公司面臨資金需求而選擇由發行新股的方式辦理增資後，投資人將以低於市價的價格申購，本文旨在探討現金增資股票折價的影響因子，使用最小平方法及一般動差法評估，以季資料做為實證分析，樣本期間為2001年1月1日起2009年12月31日止，共688個樣本點，本研究結果如下：(一)平均折價幅度為1.21美元，股價在宣告日當天，宣告價格和當日股價的報酬率約為5.6%，從文獻資料顯示1977年開始，現金增資的折價幅度與時俱增。(二)宣告日前一天的股價、保留盈餘、每股報酬、每股資本報酬、折舊以及發行六項變數具有統計上的顯著效果。 / When a company has money deficit, it may raises capital by issuing stocks. Investors buy those stocks with lower price. This paper investigates NYSE and Nasdaq stocks’ quarterly data from Jan.1, 2001 to Dec. 31, 2009. We use general moment method (GMM) to estimate the equation. The empirical results suggest: (1) The stock discount rate is increasing over time compared to prior researches. The average discount rate is 5.6%. (2) The stock price prior to claim day, earnings retention rate, return on average assets, return on average equity, depreciation and issue amount have statistically significant influences.

本文研究 1996 至2001 年間，894 家美國上市公司之現金增資活動及現金增資執行率之影響因子。除了重要財務會計指標，如：每股盈餘、本益比與市值之外，本研究也將增資期間的股價波動程度納入迴歸模型中。又，考量到變數間的同質性與內生性問題，本研究採用一般動差估計法估計模型參數。結果顯示，增資規模、流通在外股數的變化與公司市值對於現金增資執行率具有統計上顯著的影響力。 / This paper investigates the 894 seasoned equity offerings filed by American listed corporations from 1996 to 2001 in an attempt to identify the key determinants that may affect the execution rate of seasoned equity offerings. The impacts of share price fluctuations during offering periods and other accounting characters are also taken into consideration. Apart from the ordinary least square method, the general method of moments is applied in order to account for heteroskedasticity and endogeneity problems. The results show that total offer amount, changes in shares outstanding and market capitalization have a significant impact on determining the execution rates of seasoned equity offering.

隨著金融市場的開放，越來越多的金融商品被開發出來以迎合市場參予者的需求，利率衍生性金融商品是一種以利率為標的的一種新金融商品，而這種新金融商品的交易量也是相當的可觀。我們在設計金融商品的第一步就是要去定價，在現實社會中利率是隨機波動的而不是像在B-S的選擇權公式中是固定的。隨機利率模型的用途就是在描述利率隨機波動的行為，進而對利率衍生性金融商品定價。本文嘗試以隨機利率模型估計台灣公債市場的殖利率曲線，而殖利率曲線的建立對於固定收益證券及其衍生性金融商品的定價是很重要的。在台灣大部分的利率模型的研究都是利用模擬的方式做比較，這也許是因為資料取得上的問題，本文利用CKLS(1992)所提出的方式以GMM(Generalized Method of Moment)的估計方法，利用隨機利率模型估計出台灣公債市場的殖利率曲線。本文中將三種隨機利率模型做比較他們分別為: Vasicek model (Vasicek 1977),、隨機均數的Vasicek 模型 (BDFS 1998) ，以及隨機均數與隨機波動度的Vasicek 模型 (Chen,Lin 1996). 後面兩個模型是首次出現在台灣的研究文獻中。在本文的附錄中將提出如何利用偏微分方程式(PDE)的方法求解出這三個模型的零息債券價格的封閉解(Closed-Form Solution)。文中利用台灣商業本票的價格當作零息債券價格的近似值，再以RMSE (Root mean squared Price Prediction Error)作為利率模型配適公債市場價格能力的指標。本文的主要貢獻在於嘗試以隨機利率模型估計出台灣公債市場的殖利率曲線，以及介紹了兩種首次在台灣研究文獻出現的利率模型，並且詳細推導其債券價格的封閉解，這對於想要建構一個新的隨機利率模型的研究人員而言，這是一個相當好的一個練習。 / With the growth in the area of financial engineering, more and more financial products are designed to meet demands of the market participants. Interest rate derivatives are those instruments whose values depend on interest rate changes. These derivatives form a huge market worth several trillions of dollars. The first step to design or develop a new financial product is pricing. In the real world interest rate is not a constant as in the B-S option instead it changes over time. Stochastic interest rate models are used for capturing the volatile behavior of interest rate and valuing interest rate derivatives. Appropriate models are necessary to value these instruments. Here we want to use stochastic interest rate models to construct the yield curve of Taiwan Government Bond (TGB) market. It is important to construct yield curve for pricing some financial instruments such as interest rate derivatives and fixed income securities. 　In Taiwan Although most of the research surrounding interest rate models is intended towards studying their usefulness in valuing and hedging complex interest rate derivatives by simulation. But just a few papers focus on empirical study. Maybe this is due to the problems for data collection. In this paper we want to use stochastic interest models to construct the yield curve of Taiwan’s Government Bond market. The estimation method that we use in this paper is GMM (Generalized Method of Moment) followed CKLS (1992). I introduce three different interest rate model, Vasicek model (Vasicek 1977), Vasicek with stochastic mean model (BDFS 1998) and Vasicek with stochastic mean and stochastic volatility model (Chen,Lin 1996). The last two models first appear in Taiwan’s research. In the Chapter 3, I will introduce these models in detail and in the appendix of my thesis I will show how to use PDE approach to derive each model’s zero coupon bond price close-form solution. In this paper we regard Taiwan CP (cmmercial Paper) rates as a proxy of short rate to estimate the parameters of each model. Finally we use these models to construct the yield curve of Taiwan Government Bonds market and to tell which model has the best fitting bond prices performance. Our metric of performance for these models is RMSE (Root mean squared Price Prediction Error). The main contribution of this study is to construct the yield curve of TGB market and it is useful to price derivatives and fixed income securities and I introduce two stochastic interest rates models, which first appear in Taiwan’s research. I also show how to solve the PDE for a bond price and it is a useful practice for someone who wants to construct his/her own model.