本研究主要應用基於總體經驗模態分解法(EEMD)之倒傳遞類神經網路(BPNN)預測兩種不同的非線性時間序列數據，包括政大逐時用電量以及逐日歷史黃金價格。透過EEMD，這兩種資料會分別被拆解為數條具有不同物理意義的本徵模態函數(IMF)，而這讓我們可以將這些IMF視為各種影響資料的重要因子，並且可將拆解過後的IMF放入倒傳遞類神經網路中做訓練。 另外在本文中，我們也採用移動視窗法作為預測過程中的策略，另外也應用內插法和外插法於逐時用電量的預測。內插法主要是用於補點以及讓我們的數據變平滑，外插法則可以在某個範圍內準確預測後續的趨勢，此兩種方法皆對提升預測準確度占有重要的影響。 利用本文的方法，可在預測的結果上得到不錯的準確性，但為了進一步提升精確度，我們利用多次預測的結果加總平均，然後和只做一次預測的結果比較，結果發現多次加總平均後的精確度的確大幅提升，這是因為倒傳遞類神經網路訓練過程中其目標為尋找最小誤差函數的關係所致。 / In this paper, we applied the Ensemble Empirical Mode Decomposition (EEMD) based Back-propagation Neural Network (BPNN) learning paradigm to two different topics for forecasting: the hourly electricity consumption in NCCU and the historical daily gold price. The two data series are both non-linear and non-stationary. By applying EEMD, they were decomposed into a finite, small number of meaningful Intrinsic Mode Functions (IMFs). Depending on the physical meaning of IMFs, they can be regarded as important variables which are input into BPNN for training. We also use moving-window method in the prediction process. In addition, cubic spline interpolation as well as extrapolation as our strategy is applied to electricity consumption forecasting, these two methods are used for smoothing the data and finding local trend to improve accuracy of results. The prediction results using our methods and strategy resulted in good accuracy. However, for further accuracy, we used the ensemble average method, and compared the results with the data produced without applying the ensemble average method. By using the ensemble average, the outcome was more precise with a smaller error, it results from the procedure of finding minimum error function in the BPNN training.

二十一世紀初的經濟不景氣橫掃了全球的DRAM製造產業，讓全世界的DRAM製造產商大賠了120億美金，國內廠商受傷尤其嚴重，甚至發生公司債之債務不履行事件，國內廠商岌岌可危。本論文主要係以案例探討之方式，研究國內DRAM製造廠商之經營模式、產業特性與風險管理問題，尤其在面對國際間產業劇烈之競爭下，國內之DRAM製造商的經營條件比國際大廠更為艱困，例如：金融環境、政府支援程度、生產規模、技術自主問題等與國外廠商皆有一段差距，因此在經營上所面對之風險與其他國家製造商相較，其實更為險峻。 / 本文以案例公司發生公司債之債務不履行事件為切入點，深入地了解一家在本國企業中屬於中大型企業之DRAM製造公司，為何會有債務不履行之情況發生？其近因似為案例公司在財務上過度倚賴公司債為籌資工具，且公司債之到期或轉換公司債之履約期間過於密集，以致產生流動性問題，然而其遠因乃在於DRAM產品價格快速的滑落，廠商缺乏適當的風險管理工具及機制以應付DRAM之價格風險。DRAM產品為成本競爭導向之標準產品，成本競爭來自於生產良率、製程微縮與新建更大尺寸廠房，當每家廠商都競逐於經濟規模以降低成本時產業會變得不穩定而暴起暴落，在產品價格處於高點時，所有廠商將產能利用率(稼動率)推到最高，此時因產能稼動率高，因此平均每單位晶片之生產成本較低，所以廠商獲利頗豐，並可輕易自資本市場取得資金擴充產能；等到市場供過於求，產品價格下跌處於低點時，廠商只好減產以降低損失，在其他條件不變下，此時因產能稼動率低，因此平均每單位晶片之生產成本反而較產品價格好時還要高，產品價格下跌所帶來的巨額損失，對廠商的虧損有乘數效果，此時廠商在資本市場或銀行等間接金融市場都不容易籌措到資金，本文以案例公司所面對之風險管理問題，提供幾個避險之建議，其中包括金融業、政府等應該能夠扮演更積極的角色，創造共贏共榮的局面，並避免類似之事件再發生，此為本文最大之貢獻。

