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| Title: | 現金增資的市場擇時研究
The Research of Market Timing on Seasoned Equity Offerings |
| Authors: | 陳雨竹
Chen, Yu-Zhu |
| Contributors: | 盧敬植
Lu, Ching-Chih
陳雨竹
Chen, Yu-Zhu |
| Keywords: | 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 |
| Date: | 2023 |
| Issue Date: | 2023-07-06 17:01:40 (UTC+8) |
| Abstract: | 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. |
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| Description: | 碩士
國立政治大學
財務管理學系
110357039 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110357039 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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