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題名 以重複事件分析法分析現金增資
Recurrent event analysis of seasoned equity offerings作者 劉佩芸
Liu, Pei Yun貢獻者 謝淑貞
Shieh, Shwu Jane
劉佩芸
Liu, Pei Yun關鍵詞 重複事件
現金增資
資本結構
recurrent event
SEOs
capital structure日期 2008 上傳時間 9-May-2016 11:26:21 (UTC+8) 摘要 在公司財務的領域中，探討公司資本結構決策主要有三個主流理論：靜態抵換理論、融資順位理論以及折時理論。本篇文章採用重複事件分析法，首先沿用Baker and Wurgler (2002)中提及之五個因素做為自變數，研究影響公司辦理現金增資危險函數之因子研究，研究結果顯示，公司現金增資之危險函數與財務槓桿成正向關係，此項證據傾向支持融資順位理論，然而本篇論文研究結果，並無顯著證據支持折時理論。本篇論文接著建立另一組變素設定，將價格趨勢納入模型中，取代原來在Baker and Wurgler(2002)中觀察折時現象之因子，結果顯示折時現象是顯著的。因此，本篇論文研究結果並未對是否支持折時理論下定論，值得思考的是，欲觀察公司是否存在折時現象，除了Baker and Wurgler(2002)中提及之變數之外，直接將價格趨勢納入模型或許是另一個可行之道。
In the field of traditional corporate financing theories, there are three mainstream theories leading the way while talking about the firms’ financing decisions: static trade-off theory, pecking order theory, and market timing theory. In this paper, we apply the recurrent event analysis and follow the independent variables appearing in the Baker and Wurgler (2002) first to examine the factors that affect firms’ hazard rate to offer seasoned equity. The results indicate that higher leverage is in positive relation with the hazard rate of firms’ seasoned equity offering, meaning that firms’ financing decisions follow the pecking order theory to some degree. However, while the recurrent event analysis is adopted, the market timing effect becomes insignificant when considering the independent variables appearing in the Baker and Wurgler(2002). As a result, we proceed to establish another set of covariates in which the price trend factor is involved to examine the market timing effect. While the price trend factor is substituted for the market-to-book ratio to represent the market timing effect, the market timing effect turns out to be significant. Thus, we consider that using the price trend of the market directly may be a suitable way to examine the market timing effect.參考文獻 Reference Andersen et al., 1993. Statistical models based on counting process. Nework: Springer-Verlag. Axelson, Ulf, Per Strömberg, and Michael S. Weisbach, 2006. Why are buyouts leveraged? The financial structure of private equity firms. Working paper. University of Illinois and Swedish Institute for Financial Research. Baker, Malcolm and Jeffrey Wurgler, 2000. The equity share in new issues and aggregate stock returns. Journal of Finance 55, 2219-2257. Baker, Malcolm and Jeffrey Wurgler, 2002. Market timing and capital structure. Journal of Finance57, 1-32. Bayless, Mark, and Susan Chaplinsky, 1996. Is there a window of opportunity for seasoned equity issuance? Journal of Finance 51, 253-278. Choe, Hyuk, Ronald Masulis, and Vik Nanda, 1993. Common stock offerings across the business cycle: Theory and evidence. Journal of Empirical Finance 1, 1-31. Cox, D., 1972a., Regression models and life tables( with discussion), J. Roy. Statist. Soc. 34, 187-220. Cox, D., 1975. Partial Likelihood. Biometrika 62, 269-276. DeAngelo, Harry, and Ronald Masulis, 1980. Optimal capital structure under corporate and personal taxation. Journal of Financial Economics 8, 3-29. Edsel A. Peña et al., 2006. Semiparametric inference for a general class of models for recurrent events. Journal of Statistical Planning and Inference 137, 1727-1747. Fama, Eugene F., and Merton H. Miller, 1972. The Theory of Finance (Holt, Rinehart and Winston, New York). Fama, Eugene F., and Kenneth R. French, 2000. Testing tradoff and pecking order predictions about dividends and debt. Working paper. University of Chicago. Greene, W., 2003. Econometric Analysis, 6th ed., Prentice Hall, Upper Saddle River. Greenwood, R., 2005. Aggregate corporate liquidity and stock returns. Working paper. Harvard Business School. Harris, Milton, and Arthur