De acordo com a teoria de equity market timing, as companhias tendem a emitir ações ou dívidas de modo a explorar janelas de oportunidade e esse comportamento é um determinante significativo da estrutura de capital das empresas, reflexo das decisões de financiamento. Com base nessa assertiva e nas evidências recentes, esta dissertação investiga a ocorrência de equity market timing na decisão de emissão primária de ações (IPO e Follow-on) no mercado de capitais brasileiro. Em um primeiro momento, analisaram-se os determinantes da estrutura de capital das companhias brasileiras, com base em variáveis comuns na literatura: índice market-to-book, tamanho, tangibilidade, rentabilidade e setor. Mais tarde, para averiguar a existência do comportamento de market timing na decisão de emitir ações, utilizou-se a relação dos retornos anormais, antes e após a emissão, com o volume total de capital levantado por meio da oferta desses títulos, além da quantidade de ações que a empresa emitiu e o preço inicial de negociação, medidas relativas utilizadas por Alti (2006). A amostra analisada leva em conta características setoriais e compreende 123 empresas de capital aberto que emitiram novas ações na BM&FBOVESPA entre 2004 e 2015, somando 165 emissões primárias durante esse período. Foram utilizadas análises descritivas de dados, testes de diferença de médias e regressões lineares para prover evidências da ocorrência desse fenômeno. Os resultados indicam que mais da metade das emissões de ações no Brasil ocorre nos meses que antecedem o prazo máximo de divulgação dos demonstrativos contábeis das empresas, e que 75% das emissões aconteceram depois de retornos anormais positivos. Ademais, as empresas que tiveram retornos anormais negativos depois da emissão de ações foram as que captaram mais recursos por essa via de financiamento, indo a favor da prática de equity market timing na decisão de emissão de ações no mercado brasileiro. Destaca-se, ainda, a constatação de que esse comportamento oportunista está mais claramente ligado à oferta inicial de ações (IPO), ou seja, quando a empresa utiliza essa fonte de financiamento pela primeira vez do que quando a emissão é subsequente (Follow-on), além das evidências de que o setor tem papel importante no comportamento de market timing dos gestores, indicando que as empresas de um mesmo ramo setorial tomam decisões semelhantes com a finalidade de explorar janelas de oportunidades possivelmente relacionadas aos seus respectivos setores. / According to the equity market timing theory, companies tend to issue stocks or debts in order to explore windows of opportunity, and this behavior is a significant determinant of the capital structure of companies, which reflects from financing decisions. Based on this assertion and on recent evidence, this dissertation investigates the occurrence of equity market timing in the decision of primary issuance of shares (IPO and Follow-on) in the Brazilian capital market. First, determinants of the capital structure of Brazilian companies were analyzed, based on common variables in the literature: market-to-book ratio, size, tangibility, profitability and industry. Later, in order to determine the occurrence of market timing behavior in the decision to issue shares, it was investigated the relation of abnormal returns - both before and after the issue - with the total volume of capital raised through securities\' offers and also the quantity of shares issued by the company and the initial trading price, relative measures used by Alti (2006). The analyzed sample takes into account industrial characteristics and comprises 123 public companies that issued new shares on BM&FBOVESPA between 2004 and 2015, resulting in to 165 primary issues during this period. Descriptive data analyzes, mean difference tests and linear regressions were used to provide evidence of the occurrence of this phenomenon. The results indicate that more than half of Brazil\'s equity issues occur in the months leading up to the maximum disclosure period of the companies\' financial statements, and that 75% of the issues occurred after abnormal positive returns. In addition, the companies that had negative abnormal returns after the issuance of shares were the ones that captured more resources through this financing channel, favoring the practice of equity market timing in the decision to issue shares in the Brazilian market. It should also be pointed out that this opportunistic behavior is more clearly linked to the initial public offering (IPO), that is, when the company uses this source of financing for the first time than when the issue is secondary (Follow- on). Also, there is evidence that the industry plays an important role in the manager\'s market timing behavior, indicating that the companies belonging to a same industry make similar decisions with the purpose of exploring windows of opportunities that possibly related to their respective industries.

