市場時機對臺灣公司資本結構的長期影響

Abstract

摘 要 過去許多研究都發現當公司的市值相對高於以往的市值或淨值時，公司會傾向以發行股票的方式進行融資。本研究係在探討資本結構短期間的波動最終究竟會逐漸回到長期目標的水準還是會成為公司歷史融資決策結果之總合。公司因為高股價而大量發行股票之現象，稱為市場時機（market timing)，過去的文獻顯示市場時機的確對公司資本結構有長期且持續的影響，隱含之前經學術研究證實影響資本結構的決定因子都不是那麼重要，所謂的最適資本結構 (optimal capital structure) 也不存在。 本研究旨在檢驗公司的市價淨值比和資本結構之間的關係，發現臺灣樣本公司當股票的融資成本較低時，發行較多的股票，符合市場時機理論的假設。另外，公司的歷史融資決策通常會對公司現有的資本結構具有一定的解釋能力，換句話說，一家公司所觀察到的資本結構跟公司有始以來的市值之間存在著強烈的關係，本研究的實證結果顯示一家公司在上市時所做的融資決策之影響力往往長達至少五年以上，支持前述的論點。最後，本研究對研究結果所提出的結論是，公司現有資本結構是公司採取市場時機來造福現有的投資人並剝削新的投資人之結果，而相關決策對資本決結構所造成的影響往往是中至長期的。

Abstract Numerous prior research have document that firms are more likely to choose equity as the preferred financing method when the market values of their stocks are high, relative to book and past market values, and to repurchase equity when their market values are low. It is important to find out whether these temporary fluctuations in capital structures eventually smooth out and gradually drift to the long-term leverage targets or stay as they are and remain as the cumulative outcome of past attempts to time the equity market. If equity market timing can indeed be observed in the long-run, high persistence of market timing effects would imply that firms do not have a target or optimal leverage, suggesting a diminished role for traditional determinants of capital structure. This paper mainly examines the relationship between leverage ratio and the market-to-book ratio. Consistent with the market timing theory of capital structure, Taiwanese companies issue much more equity when the relative cost of equity capital is low. In addition, the historical within-firm variation in the market-to-book ratio is as important as the current cross-firm variation in explaining current leverage. More specifically, current capital structure is strongly related to historical market values and the effects of the market-to-book ratio prevailing at the IPO on capital structure are very persistent five years after the IPO. The results suggest that current leverage ratio is the aggregated result of past financing decisions and that equity market timing does have at least a medium term effect on capital structure.