Raviv, 1991. The theory of capital structure. Journal of Finance 39, 127-145. Henderson, Brian J , Narasimhan Jegadeesh and Michael S. Weisbach, 2006. World markets for raising new capital. Journal of Financial Economics 82, 63-101. Jensen, Michael C., 1986. Agency costs of free-cash-flow, corporate finance, and takeovers. American Economic Review 76, 323-329. Korajczyk, Robert, Deborah Lucas, and Robert McDonald, 1991. The effects of information releases on the pricing and timing of equity issues. Review of Financial Economics 42, 159-185. Korajczyk, Robert, Deborah Lucas, and Robert McDonald, 1992. Equity issues with time-varying asymmetric information. Journal of Financial & Quantitative Analysis 27, 397-417. L. J. Wei, D. Y. Lin, 1989. Regression analysis of multivariate incomplete failure time data by modeling marginal distributions. Journal of American Statistic Association 84, 1065-1073. La Porta, Rafael, 1996. Expectations and the cross section of stock returns. Journal of Finance 51, 1715-1742. La Porta, Rafael, and Josef Lakonishok, Andrei Shleifer, and Robert Vishny, 1997. Good news for value stocks: Further evidence on market efficiency. Journal of finance 52, 859-874. Lin DY, Wei LJ. The robust inference for the Cox proportional hazards model. J. Am. Stat. Assoc. 84, 1074-1078. Loughran ,Tim and Jay Ritter, 1995. The new issues puzzle. Journal of Finance 50, 23-51. Loughran ,Tim and Jay Ritter, 1997. The operating performance of firms conducting seasoned equity offerings. Journal of Finance 52, 1823-1850. Lucas, Deborah, and Robert MacDonald, 1990. Equity issues and stock price dynamics. Journal of Finance 45, 1019-1043. Modigliani, Franco, and Merton H. Miller, 1958. The cost of capital, corporation finance, and the theory of investment. American Economic Review 48, 655-699. Modigliani, Franco, and Merton H. Miller, 1963. Corporate income taxes and the cost of capital: A correction. American Economic Review 53, 433-443. Myers, Stewart C., 1977. Determinants of corporate borrowing. Journal of Financial Economics 5, 147-175. Myers, Stewart C., 1984. The capital structure puzzle. Journal of Finance 39, 575-592. Myers, Stewart C., and Nicholas S. Majluf, 1984. Corporate financing and investment decisions when firms have information that investors do not have. Journal of Financial Economics 13. 187-221. Peña E, Strawderman R, Hollander M., 2004. Nonparametric estimation with recurrent event data. Journal of American Association 96, 1299-1315. Prentice RL, Williams BJ, Peterson AV.,1981. On the regression analysis of multivariate failure time data. Biometrika 68, 373–379. Rajan, Raghuram G., and Luigi Zingales, 1995. What do we know about capital structure? Some evidence from international data. Journal of Finance 50, 1421-1460. Shleifer, Andrie, 2000. Inefficient Markets: An introduction to Behavioral Finance. (Oxford University Press, Oxford). Wang M and Chang S, 1999. Nonparametric estimation of a recurrent survival function. Journal of American Statistic Association 94, 146-153 描述 碩士
國立政治大學
國際經營與貿易學系
95351030資料來源 http://thesis.lib.nccu.edu.tw/record/#G0095351030 資料類型 thesis dc.contributor.advisor 謝淑貞 zh_TW dc.contributor.advisor Shieh, Shwu Jane en_US dc.contributor.author (Authors) 劉佩芸 zh_TW dc.contributor.author (Authors) Liu, Pei Yun en_US dc.creator (作者) 劉佩芸 zh_TW dc.creator (作者) Liu, Pei Yun en_US dc.date (日期) 2008 en_US dc.date.accessioned 9-May-2016 11:26:21 (UTC+8) - dc.date.available 9-May-2016 11:26:21 (UTC+8) - dc.date.issued (上傳時間) 9-May-2016 11:26:21 (UTC+8) - dc.identifier (Other Identifiers) G0095351030 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/94660 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 95351030 zh_TW dc.description.abstract (摘要) 在公司財務的領域中，探討公司資本結構決策主要有三個主流理論：靜態抵換理論、融資順位理論以及折時理論。