| Summary: | 碩士 === 中國文化大學 === 會計研究所 === 88 === Investors’ real income of participating in ex-right or ex-dividend is affected by the dividend-paying company’s imputed tax credits after the enactment of the integration income tax system. Therefore, in addition to the net dividend amount, investors should take the amount of imputed tax credits into consideration in deciding whether to participate in ex-right and ex-dividend. The objective of this thesis is to study the stock market reactions in the days immediately before the ex-right or ex-dividend day in 1999--the first dividend-paying year after the enforcement of the integration tax system.
The empirical result are as follows: First, there were negative abnormal returns in the two to three days before the ex-right and ex-dividend day, resulting from the phe-nomenon of investors’ forfeiting dividends. Second, in general, there is no significant positive relation between imputed tax credits and stocks’ abnormal returns. The fail-ure of finding a significant relation between imputed tax credits and abnormal returns may be due to that investors are not fully recognize the value of imputed tax credits in the first dividend-paying year after the enforcement of the integration tax system, or that investors can not get the information of companies’ imputed tax credit from the market in a convenient way. Therefore, we suggest that companies should disclose their in-come tax credits in a more convenient and efficient reporting system.
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