政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/145927
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113822/144841 (79%)
造访人次 : 51824839      在线人数 : 276
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/145927


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/145927


    题名: 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
    贡献者: 盧敬植
    Lu, Ching-Chih
    陳雨竹
    Chen, Yu-Zhu
    关键词: 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
    上传时间: 2023-07-06 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
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

    文件中的档案:

    档案 大小格式浏览次数
    index.html0KbHTML2159检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