本文旨在檢驗亞洲私募基金經理人在亞洲市場中是否具有市場擇時能力。本文以亞洲私募基金之投資與退出交易為樣本，將每筆交易之投資與退出時點分別對應至同一年季之併購交易倍數，並以退出時市場倍數與投資時市場倍數之差衡量整體市場擇時能力。實證結果顯示，亞洲私募基金交易在全樣本層級並未呈現顯著且穩定的整體市場擇時能力，拔靴法模擬結果亦未顯示實際投資與退出時點能持續優於隨機時點選擇。然而，進一步區分投資端擇時與退出端擇時後，本文發現市場擇時效果主要體現在退出端，且迴歸結果亦顯示退出端擇時表現大致高於投資端。整體而言，本文不支持亞洲私募基金經理人具有明確且系統性的低買高賣能力，但顯示其可能較能透過退出窗口的選擇掌握有利市場時點。本文補充既有私募基金市場擇時文獻在亞洲市場的交易層級證據，並有助於理解私募基金市場擇時能力可能主要來自退出決策。

This thesis examines whether Asian private equity fund managers possess market timing ability in Asian markets. Using investment and exit transactions undertaken by Asian private equity funds, this study matches each transaction’s investment and exit dates with M&A transaction multiples in the corresponding year-quarter and measures overall market timing as the difference between the market multiple at exit and that at investment. The empirical results show no significant and persistent evidence of overall market timing ability at the full-sample level, while bootstrap simulations likewise indicate that actual investment and exit timing does not consistently outperform randomly generated timing choices. However, when investment timing and exit timing are examined separately, the results suggest that market timing outcomes are mainly concentrated on the exit side, and the regression analysis further shows that exit timing performance is generally stronger than investment timing performance. Overall, this thesis does not support the view that Asian private equity fund managers possess a clear and systematic ability to buy low and sell high, but it suggests that they may be better able to exploit favorable market conditions through the selection of exit windows. This study contributes transaction-level evidence from Asian markets to the private equity market timing literature and helps clarify that any observed market timing advantage may arise primarily from exit decisions.

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