行政院國家科學委員會補助專題研究計畫成果報告

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1 行政院國家科學委員會補助專題研究計畫成果報告 1997 年兩稅合一改革對系統風險之影響 Impact of 1997 Taiwan tax reform on systematic risk 計畫類別 : 個別型計畫計畫編號 :NSC H 執行期間 :89 年 8 月 1 日至 90 年 7 月 31 日 計畫主持人 : 劉啟群 執行單位 : 國立臺灣大學會計系 中華民國 90 年 10 月 1 日 1

2 一 中文摘要本研究目的係分析臺灣 1997 年稅率調降對銀行系統風險之影響, 理論上, 所得稅稅率越高銀行系統風險越低, 相反的, 臺灣 1997 年所得稅稅率調降, 將導致銀行系統風險之提高. 實證結果與理論之預測相符, 1998 年後臺灣銀行系統風險顯著提高. 關鍵詞 : 系統風險 Abstract The prpose of this stdy is to examine how 1997 Taiwan Tax Reform can be employed to evalate change of firm systematic risk. It has been shown in prior literatre that firm risk depends on a combination of many firm characteristics sch as prodction technology, prodct market, and sorces of fnds. We show that the tax rate change in 1997, both in theory and empirical reslts, leads to higher systematic risk in Taiwan banking indstry. Keywords: systematic risk 二 Motivation and Empirical Reslts The prpose of this stdy is to examine how 1997 Taiwan Tax Reform can be employed to evalate firm systematic risk. It has been shown in prior literatre that firm risk depends on a combination of many firm characteristics sch as prodction technology, prodct market, and sorces of fnds. In other words, the sorces of firm risk can be traced to intrinsic bsiness risk, operating risk and financing risk. Intrinsic risk reflects ncertainty abot the changes in prodct demand (nit sales price and qantity sold), and prodction factor prices and inpt efficiency. Operating risk is inflenced by firm prodction technology, i.e., how a firm prodces its prodcts. For example, capital-intensive firms tend to tilize more fixed inpt sch as heavy eqipment than labor-intensive firms. Financing risk is related to the leverage throgh borrowings. Hence, financial statements containing information abot asset and capital strctres will exhibit the differences in firm prodction technology and the relative sorces of fnds. A considerable amont of theoretical research decomposes systematic risk (beta) into its corporate determinants. The composition of a company s capital and asset strctres has significant implications for sers of acconting information. Financial leverage and operating leverage are the net reslts of a company s capital and asset investment decisions, and are important variables in isses concerning the risk of a firm. Hamada(1969) and Hamada(1972) developed a model relating market beta before and after debt financing nder the assmption that the validity of CAPM and the proposition of Modigliani and Miller hold, and firms can borrow freely at risk-free rates. Hamada(1969,1972) resolve the risk into two components an intrinsic operating risk and financial risk. His reslts show that D = 1+ E Where D is market vale of total debts; E denotes market vale of total eqity; denotes the beta with no debt financing. The risk of a firm will increase linearly with the debt-eqity ratio. The systematic risk of a levered firm consists of two components: (a) a financial leverage component, and (b) an operating component. Yagill (1982), Arditti, Levy & Sarnat (1977), Brennan(1970), Farrar and Lelwyn(1967), and Stiglitz(1973) investigate the effect of a corporate tax sbsidy to debt 2

3 on the risk of a firm, and the derived relation is as follows: ( 1 T )( 1 Te ) ( 1 T ) E D = 1 + d Where T is the corporate tax rate, and Te and Td are the marginal tax rates applicable to holders of the firm s eqity and debt secrities respectively. Bierman and Oldfield (1979) and Conine (1980) extend Hamada s risk relation to the risky debt valation. Financial risk can frther be decomposed into the following relation: = + ( ) ( 1 T )( 1 T ) ( ) e D debt 1 Td E strctre to explain and predict market betas. It is shown that both changes in financial strctre and systematic operating risk are significant determinants of period-to-period changes in market betas. Amit and Livnat(1988) examines the effect of diversification on the operating risk and financial risk of a firm. It docments that firms redce their operating risk by diversification and increase financial leverage to take advantage of tax benefits. Beaver, Kettler, and Scholes(1970) investigates the association between market determined and acconting determined risk measres, spports the contention that acconting measres of risk are imponded in the market-price based risk measre. From prior literatre, it shows theoretically that lower corporate income tax rate (T) will increase the systematic risk. where debt is the beta risk of debt secrity. Operating risk is examined in Rbinstein(1973), Gahlon and Gentry (1982), and Mandelker and Rhee (1984). Operating risk consists of intrinsic bsiness risk of a firm withot financial and operating leverage, and risk reflecting the degree of operating leverage, which is defined as the percentage change in earnings that is associated with a given percentage change in the nits prodced and sold. The market model is sed to measre the systematic risk. In capital asset pricing model, market beta risk is the risk associated with the systematic, or ndiversifiable risk component, measred by the beta of Sharpe s market model. t = b0 + b1 I + biot + ε I is a dmmy variable, 1 after 1997, 0 otherwise. O stands for all the other acconting and non-acconting information relevant for evalating bank systematic risk. The empirical reslts spport or prediction that Lev (1974) investigates the relationship between operating leverage and risk, and shows that two variables are positively correlated analytically and empirically. Montgomery and Singh(1984) addresses the relationship between diversification strategy and systematic risk, and find that betas for nrelated diversifiers are significantly higher than those of other firms. Hill and Stone(1980) stdies the se of acconting betas and acconting measres of financial the corporate income tax rate change in 1997 leads to higher systematic risk in Taiwan banking indstry. 三 Referemces American Institte of Certified Pblic Accontants, The Jenkins Report, Improving Bsiness Reporting A Cstomer Focs. Amit, Raphael, and Josha Livnat diversification, Capital Strctre, and Systematic Risk: An Empirical Investigation. 3

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