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   報告摘要：

   本文研究了資本利得稅對盈余公告市場反應的影響。具體來說，我們研究了長短期資本利得稅差異如何影響盈余公告的市場反應和盈余反應系數。我們首先通過拓展Shackelford and Verrecchia (2002)(以下簡稱SV)模型來分析存在資本利得稅的前提下公開信息披露后影響股票價格和交易數量的經濟因素。接下來，我們對模型分析得到的假設進行了實證檢驗。我們發現：當長短期資本利得稅差異較大時，盈余公告的價格反應增大，數量反應減小。不過，這種價格反應和數量反應的差異在不同信息區域有所差異。只有當理性投資者因為稅收和信息的驅動而賣出股票時這種價格放大效應和數量壓縮效應才會存在。我們也發現有部分投資者因為長短期資本利得稅的差異而不會參與交易。這種流動性損失導致外生交易驅動的價格變動噪音加大。最后，我們通過模型推理和實證檢驗發現在長短期資本利得稅差異較大，股價被高估時，公告信息越積極，盈余反應系數越大。總而言之，我們的理論模型和實證結果證明長短期資本利得稅差異影響公司盈余公告的市場反應和盈余反應系數。

    報告人簡介：

     William J. Moser，美國邁阿密大學法默商學院會計系助理教授，亞利桑那大學會計學博士，曾在Journal of Accounting Research, Journal of Financial Quantitative Analysis, Review of Accounting Studies, Journal of the American Taxation Association等國際會計金融頂尖雜志發表多篇論文。主要研究領域包括股利稅、資本利得稅和企業避稅等。

Capital Gains Taxes and the Market Response to Earnings Announcements

Greg Clinch

University of Melbourne

Bradley P. Lindsey

North Carolina State University

William J. Moser

Miami University

Mahmoud Odat

Yarmouk University

Abstract

We investigate the effect of capital gains taxes (CGTs) on the market response to earnings announcements under alternative tax regimes. We explore how the differences between short-term capital gains tax rates and long-term capital gains tax rates affects price and volume reactions at firm earnings release dates as well as the earnings response coefficient (ERC). We first extend an extant theoretical model (Shackelford and Verrecchia (2002), hereafter SV) to identify the economic forces that influence equity prices and trading volume in the presence of CGTs when public information is disclosed. We then employ stock price and trading data to investigate and test empirical predictions derived from our model.  Our results indicate that price changes are magnified and volume inhibited during tax regimes in which the difference between short-term capital gains tax rates and long-term capital gains tax rates are larger.  However, the degree of magnification/inhibition for price reaction and trading volume differs across multiple well-defined regions of public signal and supply change realizations. Only in regions where rational taxable and information-motivated investors choose to sell shares at a gain are price changes magnified and trading volume suppressed, based on the difference between short-term and long-term capital gains tax rates.  We also find that it is possible for subsets of investors to choose not to trade due to the presence of a tax rate differential. The resultant loss of market liquidity causes an increase in the noise in the price change due to the presence of exogenous trade.  Finally, our model predicts and we find empirical evidence suggesting that the firm’s earnings response coefficient (ERC) increases in the presence of greater positive earnings surprises during tax regimes with higher tax rate differential for firms with appreciated stock price.  Overall, our theoretical model predicts and our results show that the tax rate differential between short-term and long-term capital gains tax rates affect firm prices, trading volume and earnings response coefficients after the release of actual quarterly earnings announcements.