De acordo com a teoria de equity market timing, as companhias tendem a emitir ações ou dívidas de modo a explorar janelas de oportunidade e esse comportamento é um determinante significativo da estrutura de capital das empresas, reflexo das decisões de financiamento. Com base nessa assertiva e nas evidências recentes, esta dissertação investiga a ocorrência de equity market timing na decisão de emissão primária de ações (IPO e Follow-on) no mercado de capitais brasileiro. Em um primeiro momento, analisaram-se os determinantes da estrutura de capital das companhias brasileiras, com base em variáveis comuns na literatura: índice market-to-book, tamanho, tangibilidade, rentabilidade e setor. Mais tarde, para averiguar a existência do comportamento de market timing na decisão de emitir ações, utilizou-se a relação dos retornos anormais, antes e após a emissão, com o volume total de capital levantado por meio da oferta desses títulos, além da quantidade de ações que a empresa emitiu e o preço inicial de negociação, medidas relativas utilizadas por Alti (2006). A amostra analisada leva em conta características setoriais e compreende 123 empresas de capital aberto que emitiram novas ações na BM&FBOVESPA entre 2004 e 2015, somando 165 emissões primárias durante esse período. Foram utilizadas análises descritivas de dados, testes de diferença de médias e regressões lineares para prover evidências da ocorrência desse fenômeno. Os resultados indicam que mais da metade das emissões de ações no Brasil ocorre nos meses que antecedem o prazo máximo de divulgação dos demonstrativos contábeis das empresas, e que 75% das emissões aconteceram depois de retornos anormais positivos. Ademais, as empresas que tiveram retornos anormais negativos depois da emissão de ações foram as que captaram mais recursos por essa via de financiamento, indo a favor da prática de equity market timing na decisão de emissão de ações no mercado brasileiro. Destaca-se, ainda, a constatação de que esse comportamento oportunista está mais claramente ligado à oferta inicial de ações (IPO), ou seja, quando a empresa utiliza essa fonte de financiamento pela primeira vez do que quando a emissão é subsequente (Follow-on), além das evidências de que o setor tem papel importante no comportamento de market timing dos gestores, indicando que as empresas de um mesmo ramo setorial tomam decisões semelhantes com a finalidade de explorar janelas de oportunidades possivelmente relacionadas aos seus respectivos setores. / According to the equity market timing theory, companies tend to issue stocks or debts in order to explore windows of opportunity, and this behavior is a significant determinant of the capital structure of companies, which reflects from financing decisions. Based on this assertion and on recent evidence, this dissertation investigates the occurrence of equity market timing in the decision of primary issuance of shares (IPO and Follow-on) in the Brazilian capital market. First, determinants of the capital structure of Brazilian companies were analyzed, based on common variables in the literature: market-to-book ratio, size, tangibility, profitability and industry. Later, in order to determine the occurrence of market timing behavior in the decision to issue shares, it was investigated the relation of abnormal returns - both before and after the issue - with the total volume of capital raised through securities\' offers and also the quantity of shares issued by the company and the initial trading price, relative measures used by Alti (2006). The analyzed sample takes into account industrial characteristics and comprises 123 public companies that issued new shares on BM&FBOVESPA between 2004 and 2015, resulting in to 165 primary issues during this period. Descriptive data analyzes, mean difference tests and linear regressions were used to provide evidence of the occurrence of this phenomenon. The results indicate that more than half of Brazil\'s equity issues occur in the months leading up to the maximum disclosure period of the companies\' financial statements, and that 75% of the issues occurred after abnormal positive returns. In addition, the companies that had negative abnormal returns after the issuance of shares were the ones that captured more resources through this financing channel, favoring the practice of equity market timing in the decision to issue shares in the Brazilian market. It should also be pointed out that this opportunistic behavior is more clearly linked to the initial public offering (IPO), that is, when the company uses this source of financing for the first time than when the issue is secondary (Follow- on). Also, there is evidence that the industry plays an important role in the manager\'s market timing behavior, indicating that the companies belonging to a same industry make similar decisions with the purpose of exploring windows of opportunities that possibly related to their respective industries.

Enligt Market timing-teorin styr marknadens värdering av företag huruvida nya investeringar finansieras med lån eller med nytt eget kapital. Syftet med denna uppsats är att undersöka om teorin kan förklara svenska företags val av finansiering och således företagens kapitalstruktur. För att uppfylla syftet med uppsatsen har företagsdata insamlats kvartalsvis. Vidare har en regression genomförts mellan de beroende variablerna "Bokförd skuldsättningsgrad" och "Marknadsmässig skuldsättningsgrad" med diverse oberoende variabler för att analysera ifall Market timing-teorin stämmer överens med svenska företag. Av de oberoende variablerna anses marknadsvärdet dividerat med bokfört värde (M/B) bäst förklara Market timing-teorins korrekthet. Regressioner har även genomförts med både samtida oberoende variabler och tidslaggade oberoende variabler för att se ifall Market timing-teorin skiljer sig åt med tiden. Slutsatsen av undersökningen är att Market timing-teorin stämmer överens i förhållande till den marknadsmässiga skuldsättningsgraden vilken vi anser bäst överensstämmer med innehållet i Market timing-teorin. Vi har alltså statistiskt säkerställt att svenska företags kapitalstruktur påverkas av marknadens värdering av företagen och därigenom fastställt att market timing påverkar svenska företags kapitalstruktur.

