Testing market timing effect on capital structure by cost of equity
碩士 === 國立中山大學 === 企業管理學系研究所 === 98 === Baker and Wurgler (2002) proposed market timing theory and indicated the observed capital structures are the outcomes that managers timed the equity market and took advantages of timing when information asymmetry is low and stock price is high. But many scholar...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/58860179997407243714 |
| Summary: | 碩士 === 國立中山大學 === 企業管理學系研究所 === 98 === Baker and Wurgler (2002) proposed market timing theory and indicated the observed capital structures are the outcomes that managers timed the equity market and took advantages of timing when information asymmetry is low and stock price is high. But many scholars argue that Baker and Wurgler’s timing proxy is noisy, this study attempts to use the concept of Huang and Ritter (2009) to test market timing effect on capital structure more directly by cost of equity.
The cost of equity in this study is estimated by Fama and French three factors model with five-year rolling regression which is different from Huang and Ritter (2009). The empirical results show that publicly traded firms in Taiwan Stock Exchange from 1996 to 2007 tend to issue debt when the cost of equity is high and issue equity when the cost of equity is low which means the timing of financing behavior exists but it has no long-lasting effect on capital structure. Indicating that the observed capital structures of publicly traded firms in Taiwan Stock Exchange aren’t the outcomes that managers timed the equity market which is not identical to the perspectives of Baker and Wurgler (2002) and the speed of adjustment of capital structure of publicly traded firms in Taiwan Stock Exchange is very fast.
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