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研究生:陳蓉瑱
論文名稱:亞太地區債券市場擇時行為之實證研究
論文名稱(外文):An empirical study of market timing in Asia-Pacific bond market.
指導教授:吳啟銘吳啟銘引用關係
學位類別:碩士
校院名稱:國立政治大學
系所名稱:企業管理研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2010
畢業學年度:98
語文別:中文
論文頁數:85
中文關鍵詞:市場擇時理論靜態抵換理論融資順位理論
外文關鍵詞:Market timing theoryTrade-off theoryPecking order theory
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本篇論文探討亞太地區債券市場中是否存在著擇時行為,以此區域中三個經濟區為代表—澳洲、新加坡及香港,透過分析此區域2000~2009期間的絕對利率、相對利率與絕對債券發行量、相對債券發行量間之關係,以及進一步控制影響企業債券發行之因素,包括市場的成長機會、再融資及企業特性等,最後,實證結果指出亞太地區之債券市場並無擇時行為之存在,且其融資行為較傾向支持靜態抵換理論,亦即亞太企業進行舉債融資時較可能同時考慮舉債所帶來的正面及負面效果,因此有一最適資本結構存在的可能。
The purpose of this thesis is to test whether there is market timing behavior existing in Asia-pacific bond market. Using the data during 2000~2009 in three representative places, including Australia, Hong Kong and Singapore, we compare both the absolute and relative interest rate to both the absolute and relative amount of debt issue. In addition, we further control the factors that affect the debt issue of firms, including the market growth opportunities, refinancing and the characteristics of firms. Finally, we find there is no market timing behavior in Asia-pacific bond market. Besides, firms’ financing behavior in Asia-pacific are better explained by the trade-off theory, which means it is possible that there is a optimal capital structure for each firm.
謝誌
中文摘要
英文摘要
目錄 Ⅰ
表目錄 Ⅱ
圖目錄 Ⅲ

第一章 緒 論 1
第一節 研究動機與背景 1
第二節 研究目的 1
第三節 研究架構 2

第二章 文獻探討 4
第一節 資本結構理論 4
第二節 資本結構理論之實證研究 10
第三節 亞太地區市場擇時之實證研究 11

第三章 研究方法 13
第一節 研究假說 13
第二節 研究資料選取 15
第三節 研究變數設定 16
第四節 研究方法描述 22
第四章 研究結果與分析 30
第五章 結論與建議 74
參考文獻 75

一、中文部分
1. 葉威儀 (2006). 市場時機對台灣公司資本結構的長期影響.國立台灣大學財務金融研究所碩士論文
2. 林立信 (2008). 市場擇時能力對資本結構影響之探討:以東南亞市場為例. 朝陽科技大學財務金融碩士班碩士論文