Dans l’industrie, des méthodes de Maîtrise Statistique des Procédés (MSP) sont utilisées pour savoir si des pièces usinées lors d’un processus de fabrication sont non conformes aux spécifications. Les deux méthodes utilisées sont la méthode de Shewhart et la méthode EWMA (moyenne mobile à pondération exponentielle). Une adaptation de ces deux méthodes à la bourse est faite pour créer un modèle qui anticipe les cours sur les marchés à termes de matières premières. Ces deux méthodes sont utilisées simultanément, ce qui est une première. Le modèle présenté différencie plusieurs types de mouvements et plusieurs types d’investisseurs sur les marchés. C’est un modèle prudent. L’obtention de fortes performances est importante mais la diminution du risque et la limitation des pertes le sont également. Une simulation de la gestion d’un portefeuille pouvant être investi dans douze marchés à terme est faite. Ces marchés sont les suivants : le gaz naturel, le pétrole, le blé, le maïs, le soja, le bois, le jus d’orange concentré surgelé, le café, le cacao, le sucre, le coton et le cuivre. Cette simulation dans laquelle le portefeuille n’est pas « en levier » donne des résultats impressionnants. La simulation est faite du 3 janvier 2000 au 31 décembre 2013. Le capital initial est de $ 10 000 000 et à la fin de la simulation il est de $ 189 868 766. Le taux de rendement actuariel est de 23%. La seule rentabilité annuelle négative est celle de 2013 (-0.5%) et la meilleure est celle de 2010 (67%) La volatilité annualisée est de 17%. Le ratio d’information est exceptionnel : 0.85 ! La capacité au market-timing est de 47%. Ce pourcentage est ordinaire mais il recouvre le fait que la performance moyenne d’une position gagnante est de 17% tandis que celle d’une position perdante est de -6%. La performance d’une position gagnante compense, en moyenne, celle de trois positions perdantes. / Methods of Statistical Process Control (SPC) are used in the industrial sector to know if work pieces are conforms to specifications. Two methods are used: the Shewhart method and the Exponentially-weighted moving average method (EWMA). An adaptation of these methods to the financial markets is done to create a model which anticipates prices on commodities markets. Both methods are used simultaneously which is the first time. The developed model distinguishes several types of market movements and various types of investors. It is a safe model. Obtaining strong performances is important but reducing risk and limiting losses are too. A simulation of the management of a portfolio which may be invested of twelve commodities is done. The markets are: natural gas, oil, wheat, corn, soybeans, lumber, frozen concentrated orange juice, coffee, cocoa, sugar, cotton and copper. We decide to simulate a portfolio without “leverage” and results are impressive. The simulation is done from January 3rd 2000 to December 31th 2013. The initial capital of the portfolio is $ 10,000,000 and at the end of the simulation is $ 189,868,766. The rate of annual return is 23%. The only negative annual return is that of 2013 (-0.5%) and the best is that of 2010 (67%). The annualized volatility is 17%. The information ratio is exceptional: 0.85! The ability to market timing is 47%. This percentage is ordinary, but the average performance of winning positions is 17% while that of a losing position is -6%. The performance of a winning position, on average, corrects that of three losing positions.

