Baker and Wurgler (2002)提出了市場擇時理論（market timing theory），認為目前我們所觀察到的資本結構乃企業經理人利用資訊不對稱程度較低與股價被高估的時機，對權益市場擇時所累積之結果，但後續引起許多學者認為其使用的擇時代理變數有其它的干擾（noise）。因此，本研究擬以Huang and Ritter (2009)之概念，利用權益成本（cost of equity）較直接的方式來測試市場擇時對資本結構之影響。
與Huang and Ritter (2009)不同的是，本研究估計權益成本的方式乃使用Fama and French三因子模型且透過五年滾動式迴歸估計而來。以1996年至2007年之上市企業為樣本，其結果發現，企業傾向於權益成本高時舉債，於權益成本低時發行權益，因此存在著擇時（timing）行為，但其擇時行為並未對資本結構有長期的影響，顯示台灣上市企業不如Baker and Wurgler (2002)所認為，目前我們所觀察到的資本結構是過去擇時行為所累積的結果，而隱含著台灣上市企業對於資本結構的調整速度很快。

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.

目錄
第一章 緒論………………………………………… 1
第一節 研究動機與目的 ……………………… 1
第二節 研究流程 ……………………………… 3
第三節 論文架構與內容簡介 ………………… 4
第二章 文獻回顧 …………………………………… 5
第一節 最適資本結構理論 …………………… 5
第二節 融資順位理論 ………………………… 9
第三節 市場擇時理論與擇時代理變數 ………12
第三章 研究設計 ……………………………………17
第一節 建立待檢定假說 ………………………17
第二節 研究方法與變數定義 …………………19
第三節 資料來源與樣本選取 …………………30
第四節 樣本資料特性分析 ……………………31
第四章 實證結果分析 ………………………………38
第一節 融資決策與財務赤字 …………………38
第二節 企業對於負債或權益融資之選擇 ……42
第三節 過去融資行為對目前資本結構的影響 44
第五章 結論與建議 …………………………………47
第一節 研究結論 ………………………………47
第二節 研究限制與檢討 ………………………49
第三節 研究貢獻與建議 ………………………51
參考文獻 ……………………………………………52
一、中文文獻 …………………………………52
二、英文文獻 …………………………………52


表次
表3-1：各變數之敘述統計量 ………………………31
表3-2：各自變數間之相關係數矩陣 ………………32
表3-3：面版資料單根檢定 …………………………33
表3-4：歷年市值加權平均權益成本 ………………34
表3-5：歷年資金發行者與資金變動概況 …………36
表4-1：公司財務赤字與負債比例變動之關係 ……40
表4-2：考慮權益成本後財務赤字與負債比例之關
係……………………………………………41
表4-3：企業對於負債或權益融資之選擇 …………43
表4-4：k年前融資行為對目前資本結構之影響 …46


圖次
圖1-1： 研究流程圖 ………………………………… 3
圖3-1：歷年市值加權平均權益成本 ……………… 35
圖3-2：歷年資金變動概況 ………………………… 37
圖4-1：歷年融資順位係數 ………………………… 39

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