有鑑於全球愈來愈重視企業營運對社區造成的社會、環境和經濟影響，企業的利害關係人除了重視企業的財務績效之外，也愈來愈關心企業是否有善盡其「社會公民」的責任與角色。企業責任報告之目的就是在傳統的財務報表之外，進一步揭露企業的營業活動對於社會及環境所造成的影響。為了使資本市場能更有效地運作，公司管理當局應該要揭露範圍更廣、透明度更高、並有助於投資決策的攸關性資訊，因此，發布社會責任報告的企業有日益增多的趨勢。本研究之目的即在探討三個與企業責任報告有關的議題：(1) 企業的公司治理結構之良窳與管理當局企業責任報告揭露決策的關係；(2) 企業揭露社會責任報告之決策是否會產生股價溢酬；(3)企業社會責任報告揭露決策對企業的事前權益資金成本的影響。在控制樣本的自我選擇偏誤之後，本研究的主要發現有二：第一、公司治理結構愈好的企業愈傾向於揭露企業責任報告，而且也愈可能以專節的形式在該報告中揭露公司治理資訊；第二、從有無揭露企業責任報告的角度來看，本研究發現有揭露的公司均有較高 (低) 的股價 (資金成本)。其次，從揭露的內容做進一步分析之後，本研究發現「環境績效」、「社會績效」與「公司治理」三大類內容的揭露決策均具有價格溢酬。至於「企業承諾」則對公司股價並無顯著影響。最後，企業責任報告揭露程度較高之企業會有較顯著的價格溢酬以及較低的資金成本。 / In light of the increasing emphasis on companies’ social, environmental and economic impacts on the communities, stakeholders are more concerned about whether firms appropriately assume their responsibility as a social citizen. To fulfill stakeholders’ demand of such non-financial information, many companies have recently begun to voluntarily issue the corporate responsibility reports (CRR) as a means to disclose their social, environmental and economic performance and their commitment to do business responsibly. This study intends to answer the following three key questions related to the CRR disclosure: (a) Will companies with stronger corporate governance be more willing to issue CRR? (b) Will the voluntary disclosure of CRR leads to stock price premium? (c) Will companies making voluntary disclosure of CRR have lower ex ante cost of capital? After controlling for the self-selection bias, the empirical results reveal several important findings. First, the stronger the companies’ coporate governance, the more likely the management will issue CRR. Particularly, these companies tend to disclose their comporate governance policy and procedures in a separate section in the CRR. Second, companies disclosing CRR experience significantly higher (lower) stock prices (cost of capital). A further examination shows that three out of four major components reported in the CRR (i.e., environmental performance, social performance, and corporate governance) give rise to significant price premium. The disclosure of business commitment, however, seems to bear little or no information content embedded in the stock price. Finally, companies disclosing more information in their CRR have higher price premium and lower cost of capital than those disclosing less information. The implications of these findings are discussed.

本研究探討歐洲已開發市場之主權信用違約交換與主權債券和無風險利率之債券信用價差之間的動態關係以及價格發現現象。此外亦分析可能影響歐洲已開發市場主權信用違約交換與債券信用價差變動之因子。 實證結果發現信用違約交換有較明顯之價格發現功能，且信用違約交換與債券信用價差間之基準差與信用風險呈現正向關係。而歐洲主權債券因其性質特殊，其使用德國政府公債作無風險利率反而較歐元交換利率為佳。此外我們發現利率變化與股市皆為影響歐洲主權信用價差之因子，而波動率之影響不明顯，原因也可能是歐洲主權債券過去低風險而成為資金避險標的之特殊性質。 / The thesis examines the dynamic relation between CDS and bond spread on developed European sovereign bonds. We also investigate which variables will affect the changes of CDS and bond spreads. We found that price discovery occurs on CDS more often, and the basis between CDS and bond spread has a positive relationship with credit risk. Due to the special characteristic of developed European sovereign bonds, the German sovereign bond yield is a better benchmark for risk-free rate than the Euro swap rate. Also we found that the change of rates and the return on stock market affect the European sovereign credit spread, but the effect of volatility on credit spread is limited. The reason should be the low-risk nature of these bonds in the past, which made them “safe” products for capitals to park.

本研究的目的在探討台灣貨幣市場短天期利率衍生性金融商品（30天期商業本票利率期貨、90天遠期利率協定〈以下簡稱FRA〉）對其即期利率（30天期商業本票利率、90天期商業本票利率）之『價格發現』功能。可由兩方面來檢定利率遠期協定或利率期貨市場之『價格發現』功能：（1）市場效率性：FRA、利率期貨價格可否作為未來到期日時即期利率之不偏預期；（2）FRA、利率期貨與即期利率價格間之領先-落後關係。 選取各交易日的日資料作為觀察值。在研究方法上採用ADF單根檢定、效率性檢定、向量自我相關模型（VAR）、Granger因果關係檢定、誤差正交檢定、共整合檢定、誤差修正模型。 結論結果發現，90天遠期利率協定（FRA）對90天期商業本票利率進行『價格發現』的分析，以「市場效率性檢定」的結果顯示此市場無效率，亦即無『價格發現』，可能是因為買FRA的機構投資人目的不是持有到到期，僅為判斷短期利率走勢方向，可能買個幾天欲賺取差價利潤，所以非為未來現貨價格的不偏預期；以「領先-落後關係分析」，顯示其無『價格發現』，此一結果的可能解釋是由於台灣FRA市場非集中市場公開交易，交易量尚不及現貨市場。因此市場資訊的不透明可能使遠期契約價格不如現貨價格般具代表性。 30天期商業本票利率期貨對30天期商業本票利率進行『價格發現』的分析，以「市場效率性檢定」結果顯示在到期日前適當的期間（24~36天）此市場具有效率性，即存在『價格發現』；而「領先-落後關係分析」結果則無明顯的領先落後，不具有期貨領先現貨的『價格發現』，此部分我們可能提出的解釋為：在30天期商業本票利率期貨剛推出不久，一般市場上的交易者大多是從事避險交易，鮮少進行投機行為，所以不具有短天的領先落後關係，其顯示價格發現是在考慮市場存在風險溢酬下，到期前24~36天的利率期貨價格是未來現貨價格的預期。

