재무관리: Market timing & Capital structure 관련이론 정리 리포트 (Journal of Finance: Malcolm Baker & Jeffrey Wurgler 이론 중심으로)

소개

Market timing & Capital structure 관련이론 정리 리포트입니다. Journal of Finance에 실린 Malcolm Baker & Jeffrey Wurgler 의 이론을 중심으로, 기업의 Market timing을 분석하고, 한국 전문가들의 Market timing이 자본구조에 미치는 영향에 관한 연구의 실증사례를 들어 검증하고 있으며 전통적인 이론들에 대해 정리하였습니다.
MBA 재무관리(Financial management) 과목에서 A+을 받은 리포트이니 많은 참고 바랍니다^^

목차

Introduction
Capital structure in the class
Conclusion
Case summary (regression)
Case study of Korea
Traditional theories of capital structure
Issues

본문내용

Capital structure in the class
Optimal Capital Structure
The capital structure is the mix of debt and common equity with
which the firm intends to raise capital.
Optimal capital structure (mix of debt and common equity) is
where P0 is maximized.
Trades off higher E(ROE) and EPS against higher risk. The taxrelated
benefits of leverage are exactly offset by the debt’s riskrelated
costs.

Conclusion

Firms are more likely to issue equity when their market values
are high, relative to book and past market values, and to
repurchase equity when their market values are low.

Evidences
(1) Analyses of actual financing decisions show
(2) Long-run stock returns
(3) Firms tend to issue equity at times when investors are rather too
enthusiastic about earnings prospects.
(4) Managers admit to market timing in anonymous surveys

Data and Summary Statistics (1)
Main sample : COMPUSTAT* firms to be determined the IPO date.
1968 ~1999 COMPUSTAT firms and IPO dates from Jay and SDC
By Jay Ritter for 1968~1995
By SDC(Security Data Company) for 1970~1998
Excluding the below companies
Financial firm with SIC code : 6000~6999
min. Book value of asset : below US$10M
Firms without complete data on total assets : IPO year and the firm exits
COMPUSTAT
Individual firm : year outliers for capital structure and MB ratio
Study IPO time for the sample
First fiscal year end after IPO : 2,839 observations
IPO +1 : 2,652 observations
IPO +10 : 715 observations

한국기업대상 Market Timing 실증 분석 #1
Market Timing이 자본구조에 미치는 영향에관한연구
김태혁(부산대 경영학과교수)
정대성(부산대 경영학과박사과정)
Baker & Wurgler가 제시한 Market Timing 변수인 External Finance Weighted Average Market-to-Book ratios(EFWAMB) 사용,
국내 자본시장에 적용되는지 검증하였음
또한, Market Timing이 유가증권시장(KOSPI)과 코스닥시장(KOSDAQ)에 상장된 기업의자본구조에 미치는영향에 차이가 있는지연구

참고자료

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