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研究生:陳宛渝
研究生(外文):Wan-YuChen
論文名稱:擇時能力與融資決策與之探討:以中國市場為例
論文名稱(外文):Market Timing and Financing Choices: Evidence from China
指導教授:黃炳勳黃炳勳引用關係
指導教授(外文):Ping-Hsun Huang
學位類別:碩士
校院名稱:國立成功大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2013
畢業學年度:101
語文別:英文
論文頁數:35
中文關鍵詞:擇時理論投資理論融資決策
外文關鍵詞:market timing theoryinvestment-based theoryfinancing choices
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擇時理論和投資理論皆認為公司的淨融資決策能夠預測未來股票報酬走向,但兩個理論也不是全然相同。只有擇時理論認為構成淨融資的組成因子也能預測股票的未來報酬走向。在橫斷面回歸分析中可發現公司的淨融資決策對未來股票報酬走向有些微預測能力,但擇時理論的預測無法被實證結果所支持。爾後我們以公司的市值、帳市值比以及動量大小將把全體資料分成多種不同類型組合,並檢測這些樣本組合是否符合擇時理論和投資理論的預測。然而這些多種類型組合的實證結果都無法支持此二種理論的預測。總括所有實證結果,我僅認為在中國市場中只能充其量支持投資理論的預測。
Both market timing and investment-based theory argue that future stock returns can be predicted by the level of net financing. There is a difference between these two theories. Only market timing theory argues that future stock returns can be predicted by the composition of net financing. In cross-sectional regressions, I find that the level of net financing marginally predict future stock returns, but the composition of net financing has no explanatory power at all. As a robustness check, I subsample entire sample into two groups by book to market ratio, size and momentum. However, I can’t find any evidence to support market timing or investment-based theory. As a result, investment-based theory, at best, is marginally supported in the Chinese market.
Contents
Abstract Ⅱ
摘要 Ⅲ
誌謝 Ⅳ
Contents Ⅴ
Tables of List Ⅵ
Chapter 1.Introduction 1
Chapter 2.Related Literature and Hypotheses Development 5
2.1 Market Timing Theory 5
2.2 Investment-Based Theory 8
2.3 The Agency Problem in China 11
2.4 The Financial Crisis in 2008 12
Chapter 3. Data and Methodology 13
3.1 Data and Methodology 13
Chapter 4. Results 17
4.1 Portfolio analysis 17
4.2 Cross-sectional regression evidence 17
4.3 Stratified cross-section and Stratified sample analysis 19
Chapter 5. Conclusion 21
Tables of List 23
References 34
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