降税政策先发布后实施的市场反应差异研究——基于事件研究法和双重差分的时间错配检验

Differences in Market Responses Caused by Release and Implementation of Tax Reduction Policy——Time Mismatch Test Based on Event Study and DID

本文基于积极的财政政策背景,利用事件研究法和双重差分对2019年我国颁布的增值税降税政策进行研究。结果发现:降税政策发布引发的投资者正向反应强于政策实施;在发布日降税力度会削弱降税对企业价值的正向效应,在实施日则会增强;本文进一步对这一现象背后的机制进行探索,发现企业竞争能力越弱,发布日降税力度对企业价值正向效应的削弱越明显;企业竞争能力越强,实施日降税力度对企业价值正向效应的增强越明显。上述结果表明,增值税降税政策的利好会在企业间"流转",企业竞争能力越强,越能享有政策利好。研究试图揭示出"先发布,后实施"政策模式背后的资本市场的反应过程,为更好地制定税收政策提供经验积累。

Based on the active fiscal policy background,this paper uses event study and DID to study the value-added tax reduction policy issued in 2019.The study finds that the positive reaction of investors triggered by the release of tax reduction policy is stronger than the implementation of the policy.On the day of the policy release,the intensity of tax cut weakens the positive effect of the tax cut on corporate value,and on the day of the policy implementation,the intensity of tax cut increases the positive effect of tax cut on corporate value.This paper further explores the mechanism behind this phenomenon and finds that the weaker the corporate competitiveness,the implementation of policy weakens the positive effect of corporate value more obviously;the stronger the corporate competitiveness,the implementation of policy increases the positive effect of corporate value more obviously.The above research results show that the benefits of the value-added tax reduction policy‘circulates’ among companies.The stronger the competitiveness of companies,the more policy benefits they can get.This paper tries to reveal the operating process behind the value-added tax reduction policy of‘released first,then implemented’,so as to provide experience accumulation for better tax policy formulation.