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研究生： 劉依涵
Yi-Han,Liu
論文名稱： 美國不動產投資信託資產稅賦遞延交換對股票報酬和股利之影響
The Effect of Tax Deferred Exchange on Stock Return and Dividend in U.S. REITs Property Transaction
指導教授： 姜堯民
Yao-Min, Chiang
學位類別： 碩士
Master
系所名稱： 商學院 - 財務管理學系
Department of Finance
論文出版年： 2008
畢業學年度： 96
語文別： 英文
論文頁數： 82
中文關鍵詞： 稅賦遞延交換 、資產出售 、營運現金流量 、事件研究法 、樣本選擇偏誤模型 、Heckman 兩階段估計法 、Probit 模型 、不動產投資信託
外文關鍵詞： Tax Deferred Exchange, Sell-offs, Fund From Operation, Event Study, Sample Selection Bias Model, Heckman Two-stage Estimation, Probit Model, Real Estate Investment Trusts
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    • 本文以2003到2006年美國上市之不動產投資信託（REITs）的資產稅賦遞延交換做研究，並用資產出售交易作為比較，觀察稅賦遞延交換對股票報酬和股利的影響，研究結果發現稅賦遞延交換對於股票報酬有負的宣告效果，然而出售資產的交易有正的且顯著的宣告效果，由於美國REITs基於稅法規定，作為免稅體，每年要以股利的形式分配百分之九十的盈餘給股東，稅賦遞延交換並不能像資產出售交易一樣帶來現金流入，因此對於未來股東的股利所得有所影響，股東對於股票報酬沒有正向的反應，但是股東會考慮稅賦遞延交換會帶來資產重配置的效率，再加上REITs通常會支付比規定還要多的股利，因此稅賦遞延交換的對於股票報酬的負影響會因此而減弱，進一步針對交易方式還有REITs股利分配進行研究，研究的結果支持稅賦遞延交換後的股利比起直接出售交易後所發放的股利還要少。本文除了研究股東對於交易宣告的反應之外，也綜觀不同資產交易方式的現金流量和REITs股利的關連性，藉此瞭解影響REITs選擇交易方式的內涵因素，以及對股票報酬和股利的影響。

    This research examines the tax deferred exchanges made by public U.S. Real Estate Investment Trusts (REITs) over 2003-2006 as well as the transactions of sell-off. The purpose of this study attempts to explore the effects of tax deferred exchange on stock returns and dividend distribution. Result of this study shows that announcement effect of tax deferred exchange is negative in stock value. On the contrary, the relationship between sell-offs and stock value is significantly positive. The reason to explain the difference on announcement effect between two types of property transaction is the specific taxable earning distribution restriction on REITs. U.S REITs have to pay out 90 % of taxable earnings in the form of dividends to their shareholders to exempt from tax. As a result, tax deferred exchange doesn’t bring cash inflow contributing to dividend increase and then shareholders react a lower stock return on tax deferred exchange than on sell-offs. However, the negative effect is weakened by the efficiency of asset reallocation and the regular dividend distribution over tax law restriction. In the analysis of dividend payment, the result of dividend examination supports the hypothesis that tax deferred exchange without cash inflow make dividend fewer than sell-offs. This study may be of importance in explaining the reaction of shareholders on tax deferred exchange of REITs’ property, as well as in providing shareholders with a better understanding of the relationship between cash flow and dividend distribution in order to clarify the cause that affect REITs to utilize different types of transaction and the factors that affect stock return and dividend.

    CHAPTER 1 INTRODUCTION 1
    1.1 THE MOTIVATION AND PURPOSE OF THE STUDY 1
    1.2 CHAPTER OUTLINE 4
    CHAPTER 2 LITERATURE REVIEW 6
    2.1 REAL ESTATE INVESTMENT TRUST IN U.S. 6
    2.1.1 The organization of REIT 6
    2.1.2 The tax law of the REITs 7
    2.1.3 Tax deferred exchange in REITs 8
    2.2 THE TAX RESTRICTION AND EFFECT ON REITS 10
    2.3 THE DIVIDEND POLICIES ON REITS 12
    2.3.1 The relationship between stock return of transaction and dividend payment 12
    2.3.2 The influence of tax regulation of REITs on dividend policy. 12
    2.3.3 Information content and agency cost theory on the dividends of REITs 13
    CHAPTER 3 METHODOLOGY AND HYPOTHESES 16
    3.1 EVENT STUDY 16
    3.2 STATISTIC TEST OF ABNORMAL RETURN 19
    3.3 SAMPLE SELECTION BIAS MODEL 26
    3.4 MULTI-REGRESSION MODEL OF DIVIDEND 31
    3.5 RESEARCH HYPOTHESES 40
    3.5.1 Hypotheses on REITs property transaction announcement effects 40
    3.5.2 Hypotheses on the relationship between dividends and property transactions 41
    CHAPTER 4 SAMPLE SELECTION AND EMPIRICAL RESULTS 43
    4.1 SAMPLE SELECTION 43
    4.2 RESULT FROM EVENT STUDY 45
    4.2.1 Data description 52
    4.2.2 Empirical result of abnormal regression and sample selection bias model 57
    4.3 REGRESSIONS ANALYSIS OF DIVIDEND 63
    4.3.1 Regression data 63
    4.3.2 Empirical result from the property transaction announcements 67
    CHAPTER 5 CONCLUSION AND SUGGESTION 73
    5.1 CONCLUSION 73
    5.2 SUGGESTION 78
    REFERENCE 80

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