Submitted by Maike Costa (maiksebas@gmail.com) on 2017-09-01T14:18:44Z No. of bitstreams: 1 arquivototal.pdf: 2068627 bytes, checksum: 45546765d8c38a937b45e6ec70e3fca4 (MD5) / Approved for entry into archive by Viviane Lima da Cunha (viviane@biblioteca.ufpb.br) on 2017-09-01T16:00:32Z (GMT) No. of bitstreams: 1 arquivototal.pdf: 2068627 bytes, checksum: 45546765d8c38a937b45e6ec70e3fca4 (MD5) / Made available in DSpace on 2017-09-01T16:00:47Z (GMT). No. of bitstreams: 1 arquivototal.pdf: 2068627 bytes, checksum: 45546765d8c38a937b45e6ec70e3fca4 (MD5) Previous issue date: 2017-07-22 / This study aimed to analyze how the market timing ability (HMT) influences the performance of investors to the Brazilian equity funds. For this, it was measured the performance of investors to the Brazilian equity funds, based on cumulative cash flows over the period of analysis, from 2010 to 2015. Additionally, it was quantified the investor HMT, based on the difference between the performance of managers and the performance of investors. It was also analyzed the relationship between HMT and quality of funds selected by investors, based on risk-adjusted return, determined by three and four factors models. Finally, possible determinants of investor HMT were investigated, based on the characteristics of the Brazilian equity funds, through quantile regression. The results of the first stage of the analysis indicate that, on average, investors in the Brazilian equity funds undertake their profitability due to the moment that they realized cash flows inputs and outputs. This result was also observed in specific classes of funds like Value/Growth, Small Caps and Free. However, for the other classes of funds, it was found that on average, the decisions related to the cash flows caused investors obtain superior performance to that earned by the funds. The results of the second stage of the analysis indicate that there are positive and statistically significant relationship between the adjusted performance risk and HMT. Using the two risk factors models, it was found that the funds classified in the best performance deciles showed positive HMT, which suggests that the better the fund's performance, most investors are penalized for their market timing decisions. Regarding the investigation of the determinants of HMT, the performance gap of investors was lower as the size of funds and greater as the lockup period, the growth rate of cash flows and the last return of funds. The main academic contribution of this study is to show the influence of market timing decisions, from the perspective of individual investors. The use of a individual performance measure based on cash flows, made it possible to quantify the possible gains or losses earned by investors compared to the performance provided by the funds. How market contributions, it is believed that the results of this study may help both Brazilian investors, as the financial market professionals, to take heed to the importance of market timing decisions, and how they can influence positively or negatively the performance earned by investors. / Esta tese teve como objetivo analisar como a habilidade de market timing (HMT) influencia o desempenho de investidores de fundos de ações brasileiros. Para tanto, foi mensurado o desempenho dos investidores de fundos de ações brasileiros, com base nos fluxos de caixa acumulados, ao longo do período de análise, de 01 de janeiro de 2010 a 30 de setembro de 2015. Adicionalmente, foi quantificada a HMT dos investidores, com base na diferença entre o desempenho dos gestores e o desempenho dos investidores dos fundos. Também foi analisada a relação entre a HMT e a qualidade dos fundos selecionados pelos investidores, com base no retorno ajustado ao risco, determinado pelos modelos de três e quatro fatores. Por fim, foram investigados possíveis determinantes da HMT dos investidores, com base nas características de uma amostra de fundos de ações brasileiros, por meio da regressão quantílica. Os resultados da primeira etapa da análise indicam que, em média, os investidores dos fundos de ações brasileiros comprometem sua rentabilidade devido ao momento em que realizam entrada e saída de caixa nos fundos. Esse resultado também foi observado nos fundos das classes específicas Valor/Crescimento, Small Caps e Livre. Entretanto, para as demais classes de fundos, verificou-se que, em média, as decisões relacionadas aos fluxos de caixa fizeram com que os investidores obtivessem desempenho superior àquele auferido pelos fundos. Os resultados da segunda etapa da análise indicam que há relação positiva e estatisticamente significativa entre o desempenho ajustado ao risco e a HMT. Utilizando-se os dois modelos de fatores de risco, verificou-se que os fundos classificados nos decis de melhor desempenho apresentaram HMT positiva, o que sugere que, quanto melhor o desempenho do fundo, mais os investidores são penalizados por suas decisões de market timing. Quanto à investigação dos possíveis determinantes da HMT, a lacuna de performance do desempenho dos investidores foi menor conforme o tamanho dos fundos e maior conforme o período de lockup, a taxa de crescimento dos fluxos de caixa e o retorno passado dos fundos. A principal contribuição acadêmica deste estudo é evidenciar a influência das decisões de market timing, sob a perspectiva dos investidores individuais. Como contribuições ao mercado, acredita-se que os resultados do presente estudo podem auxiliar tanto os investidores brasileiros, quanto os profissionais do mercado financeiro, no sentido de atentarem para a importância das decisões de market timing, e como elas podem influenciar positiva ou negativamente o desempenho auferido pelos investidores.