二、英文部分
1. Baker, Malcolm, and Jeffrey Wurgler (2000). The Equity Share in New Issues and Aggregate Stock Returns, Journal of Finance, 55, 2219-2257.
2. Baker, M., and J. Wurgler (2002). Market Timing and Capital Structure, Journal of Finance, 57, 1-32.
3. Bayless, Mark, and Susan Chaplinsky (1996). Is There a Window of Opportunity for Seasoned Equity Issuance? Journal of Finance, 51, 253–278.
4. Chan, Chia-Chung, Yung-Ho Chang, and Chien-Hui Chang (2008). Firm-Specific Stock Return Variation and Capital Structure Decisions, Applied Economics Letters, forthcoming. (SSCI)
5. Christopher B, Barry, Steven C. Mann, Vassil T. Mihov, and Mauricio Rodriguez (2008). Corporate Debt Issuance and the Historical Level of Interest Rates, Financial Management, Autumn 2008, 413-430.
6. DeAngelo, H. and R. W. Masulis (1980). Optimal Capital Structure under Corporate and Personal Taxation, Journal of Financial Economics, 8, 3-29.
7. Brown, Philip S. and Gallery, Gerry T. and Goei, Olivia (2006). Does Market Misvaluation Help Explain Share Market Long-run Underperformance Following a Seasoned Equity Issue? Accounting and Finance, 46, 191-219.
8. Donaldson, G. (1961). Corporate Debt Capacity: A Study of Corporate Debt Policy and the Determination of Corporate Debt Capacity, Boston: Graduate School of Business, Harvard University Press.
9. Frank, M.Z. and Goyal, V.K (2003). Testing the Pecking Order Theory of Capital Structure, Journal of Financial Economics, 67. 217-248.
10. Graham, J.R. and C. Harvey (2001). The Theory and Practice of Corporate Finance: Evidence from The Field, Journal of Financial Economics, 60. 187-243.
11. Huang, R. and J. Ritter (2005). Testing the Market Timing Theory of Capital Structure, University of Florida Working Paper.
12. Ikenberry, D., J. Lakonishok, and T. Vermaelen (1995). Market Underreaction to Open Market Share Repurchases, Journal of Financial Economics, 39, 181-208.
13. Jensen, M. C. (1986). Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers, The American Economic Review, 76, 323–329.
14. Jensen, M. C., & Meckling, W. H. (1976). Theory of The Firm: Managerial Behavior, Agency Costs and Ownership Structure. Journal of Financial Economics, 3, 305–360.
15. Kayhan, Ayla & Titman, Sheridan (2007). Firms' Histories and Their Capital Structures, Journal of Financial Economics, 83, 1-32.
16. Kim, E. H. (1978). A Mean-Variance Theory of Optimal Capital Structure and Corporate Debt Capacity, Journal of Finance, 33, 45-64.
17. Korajczyk, Robert, Deborah Lucas, and Robert McDonald (1991). The Effects of Information Releases on The Pricing and Timing of Equity Issues, Review of Financial Studies, 4, 685–708.
18. Kraus, A. and Litzenberger, R.H. (1973). A State-Preference Model of Optimal Financial Leverage, Journal of Finance, 28, 911-922.
19. Loughran, Tim, and Jay Ritter (1995). The New Issues Puzzle, Journal of Finance,50, 23–51.
20. Mahajan, Arvind and Tartaroglu, Semih (2008). Equity Market Timing and Capital Structure: International Evidence, Journal of Banking & Finance, 32, 754-766.
21. Modigliani, F. and Miller, M. (1958). The Cost of Capital, Corporation Finance and the Theory of Investment, American Economic Review, 48, 261-297.
22. Modigliani, F. and Miller, M. (1963). Corporate Income Taxes and The Cost of Capital: A Correction, American Economic Review, 53, 433-92.
23. Murray Z. Frank and Vidhan K. Goyal. (2009). Capital Structure Decisions:Which Factors Are Reliably Important? Financial Management, 38, 1-37.
24. Myers, S. C. (1977). Determinants of Corporate Borrowing, Journal of Financial Economics, 5, 147–175.
25. Myers, Stewart C. (1984). The Capital Structure Puzzle, Journal of Finance, 39, 575–592.
26. Myers, S. C., & Majluf, N. S. (1984). Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have, Journal of Financial Economics, 13, 187–221.
27. Prowse, S. (1998). Corporate Governance: Emerging Issues and Lessons from East Asia, The world Bank Working Paper, Washington, D.C.
28. Rajan, S. and L. Zingales (1998). Which Capitalism? Lessons from the East Asian Crisis, Journal of Applied Corporate Finance, 11,40-48.
29. Shleifer, Andrei & Vishny, Robert W. (2003). Stock market driven acquisitions, Journal of Financial Economics, 70, 295-311.
30. Shyam-Sunder, L., & Myers, S. C. (1999). Testing Static Trade-Off against Pecking Order Models of Capital Structure. Journal of Financial Economics, 51, 219–244.
31. Stulz, R. M. (1990). Managerial Discretion and Optimal Financing Policies. Journal of Financial Economics, 26, 3–27.
32. Welch, I. (2004). Capital Structure and Stock Returns, Journal of Political Economy, 112, 106-131.
33. Hua Zhang (2002). Share Repurchases under the Commercial Law 212-2 in Japan:Market Reaction and Actual Implementation, Pacific-Basin Finance Journal, 10, 287-305.

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