本文以2000年11月至2011年4月，台灣公開發行公司的普通公司債發行個體資料為研究樣本，共485筆，探討企業是否會選擇在市場利率低落的時候，發行更多的公司債。在迴歸模型的架構下，以公司債十年殖利率、長短期利率差及信用價差，做為市場擇時的指標變數，以市價淨值比、本益比、景氣循環指標，做為控制變數，此外，進一步觀察產業類別及還債年限是否會影響市場擇時行為的程度及結果。實證結果顯示：總體而言，信用價差最能當作市場擇時穩健的指標；相對於全樣本的結果，分產業類別跑迴歸，因為考慮了產業間的差異，迴歸解釋力提升，其中以交通航運產業最符合市場擇時行為，交通航運產業在公司債市場發債行為相對穩定，此產業易受景氣影響，且投資金額龐大，若在市場利率相對低點時發債，對公司尤其有利；至於還債年限跑迴歸，五年和十年的還債年限公司債擇時不明顯，因為較短期間內，利率不一定會來到相對低點，相對低點不易觀察；而十年的長期還債年限公司債，公司無法有準確的預期能力；而是中長期的還債年限公司債，最能看出市場擇時行為的效果。就投資意涵來說，公司發債擇時行為，可以視為一個市場訊號，公司在殖利率相對低的地方發債，表示債券價格是在相對高點部位，此後債券價格上升機率較小。市場擇時－結合新古典投資理論和財務行為學兩個概念，此篇市場擇時的實證研究，提供了解釋台灣公司發債財務決策行為的方向。

本研究以台灣企業為研究對象，探討公司融資決策與市場時機之關係。以樣本研究期間內每月份辦理初次公開發行（IPO）家數相對多寡為衡量股市冷熱性之指標，藉由觀察於冷、熱市辦理IPO公司的融資決策差異來分析國內企業是否存在市場擇時行為以及其對資本結構的長短期影響。 實證結果顯示，熱市IPO公司於IPO當年之權益融資幅度明顯多於冷市IPO公司，使其負債比率顯著低於冷市IPO公司，然自IPO後二年起，擇時效果便逐年遞減，顯示擇時行為對資本結構的影響相當短暫，由於不論冷、熱市IPO公司，於IPO後均仍傾向依國內企業偏好之融資順位即先權益後舉債之方式籌資，且IPO後負債比率有逐年回升並趨近於IPO前水平之趨勢，顯示長期而言，國內公司資本結構相當穩定，因此推測國內企業資本結構之決定方式可能為動態抵換理論與融資順位理論之結合，即公司會在可接受之負債比率波動範圍內依照偏好之融資順位進行籌資。由於市場擇時並非調整資本結構時之主要考量，故其對資本結構的影響也相對有限，因此隨時間經過，之前的擇時行為便無法解釋公司後來資本結構之變動。 之前相關實證研究均採用市值對帳面價值比為擇時行為代理變數，本研究於比較不同方法之實證結果後發現，在台灣，市值對帳面價值比除了可作為衡量股市錯價之指標外亦可衡量公司未來成長機會，故若單使用市值對帳面價值比為代理變數將使得實證結果對於市場擇時的解釋力較為薄弱。 / This paper examines the capital structure implications of market timing. I use initial public offering as a single timing event of financing. Market timers would be those firms that go public in hot issue markets. I find that hot-market IPO firms issue more equity and hence their debt ratios decline more than cold-market ones at the end of IPO year. However, the timing effect diminishes with time and in two years after IPO, there is no significant difference between hot and cold-market firms’ debt ratios anymore. After the initial public offering, both firms’ tend to raise capital needs based on their preference financing order, which means retained earnings first, then equity issuance and finally raising debts in Taiwan. In addition, the debt ratios seem to steadily approach to their pre-IPO levels. These all might reveal that, the dynamic trade-off theory and pecking order theory would be better than the market timing theory to explain firms’ capital structures in Taiwan. Some related studies followed Baker and Wurgler（2002）’s approach, using market to book ratio as firms’ market timing proxy. I compare the results of different proxies and find that in Taiwan, market to book ratio could not only be a timing proxy but referring to a firm’s growth opportunity as well. Hence, it should be avoided using market to book ratio as a single proxy of firms’ market timing behavior when studying firms’ capital structures in Taiwan.