Baker and Wurgler (2002) define a new theory of capital structure. In this theory capital structure evolves as the cumulative outcome of past attempts to time the equity market. Baker and Wurgler extend market timing theory to long-term capital structure, but their results do not clearly distinguish between the two versions of market timing: perceived mispricing and adverse selection. The main purpose of this dissertation is to empirically identify the relative importance of these two explanations. First, I retest Baker and Wurgler's theory by using insider trading as an alternative to market-to-book ratio to measure equity market timing. I also formally test the adverse selection model of the equity market timing: first by using post-issuance performance, and then by using three measures of adverse selection. The first two measures use estimates of adverse information costs based on the bid and ask prices, and the third measure is based on the close-to-offer returns. Based on received theory, a dynamic adverse selection model implies that higher adverse information costs lead to higher leverage. On the other hand, a naïve adverse selection model implies that negative inside information leads to lower leverage. The results are consistent with the equity market timing theory of capital structure. The results also indicate that a naïve, as opposed to a dynamic, adverse selection model seems to be the best explanation as to why managers time equity issues.

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.

This study constructs a two-step model to test the most prominent market timing factors. We decompose equity issuances into 1) firm-specific components, which are predicted by firms’ characteristics, and 2) market-wide components, which are predicted by aggregate time series measures. Our evidence shows that, at the firm level, firms with higher market-to-book ratio, smaller size, more growth opportunities, and fewer tangible assets are more likely to issue equity. At the aggregate level, a greater proportion of firms issue equity in years with higher aggregate market-to-book ratio and lower asymmetric information. After controlling for the aggregate market-to-book ratio and information asymmetry, sentiment has no direct effect on equity issuance. This paper provides direct evidence that firms time their favorable market conditions to reduce adverse selection costs, and to exploit higher individual security valuations or capture growth opportunities.

Submitted by Mauricio Ferraz (mferraz@brascangestao.com.br) on 2009-09-04T18:46:00Z No. of bitstreams: 1 Market Timing.pdf: 366908 bytes, checksum: 74f1f802cd5a43b5bf6ab752920f3b15 (MD5) / Approved for entry into archive by Vitor Souza(vitor.souza@fgv.br) on 2009-09-04T22:08:22Z (GMT) No. of bitstreams: 1 Market Timing.pdf: 366908 bytes, checksum: 74f1f802cd5a43b5bf6ab752920f3b15 (MD5) / Made available in DSpace on 2009-09-04T22:09:11Z (GMT). No. of bitstreams: 1 Market Timing.pdf: 366908 bytes, checksum: 74f1f802cd5a43b5bf6ab752920f3b15 (MD5) / This paper examines the existence of market timing in the brazilian stock market. Our studies were divided in three separate analyses. We started looking for 'Market Timing' in the initial public offerings (IPOs) of brazilian firms and later we expanded our studies to the seasoned equity offerings (SEOs). To finish we studied the persistence of 'Market Timing' effects in the capital structure of the companies. Our findings show that brazilian companies issue more equity when the market is hot. This equity issues occur in the IPOs and SEOs and they change the capital structure of the companies. As time goes by, the change in the capital structure tends to reduce. / Este trabalho objetiva verificar a existência de 'Market Timing' no mercado acionário brasileiro. Os nossos estudos foram divididos em três análises distintas. Primeiro verificamos a presença de 'market-timing' nos IPOs e posteriormente expandimos para as ofertas subseqüentes de ações (OSAs). Por último verificamos a persistência dos efeitos do 'Market Timing' sobre a estrutura de capital das empresas. Os resultados dos nossos estudos mostram que as empresas brasileiras tendem a emitir mais capital quando o mercado está aquecido. Essas emissões acontecem através de IPOs e de OSAs e alteram a estrutura de capital dessas empresas. Com o passar do tempo essa alteração na estrutura de capital tende a diminuir.

Against a backdrop of controversy surrounding market timing, this research assesses the merits of a tactical asset allocation strategy for the South African market. The purpose of this research is to assess whether a simple quantitative method - initially presented by Faber (2007) - can successfully reduce volatility and increase returns of selected indices within the Johannesburg Stock Exchange (JSE). The All Share (ALSI), Financial&Industrial (FINI), Resource (RESI), Africa Gold Mining (AGMI), Government Bond (GOVI) and Property Unit Trust (PUTI) indices were examined. A strategy based on a ten-month simple moving average was compared against a buy-and-hold strategy, with results presented for these strategies both excluding and including transaction costs. The strategies were tested over a 50-year period from 1961 to 2010. The results show that superior risk-adjusted returns are possible even in the presence of high transaction costs. Further insights suggest that tactical asset allocation strategies yield improved performances when used in specific sectors and/or asset classes, instead of in consolidated sectors represented by the market.Copyright / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted