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題名 現金增資的市場擇時研究
The Research of Market Timing on Seasoned Equity Offerings
作者 陳雨竹
Chen, Yu-Zhu
貢獻者 盧敬植
Lu, Ching-Chih
陳雨竹
Chen, Yu-Zhu
關鍵詞 市場擇時理論
現金流訊息
折現率訊息
變異數分解
現金增資宣告
Market timing theory
Cash flow news
Discount rate news
Variance decomposition
SEO announcement
日期 2023
上傳時間 6-Jul-2023 17:01:40 (UTC+8)
摘要 本研究以1990年至2021年台灣上市櫃公司為樣本，使用Campbell (1991)的未預期報酬分解模型，將Vuolteenaho (2002)對於股票未預期報酬分解成現金流訊息和折現率訊息，探討在現金增資背景下公司的擇時能力以及折現率訊息是否能作為公司系統性風險變化的代理變數，也想要藉此研究折現率訊息是否可以成為市場擇時代理指標，本研究發現在宣告現金增資當年的折現率預期達到最低而後升高，並且透過羅吉斯回歸模型也證實了折現率訊息和宣告現金增資這一行為間存在顯著負向關聯。進一步將折現率訊息分為正面訊息與負面訊息兩組，實證結果得出負面的折現率訊息與正面的折現率訊息對宣告現金增資機率的影響是不同的。
This research uses the data of Taiwan listed and over-the-counter companies from 1990 to 2021. By adopting Campbell (1991) unexpected stock return decomposition model, I apply the method introduced by Vuolteenaho (2002) to my sample, which decomposes unexpected stock returns into cash flow news and discount rate news. On this basis, the research investigates the market timing ability of companies under SEO and whether discount rate news can serve as a proxy for changes in systematic risk. Additionally, the research investigates whether discount rate news can be used as a market timing indicator. The research finds that the discount rate expectations reach its minimum and subsequently increases during the year of SEO announcement. Furthermore, the logistic regression model provides empirical evidence of a significant negative association between discount rate news and SEO announcement. Moreover, by differentiating the discount rate news into positive and negative news, the empirical results indicate that the impact of negative discount rate news on the likelihood of SEO announcement differs from that of positive discount rate news.
參考文獻 Baker, M., & Wurgler, J. (2002). Market timing and capital structure. The Journal of Finance, 57(1), 1-32.
     Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3-18.
     Bayless, M., & Chaplinsky, S. (1996). Is there a window of opportunity for seasoned equity issuance? The Journal of Finance, 51(1), 253-278.
     Butler, A. W., & Wan, H. (2010). Stock market liquidity and the long-run stock performance of debt issuers. The Review of Financial Studies, 23(11), 3966-3995.
     Campbell, J. Y. (1991). A variance decomposition for stock returns. The Economic Journal, 101(405), 157-179.
     Campbell, J. Y., & Shiller, R. J. (1988). The dividend-price ratio and expectations of future dividends and discount factors. The Review of Financial Studies, 1(3), 195-228.
     Chen, L., & Zhao, X. (2006). On the relation between the market-to-book ratio, growth opportunity, and leverage ratio. Finance Research Letters, 3(4), 253-266.
     Cho, H., & Choi, S. (2015). what drives credit rating changes? A return decomposition approach. Asia‐Pacific Journal of Financial Studies, 44(6), 899-931.
     DeAngelo, H., DeAngelo, L., & Stulz, R. M. (2010). Seasoned equity offerings, market timing, and the corporate lifecycle. Journal of Financial Economics, 95(3), 275-295.
     Fama, E. F. (1990). Stock returns, expected returns, and real activity. The Journal of Finance, 45(4), 1089-1108.
     Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. The Journal of Finance, 47(2), 427-465.
     Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636.
     Hovakimian, A. (2006). Are observed capital structures determined by equity market timing? Journal of Financial and Quantitative Analysis, 41(1), 221-243.
     Jensen, M. C., Black, F., & Scholes, M. S. (1972). The capital asset pricing model: Some empirical tests.
     Jo, H., & Kim, Y. (2007). Disclosure frequency and earnings management. Journal of Financial Economics, 84(2), 561-590.
     Keim, D. B. (1983). Size-related anomalies and stock return seasonality: Further empirical evidence. Journal of Financial Economics, 12(1), 13-32.
     Lin, J.-C., & Wu, Y. (2013). SEO timing and liquidity risk. Journal of Corporate Finance, 19, 95-118.
     Lintner, J. (1965). Security prices, risk, and maximal gains from diversification. The Journal of Finance, 20(4), 587-615.
     Loughran, T., & Ritter, J. R. (1995). The new issues puzzle. The Journal of Finance, 50(1), 23-51.
     Loughran, T., & Ritter, J. R. (1997). The operating performance of firms conducting seasoned equity offerings. The Journal of Finance, 52(5), 1823-1850.
     Myers, S. C. (1984). Capital structure puzzle. In: National Bureau of economic research Cambridge, Mass., USA.
     Rangan, S. (1998). Earnings management and the performance of seasoned equity offerings. Journal of Financial Economics, 50(1), 101-122.
     Shao, J., & Rao, J. (1993). Jackknife inference for heteroscedastic linear regression models. Canadian Journal of Statistics, 21(4), 377-395.
     Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442.
     Stattman, D. (1980). Book values and stock returns. The Chicago MBA: A Journal of Selected Papers, 4(1), 25-45.
     Stein, J. C. (1996). Rational capital budgeting in an irrational world. In: National bureau of economic research Cambridge, Mass., USA.
     Vuolteenaho, T. (2002). What drives firm-level stock returns? Journal of Finance, 57(1), 233-264.
     Zaremba, A. (2020). Small-minus-big predicts betting-against-beta: Implications for international equity allocation and market timing. Investment Analysts Journal, 49(4), 322-341.
描述 碩士
國立政治大學
財務管理學系
110357039
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110357039
資料類型 thesis
dc.contributor.advisor 盧敬植zh_TW
dc.contributor.advisor Lu, Ching-Chihen_US
dc.contributor.author (Authors) 陳雨竹zh_TW
dc.contributor.author (Authors) Chen, Yu-Zhuen_US
dc.creator (作者) 陳雨竹zh_TW
dc.creator (作者) Chen, Yu-Zhuen_US
dc.date (日期) 2023en_US
dc.date.accessioned 6-Jul-2023 17:01:40 (UTC+8)-
dc.date.available 6-Jul-2023 17:01:40 (UTC+8)-
dc.date.issued (上傳時間) 6-Jul-2023 17:01:40 (UTC+8)-
dc.identifier (Other Identifiers) G0110357039en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/145927-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理學系zh_TW
dc.description (描述) 110357039zh_TW
dc.description.abstract (摘要) 本研究以1990年至2021年台灣上市櫃公司為樣本，使用Campbell (1991)的未預期報酬分解模型，將Vuolteenaho (2002)對於股票未預期報酬分解成現金流訊息和折現率訊息，探討在現金增資背景下公司的擇時能力以及折現率訊息是否能作為公司系統性風險變化的代理變數，也想要藉此研究折現率訊息是否可以成為市場擇時代理指標，本研究發現在宣告現金增資當年的折現率預期達到最低而後升高，並且透過羅吉斯回歸模型也證實了折現率訊息和宣告現金增資這一行為間存在顯著負向關聯。進一步將折現率訊息分為正面訊息與負面訊息兩組，實證結果得出負面的折現率訊息與正面的折現率訊息對宣告現金增資機率的影響是不同的。zh_TW
dc.description.abstract (摘要) This research uses the data of Taiwan listed and over-the-counter companies from 1990 to 2021. By adopting Campbell (1991) unexpected stock return decomposition model, I apply the method introduced by Vuolteenaho (2002) to my sample, which decomposes unexpected stock returns into cash flow news and discount rate news. On this basis, the research investigates the market timing ability of companies under SEO and whether discount rate news can serve as a proxy for changes in systematic risk. Additionally, the research investigates whether discount rate news can be used as a market timing indicator. The research finds that the discount rate expectations reach its minimum and subsequently increases during the year of SEO announcement. Furthermore, the logistic regression model provides empirical evidence of a significant negative association between discount rate news and SEO announcement. Moreover, by differentiating the discount rate news into positive and negative news, the empirical results indicate that the impact of negative discount rate news on the likelihood of SEO announcement differs from that of positive discount rate news.en_US
dc.description.tableofcontents 第一章 緒論 1
     第一節 研究背景與動機 1
     第二節 研究意義與結果 2
     第二章 文獻探討 4
     第一節 效率市場假說 4
     第二節 公司資本結構 5
     第三節 市場擇時理論 5
     第四節 資產定價模型 7
     第三章 研究設計 9
     第一節 研究流程 9
     第二節 研究假說 10
     第三節 資料收集與處理 11
     第四節 實證模型 12
     第五節 變數定義與計算 17
     第四章 實證結果 20
     第一節 全樣本VAR模型 20
     第二節 現金增資公司VAR模型 22
     第三節 羅吉斯回歸模型 27
     第五章 結論與展望 33
     第一節 研究結論 33
     第二節 研究展望 34
     參考文獻 36		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110357039en_US
dc.subject (關鍵詞) 市場擇時理論zh_TW
dc.subject (關鍵詞) 現金流訊息zh_TW
dc.subject (關鍵詞) 折現率訊息zh_TW
dc.subject (關鍵詞) 變異數分解zh_TW
dc.subject (關鍵詞) 現金增資宣告zh_TW
dc.subject (關鍵詞) Market timing theoryen_US
dc.subject (關鍵詞) Cash flow newsen_US
dc.subject (關鍵詞) Discount rate newsen_US
dc.subject (關鍵詞) Variance decompositionen_US
dc.subject (關鍵詞) SEO announcementen_US
dc.title (題名) 現金增資的市場擇時研究zh_TW
dc.title (題名) The Research of Market Timing on Seasoned Equity Offeringsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Baker, M., & Wurgler, J. (2002). Market timing and capital structure. The Journal of Finance, 57(1), 1-32.
     Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3-18.
     Bayless, M., & Chaplinsky, S. (1996). Is there a window of opportunity for seasoned equity issuance? The Journal of Finance, 51(1), 253-278.
     Butler, A. W., & Wan, H. (2010). Stock market liquidity and the long-run stock performance of debt issuers. The Review of Financial Studies, 23(11), 3966-3995.
     Campbell, J. Y. (1991). A variance decomposition for stock returns. The Economic Journal, 101(405), 157-179.
     Campbell, J. Y., & Shiller, R. J. (1988). The dividend-price ratio and expectations of future dividends and discount factors. The Review of Financial Studies, 1(3), 195-228.
     Chen, L., & Zhao, X. (2006). On the relation between the market-to-book ratio, growth opportunity, and leverage ratio. Finance Research Letters, 3(4), 253-266.
     Cho, H., & Choi, S. (2015). what drives credit rating changes? A return decomposition approach. Asia‐Pacific Journal of Financial Studies, 44(6), 899-931.
     DeAngelo, H., DeAngelo, L., & Stulz, R. M. (2010). Seasoned equity offerings, market timing, and the corporate lifecycle. Journal of Financial Economics, 95(3), 275-295.
     Fama, E. F. (1990). Stock returns, expected returns, and real activity. The Journal of Finance, 45(4), 1089-1108.
     Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. The Journal of Finance, 47(2), 427-465.
     Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636.
     Hovakimian, A. (2006). Are observed capital structures determined by equity market timing? Journal of Financial and Quantitative Analysis, 41(1), 221-243.
     Jensen, M. C., Black, F., & Scholes, M. S. (1972). The capital asset pricing model: Some empirical tests.
     Jo, H., & Kim, Y. (2007). Disclosure frequency and earnings management. Journal of Financial Economics, 84(2), 561-590.
     Keim, D. B. (1983). Size-related anomalies and stock return seasonality: Further empirical evidence. Journal of Financial Economics, 12(1), 13-32.
     Lin, J.-C., & Wu, Y. (2013). SEO timing and liquidity risk. Journal of Corporate Finance, 19, 95-118.
     Lintner, J. (1965). Security prices, risk, and maximal gains from diversification. The Journal of Finance, 20(4), 587-615.
     Loughran, T., & Ritter, J. R. (1995). The new issues puzzle. The Journal of Finance, 50(1), 23-51.
     Loughran, T., & Ritter, J. R. (1997). The operating performance of firms conducting seasoned equity offerings. The Journal of Finance, 52(5), 1823-1850.
     Myers, S. C. (1984). Capital structure puzzle. In: National Bureau of economic research Cambridge, Mass., USA.
     Rangan, S. (1998). Earnings management and the performance of seasoned equity offerings. Journal of Financial Economics, 50(1), 101-122.
     Shao, J., & Rao, J. (1993). Jackknife inference for heteroscedastic linear regression models. Canadian Journal of Statistics, 21(4), 377-395.
     Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442.
     Stattman, D. (1980). Book values and stock returns. The Chicago MBA: A Journal of Selected Papers, 4(1), 25-45.
     Stein, J. C. (1996). Rational capital budgeting in an irrational world. In: National bureau of economic research Cambridge, Mass., USA.
     Vuolteenaho, T. (2002). What drives firm-level stock returns? Journal of Finance, 57(1), 233-264.
     Zaremba, A. (2020). Small-minus-big predicts betting-against-beta: Implications for international equity allocation and market timing. Investment Analysts Journal, 49(4), 322-341.		zh_TW