This research employs five predicting variables to implementing the market timing strategy. These five variables are E/P1, E/P2, B/M, CP and GM. The investment performances of market timing under a variety of investment horizons are examined. There are four different forecasting horizons, which are one-month, three-month, six-month, and twelve-month investment horizons. Both the linear approach and artificial neural networks are employed to forecasting the market. The artificial neural network is employed with a view to capture the non-linearity property embedded in the market. The results are summarized as follows. (1) Both the linearity and nonlinear approaches are able to outperform the market. According to the results of Cumby-Modest test, they do have the market timing ability. (2) In the simple regression models, the performance of CP is relatively well compared to those of other variables. (3) The correct prediction rate increases as the investment horizon increases. (4) The performance of the expanding window approach is on average inferior to that of the moving window approach. (5) In the simulations of timing abilities over the period of May, 1991 to December, 1997. The multiple regression models has the best performance for the cases of one-month, three-month, and six-month investment horizons. On the other hand, BP(1) has the best performance for the case of one-year investment horizon. Contents Chapter 1 Introduction ……………………………………… 1 1.1 Background……………………………………………………………. 1 1.2 Motivations and objectives…………………………………………….3 1.3 Thesis organization ………………………………………………….. 4 Chapter 2 Literature Review…………………………………6 2.1 Previous studies on market timing……………………………………. 6 2.2 Predicting variables…………………………………………………… 8 2.3 Artificial Neural Networks……………………………………………10 2.4 Back Propagation Neural Networks…………………………………..11 2.5 Applications of ANNs to financial fields………………….………….12 Chapter 3 Data and Methodology……………………….….15 3.1 Data………………………………………………………………..….15 3.2 Linear approaches to implementing market timing strategy……….…18 3.3 ANNs to implementing market timing strategy…………..…………..23 Chapter 4 Results on Timing Performance……………..…26 4.1 Performance of linear approach………………………………………26 4.2 Performance of ANNs………………………………………………...38 4.3 Performance evaluation……………………………………………….39 Chapter 5 Summary…………………………………………54 5.1 Conclusions……………………………………………………….….54 5.2 Future works…………………………………………………………55 Appendix……………………………………………………..56 References……………………………………………………57 / This research employs five predicting variables to implementing the market timing strategy. These five variables are E/P1, E/P2, B/M, CP and GM. The investment performances of market timing under a variety of investment horizons are examined. There are four different forecasting horizons, which are one-month, three-month, six-month, and twelve-month investment horizons. Both the linear approach and artificial neural networks are employed to forecasting the market. The artificial neural network is employed with a view to capture the non-linearity property embedded in the market. The results are summarized as follows. (1) Both the linearity and nonlinear approaches are able to outperform the market. According to the results of Cumby-Modest test, they do have the market timing ability. (2) In the simple regression models, the performance of CP is relatively well compared to those of other variables. (3) The correct prediction rate increases as the investment horizon increases. (4) The performance of the expanding window approach is on average inferior to that of the moving window approach. (5) In the simulations of timing abilities over the period of May, 1991 to December, 1997. The multiple regression models has the best performance for the cases of one-month, three-month, and six-month investment horizons. On the other hand, BP(1) has the best performance for the case of one-year investment horizon.

本研究結合由Holland(1975)所發展的遺傳程式與資訊科技的計算理論來研究臺灣股票市場的市場擇時策略，並根據Bauer(1994)對於投資法則的編碼方式，分別考慮以基本分析與技術分析為基礎的遺傳程式市場擇時策略，並且以買入持有策略、投資無風險資產與追漲殺跌策略等三種投資策略作為比較基礎來評估遺傳程式在投資策略應用上的可行性。 　　研究期間為1984年至1991年，其中樣本內期間為1984年至1988年，而樣本外期間為1989年至1991年，研究結論如下： 　　1.不論採基本分析或技術分析為基礎的遺傳程式投資法則，在樣本外期間第一年（1989年）的報酬均顯著高於投資無險資產與追漲殺跌策略，但低於買入持有策略。 　　2.就整個樣本外期間（1989-91年）而言，採用基本分析的遺傳程式投資法則顯著優於買入持有策略，而採用技術分析的遺傳程式投資法則並不具有投資績效。 　　3.以基本分析為基礎的遺傳程式投資法則較適用於長期投資，而以技術分析為基礎的遺傳程式投資法則較適用於短期投資。 　　4.樣本外期間經歷了遺傳程式沒有學習過的資料型態（亦即1990年初股價連續下跌趨勢），對於遺傳程式的學習能力形成了一大挑戰。

本研究主要欲針對市場擇時理論進行實證研究，研究期間橫跨1990年至2008年，以台灣上市公司為研究樣本，主要欲探討兩大議題：第一部分驗證台灣上市公司是否會在權益資金成本相對較低時，進行外部權益融資，而使公司之槓桿下降；反之，觀察其是否會在權益資金成本相對較高時，進行負債融資，而使公司槓桿上升。研究方法參考Huang and Ritter(2009)之方法，使用剩餘收益模型估計權益資金成本，並以權益風險溢酬作為衡量市場擇時行為的代理變數，探討權益資金成本的大小是否會透過淨權益的發行而影響公司資本結構，並加入公司特徵變數與總體市況變數作為控制變數。實證結果顯示在公司有財務資金需求的前提下，公司的負債比例與權益風險溢酬之間存在正向的關係，此結果符合市場擇時理論之預期。第二部分討論過去依據資金成本之高低所進行的市場擇時融資行為是否會影響公司的資本結構。實證結果發現市場擇時行為對公司資本結構的影響力會在三年後消逝，對資本結構只具有短期的影響效果。 / This paper examines market timing theory on Taiwan listed company during 1990－2008, and focus on two topics. In the first part, we want to test whether firms fund larger proportion of their financing deficit with external equity when cost of equity is relatively low. We refer to Huang and Ritter (2009), using residual income model to estimate the firm’s implied cost of equity, and let implied equity risk premium as a market timing proxy. Consistent with the market timing theory, the empirical evidences show that the effect of financing deficit on leverage is positively related to the implied equity risk premium. In the second part, we test whether the historical values of cost of equity have persistent impact on current capital structure. We find about three years impacts, indicating that past market timing financing behavior have short-term effects on firm’s capital structure.

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.