本篇文章採用重複事件分析法，首先沿用Baker and Wurgler (2002)中提及之五個因素做為自變數，研究影響公司辦理現金增資危險函數之因子研究，研究結果顯示，公司現金增資之危險函數與財務槓桿成正向關係，此項證據傾向支持融資順位理論，然而本篇論文研究結果，並無顯著證據支持折時理論。本篇論文接著建立另一組變素設定，將價格趨勢納入模型中，取代原來在Baker and Wurgler(2002)中觀察折時現象之因子，結果顯示折時現象是顯著的。因此，本篇論文研究結果並未對是否支持折時理論下定論，值得思考的是，欲觀察公司是否存在折時現象，除了Baker and Wurgler(2002)中提及之變數之外，直接將價格趨勢納入模型或許是另一個可行之道。 zh_TW dc.description.abstract (摘要) In the field of traditional corporate financing theories, there are three mainstream theories leading the way while talking about the firms’ financing decisions: static trade-off theory, pecking order theory, and market timing theory. In this paper, we apply the recurrent event analysis and follow the independent variables appearing in the Baker and Wurgler (2002) first to examine the factors that affect firms’ hazard rate to offer seasoned equity. The results indicate that higher leverage is in positive relation with the hazard rate of firms’ seasoned equity offering, meaning that firms’ financing decisions follow the pecking order theory to some degree. However, while the recurrent event analysis is adopted, the market timing effect becomes insignificant when considering the independent variables appearing in the Baker and Wurgler(2002). As a result, we proceed to establish another set of covariates in which the price trend factor is involved to examine the market timing effect. While the price trend factor is substituted for the market-to-book ratio to represent the market timing effect, the market timing effect turns out to be significant. Thus, we consider that using the price trend of the market directly may be a suitable way to examine the market timing effect. en_US dc.description.tableofcontents Index 1.Introduction........................................... 4 2.Methodology ........................................... 8 2.1 Stratified Cox Model with Robustness Variance........ 8 2.2 Frailty Effects ..................................... 10 2.3 A General Class of Model............................. 11 3. Market Timing and Capital Structure .................. 16 4. Empirical Results..................................... 19 5.Conclusion .............................................35 6.Reference ..............................................36 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0095351030 en_US dc.subject (關鍵詞) 重複事件 zh_TW dc.subject (關鍵詞) 現金增資 zh_TW dc.subject (關鍵詞) 資本結構 zh_TW dc.subject (關鍵詞) recurrent event en_US dc.subject (關鍵詞) SEOs en_US dc.subject (關鍵詞) capital structure en_US dc.title (題名) 以重複事件分析法分析現金增資 zh_TW dc.title (題名) Recurrent event analysis of seasoned equity offerings en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Reference Andersen et al., 1993. Statistical models based on counting process. Nework: Springer-Verlag. Axelson, Ulf, Per Strömberg, and Michael S. Weisbach, 2006. Why are buyouts leveraged? The financial structure of private equity firms. Working paper. University of Illinois and Swedish Institute for Financial Research. Baker, Malcolm and Jeffrey Wurgler, 2000. The equity share in new issues and aggregate stock returns. Journal of Finance 55, 2219-2257. Baker, Malcolm and Jeffrey Wurgler, 2002. Market timing and capital structure. Journal of Finance57, 1-32. Bayless, Mark, and Susan Chaplinsky, 1996. Is there a window of opportunity for seasoned equity issuance? Journal of Finance 51, 253-278. Choe, Hyuk, Ronald Masulis, and Vik Nanda, 1993. Common stock offerings across the business cycle: Theory and evidence. Journal of Empirical Finance 1, 1-31. Cox, D., 1972a., Regression models and life tables( with discussion), J. Roy. Statist. Soc. 34, 187-220. Cox, D., 1975. Partial Likelihood. Biometrika 62, 269-276. DeAngelo, Harry, and Ronald Masulis, 1980. Optimal capital structure