visar företagen med lägst skuldsättning den högsta positiva reaktionen, medan företagen med högst skuldsättning visar en negativ reaktion, dock inte signifikant. / At the end of 2012 Sweden implemented a further reduction in corporation tax, this time from 26.3 to 22 percent. The goal of the reduction was to reach a lower corporate tax level then the EU’s average. This would reduce the company’s incentive to flee Sweden for low-tax countries. At the same time, the Swedish Government wanted to reduce the debt ratio. In theory, the value of the tax shield is lowered and hence the value of the companies. From corporate and shareholder perspective this reduced tax means higher net income and thus a higher dividend. How does the market react? An attempt to answer this question is made by splitting the companies by leverage and examine what happened to the shares on the day the news of the company tax cut was published. This is examined through an event study, which is bounded to the Nordic countries and to other markets with similar financial systems and similar legislation. The study is based on shares represented at the Stockholm OMX Large Cap. The study finds a significant positive reaction over the entire market when the news about the corporate tax becomes public. On account of the debt-equity ratio, the firms with the lowest leverage show the highest positive response, while the companies with the highest debt show a negative reaction, however not a significant one.

I denna uppsats undersöks om världshändelser skapar abnorma effekter hos oljebolags aktiekurser och om dessa effekter ter sig olika beroende på företagens olika storlek. Undersökningen utförs med hjälp av en eventstudie som genomförs på sex oljebolag med tre världshändelser som utgångspunkt. De valda världshändelserna bestod av två naturkatastrofer och en större ekonomisk händelse. Företagen som valdes delades in i två grupper om tre företag, där ena gruppen innehöll de större företagen och den andra gruppen de mindre. Slutsatserna som har kunnat dras av undersökningen är att händelserna i två av de tre undersökta fallen orsakade signifikanta abnorma under- eller överavkastningar hos oljebolagens aktier vilket bevisar en viss ineffektivitet hos marknaden. Det generella utfallet var att den ekonomiska händelsen visade sig ha en större påverkan på aktiekurserna än de två naturkatastroferna hade. Samtidigt kunde det påvisas en större skillnad mellan de större och de mindre företagens aktiekursers reaktioner gällande den ekonomiska händelsen. Resultaten visade att de mindre företagen drabbades hårdare. / This essay examines whether world events create abnormal effects of oil companies stock prices and whether these effects appear different depending on the companies’ different sizes. The analysis is performed using an event study conducted in six oil companies with three world events as a starting point. The selected world events consisted of two natural disasters and a greater economic event. The companies selected were divided into two groups of three companies, in which one group contained the larger companies and the second group the smaller ones. The conclusion that has been drawn from the study is that the events in two of the three cases studied caused significant abnormal deficit or excess returns of oil companies’ shares, which proves certain inefficiency of the market. The general outcome was that the economic event turned out to have a greater impact on the firms’ stock prices than the two natural disasters had. It was possible to distinguish a significant difference between the stock prices reactions of the larger and smaller firms regarding the economic event. The result showed that the smaller companies were affected to a larger extent.

Objective: Our purpose with this study is to demonstrate the impact of natural disasters on banks' share prices. Method: Quantitative survey method, an event study. Conclusion: There is no association or a very weak correlation in this study between natural disasters and the Swedish banks' share prices.

<p>Background:</p><p>Recent business paper articles observe that stocks soar when there is a change in ownership. The clothing company JC climbed 26% when it was announced Torsten Jansson had increased his holdings. Daydream, a computer game developer, followed this trend increasing its market value by 17% on the news that TA Capital had increased its hold-ings. In these examples, the market learned of the changes in ownership through a press release created by the acquiring entity. These pieces of news, also known as ownership disclosures, is the target of this thesis.</p><p>Purpose:</p><p>The purpose of this thesis is to investigate whether ownership disclosures result in abnormal stock price changes. Furthermore, the aim is to find out if there are any differ-ences in returns depending on who announced the ownership disclosure. In order to fulfil this purpose, a quantitative approach was used.</p><p>Method:</p><p>A random sample of 160 ownership disclosures is gathered. 77 of these are classified as passive- and 83 as active investors. For each of these pieces of news, 183 days of historical stock price data is retrieved. This data is then parsed through the market model event-study framework.</p><p>Findings:</p><p>Graphically analyzing the whole sample indicates that the market is not efficient in its strong form. The same is true when dividing the sample into passive- and active investors. Statistically, an abnormal return is confirmed for the active investors, but not for the whole sample or the passive investors.</p><p>Conclusion:</p><p>By looking at the price change effects of ownership disclosures, the Stockholm Stock Exchange O-list is determined to be efficient at the semi-strong level. The anomaly caused by active investors leads to the possibility of making a profit of 2.70% between day -1 and day +1 relative to the day of the ownership disclosure being sent out. It should be noted, though, that transaction costs and taxes are not taken into consideration.</p>

本研究主要探討兩項關於融券交易的議題。首先，本研究發現巨量融券與續後的股價反應呈現顯著的負相關。再者，進一步探究盈餘宣告前的融券信用交易是否與非盈餘宣告的時間存有差異。本研究是採用在台灣證券交易所上市之股票並觀察其盈餘宣告前五日之融券交易行為。實證結果發現盈餘宣告前的融券與盈餘宣告後的股價反應存在負向關係，顯示可能有私有資訊的交易者在盈餘宣告前進行融券交易。接下來本研究進一步使用基本財務比率中的帳面價值對市價比將樣本區分成價值型與成長型之股票，發現擁有較低比率之公司較受融券交易者之青睞。本研究希望研究成果能對證券市場主管機關在制訂法律與提供更即時、更廣泛的信用交易資訊揭露給投資大眾參考。 / This research examines two issues of short-selling transactions.First,we find a strong negative relationship between short interest and subsequent abnormal returns.The second is whether short-selling in the days leading up to an announcement differs from short-selling in times when no announcement is imminent.We examine short-selling behavior of investors in the five days prior to the earnings announcements of Taiwan Stock Exchange (TSE)listed firms.The tests provide evidence that there might exist informed trading in pre-announcement short-selling because they reveal that abnormal short-selling is significantly linked to post-announcement stock returns.A high level of unusual pre-announcement short-selling is an indicator of future stock returns at earnings announcement.Also,the tests indicate that short-sellers typically are more active in stocks with low book-to-market ratio valuation.We believe that these results should encourage financial market regulators to consider providing more extensive and timely disclosures of short-selling to investors.