負債權益選擇之市場擇時操作

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Title:	負債權益選擇之市場擇時操作
Other Titles:	Debt-equity Choices and Market Timing
Authors:	黃慧汶 HUANG, HUEI-WEN
Contributors:	陳家偉 CHEN, CHIA-WEI 財務金融學系
Keywords:	負債權益選擇;市場擇時 Debt-equity choices;Market timing
Date:	2017
Issue Date:	2018-03-30T01:31:34Z (UTC)
Abstract:	本研究主要在探討市場擇時效果於台灣股票市場的適用性，以往研究大多從最適資本結構、抵換理論、融資順位理論等方向來探討公司籌資行為，但近來開始有部分學者對公司進行籌資的原因提出不同看法，他們認為公司在考慮籌資決策時，會依據市場的狀況，調整不同資金來源的使用。在公司價值被過分高估時，管理者可能發行更多的股票以利用投資者的過度熱情；反之，當公司價值被過分低估時，管理者可能傾向使用負債籌資。因此，本研究以2006~2015年臺灣證券市場之上市公司為研究對象，分析台灣市場是否存在市場擇時理論。本研究主要參考Craig and Tan (2016)的實證做法，使用三個主要變數，分別為盈餘宣告報酬(EAR)、機構估每股盈餘預測誤差(FE)、股票買進持有報酬(BHAR)，作為衡量市場擇時是否成立之依據。研究結果顯示，藉由觀察機構估每股盈餘預測誤差以及買進持有股票報酬率，經理人確實會進行負債權益擇時行為，當公司價值被市場高估時，公司傾向發行新股，但之後投資人卻會因市場充分反映訊息而得到負向的報酬，結果與市場擇時假說一致。但其中，在盈餘宣告報酬中並未能得到一致性的結論。概括而論，我們仍然不可否認擇時行為在公司的籌資決策中扮演著極為重要的角色！ This study mainly discusses the applicability of market timing effect on debt-equity choices. As most of the previous studies discussed financial behavior from the aspects of optimal capital structure, tradeoff theory, pecking order theory, there are some scholars have recently put forward different point of view on the financial behavior of the companies. And they found that companies tend to adjust the different sources of funds according to the condition of the market. When the companies are overvalued, managers may take the advantage of the excessive enthusiasm of investors to issue more stocks; conversely, when the companies are undervalued, managers may tend to use debt financing. Accordingly, this study, with observation of listed firms in Taiwan during the period from 2006 to 2015, applies the empirical approach of Craig and Tan (2016), to examine whether the market timing hypothesis is indeed supported.We find that by measuring FE, BHAR, managers actually do market timing consistent with market timing hypothesis. Firms tend to issue new securities when they are overvalued. However, issuers suffer lower returns when mispricing was corrected in subsequent periods. In short, the behavior of market timing could not be rejected with the sample in Taiwan, although empirical results may lose the significance as different measures of market timing are employed.
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