under corporate and personal taxation. Journal of Financial Economics 8, 3-29. Edsel A. Peña et al., 2006. Semiparametric inference for a general class of models for recurrent events. Journal of Statistical Planning and Inference 137, 1727-1747. Fama, Eugene F., and Merton H. Miller, 1972. The Theory of Finance (Holt, Rinehart and Winston, New York). Fama, Eugene F., and Kenneth R. French, 2000. Testing tradoff and pecking order predictions about dividends and debt. Working paper. University of Chicago. Greene, W., 2003. Econometric Analysis, 6th ed., Prentice Hall, Upper Saddle River. Greenwood, R., 2005. Aggregate corporate liquidity and stock returns. Working paper. Harvard Business School. Harris, Milton, and Arthur Raviv, 1991. The theory of capital structure. Journal of Finance 39, 127-145. Henderson, Brian J , Narasimhan Jegadeesh and Michael S. Weisbach, 2006. World markets for raising new capital. Journal of Financial Economics 82, 63-101. Jensen, Michael C., 1986. Agency costs of free-cash-flow, corporate finance, and takeovers. American Economic Review 76, 323-329. Korajczyk, Robert, Deborah Lucas, and Robert McDonald, 1991. The effects of information releases on the pricing and timing of equity issues. Review of Financial Economics 42, 159-185. Korajczyk, Robert, Deborah Lucas, and Robert McDonald, 1992. Equity issues with time-varying asymmetric information. Journal of Financial & Quantitative Analysis 27, 397-417. L. J. Wei, D. Y. Lin, 1989. Regression analysis of multivariate incomplete failure time data by modeling marginal distributions. Journal of American Statistic Association 84, 1065-1073. La Porta, Rafael, 1996. Expectations and the cross section of stock returns. Journal of Finance 51, 1715-1742. La Porta, Rafael, and Josef Lakonishok, Andrei Shleifer, and Robert Vishny, 1997. Good news for value stocks: Further evidence on market efficiency. Journal of finance 52, 859-874. Lin DY, Wei LJ. The robust inference for the Cox proportional hazards model. J. Am. Stat. Assoc. 84, 1074-1078. Loughran ,Tim and Jay Ritter, 1995. The new issues puzzle. Journal of Finance 50, 23-51. Loughran ,Tim and Jay Ritter, 1997. The operating performance of firms conducting seasoned equity offerings. Journal of Finance 52, 1823-1850. Lucas, Deborah, and Robert MacDonald, 1990. Equity issues and stock price dynamics. Journal of Finance 45, 1019-1043. Modigliani, Franco, and Merton H. Miller, 1958. The cost of capital, corporation finance, and the theory of investment. American Economic Review 48, 655-699. Modigliani, Franco, and Merton H. Miller, 1963. Corporate income taxes and the cost of capital: A correction. American Economic Review 53, 433-443. Myers, Stewart C., 1977. Determinants of corporate borrowing. Journal of Financial Economics 5, 147-175. Myers, Stewart C., 1984. The capital structure puzzle. Journal of Finance 39, 575-592. Myers, Stewart C., and Nicholas S. Majluf, 1984. Corporate financing and investment decisions when firms have information that investors do not have. Journal of Financial Economics 13. 187-221. Peña E, Strawderman R, Hollander M., 2004. Nonparametric estimation with recurrent event data. Journal of American Association 96, 1299-1315. Prentice RL, Williams BJ, Peterson AV.,1981. On the regression analysis of multivariate failure time data. Biometrika 68, 373–379. Rajan, Raghuram G., and Luigi Zingales, 1995. What do we know about capital structure? Some evidence from international data. Journal of Finance 50, 1421-1460. Shleifer, Andrie, 2000. Inefficient Markets: An introduction to Behavioral Finance. (Oxford University Press, Oxford). Wang M and Chang S, 1999. Nonparametric estimation of a recurrent survival function. Journal of American Statistic Association 94, 146-153 zh_TW