在選定樣本期間1975-2009年下，動能操作策略在日本股市無法獲得顯著正報酬。在三個子樣本期間：1975年-1989年、1990年-1999年以及2000年-2009年下也獲得相同結論，顯示日本股市不存在動能效應。 動能操作策略中的贏家、輸家排序，與公司的財務特性有關。整體而言，輸家股票在平均成交量、平均市值上皆小於贏家股票。另外，動能操作策略在日本股市的月報酬並沒有明顯季節性變化。 本論文比較文獻上提出的三種不同動能操作策略：歷史報酬率法、52週高點法與移動平均比率法在日本股市的績效表現。三者在日本股市皆無法獲得顯著報酬。最後，進行動能操作策略的形成期間分析。在持有期間第11個月至第18個月內，日本股市出現價格反轉情形。根據形成期間歷史報酬率高低，採用前17個月至前12個月的六個月累積歷史報酬率作為選股依據，採取反向操作策略，發現日本股市存在價格反轉現象。 / Momentum strategies do not yield significant positive returns in the Japanese stock market in the sample period (1975 to 2009). In the three sub-periods, 1975 to 1989, 1990 to 1999 and 2000 to 2009, it demonstrates the same conclusion. Momentum effect does not exist in the Japanese stock market. This study shows that the ranking order of winners and losers is associated with financial characteristics of firm. Overall, average trading volume and average market value of losers stocks are both smaller than those of winners stocks. In addition, the monthly return of momentum strategies has no significant seasonal pattern in the Japanese stock market. In this study, we compare the performance of three different momentum strategies: JT’s individual stock momentum, the 52-week high and the moving average ratio in the Japanese stock market. All of three strategies in the Japanese stock market cannot receive significant profits. Final section tests the periodical analysis of momentum strategies. When extending the holding period, we can find that Japanese stock market experiences price reversal from the 11th to 18th months. According to the historical return in formation period, we choose six-month accumulated historical return (17 to 12 months prior to portfolio formation) as the stock selection principle. Under this contrarian strategy, we find that the Japanese stock market has phenomenon of price reversal.

房地產市場與銀行放款業務間，因為存在著密不可分之關係，本研究主要目的為釐清貸款利率與貸款成數對住宅價格是否具有顯著影響，進而探討中央銀行之選擇性信用管制政策，對於貸款利率、貸款成數與住宅價格之間，是否具有政策效果，最後再針對不同的需求族群，給予購屋行為選擇之參考或為銀行選擇貸款客群之參考。 本研究透過實證分析發現，貸款成數對於住宅價格為正向顯著影響，但貸款利率對住宅價格，則未呈現顯著影響。而政府之選擇性信用管制措施，在實證結果中，並未達到抑制房價之目的。但是在實施信用管制之後，購屋者對與貸款利率，相對更為敏感。在需求族群的分析上，發現高所得族群相對較重視貸款利率，而中所得與低所得族群，則相對較重視貸款成數。低年齡族群較高年齡族群而言，相對較為重視貸款利率之增加。 對於持續關心貸款利率、成數與住宅價格關聯之研究者，本研究建議後續研究者在資料取得之允許下，可嘗試拉長研究期間，及考慮增加了解政策鬆綁後之影響。在資料完整度許可下，建議可以增加個人屬性變數，並考量都更效應之變數。 / There is an inextricably linkage between the real estate market and the bank lending business. The main purpose of this study is to identify the relationships among mortgage interest rate, loan to value (LTV) ratio, and housing price. Further, we discuss the policy effect among them, due to the central bank's selective credit control policy. Finally, the supply-demand sides, our study hopes to give the choice of purchase behavior on demand groups or the selection of bank on loan-customers In our study, we found that the loan to value ratio has a significant positive effect on the housing price, but the mortgage interest rate has no significant effect on the housing price. In the empirical results, we found that the government's selective credit control policy did not achieve the purpose of curbing housing prices. However, after the implementation of selective credit control policy, the housing-buyer is relatively more sensitive to the mortgage interest rate. In the analysis of demand groups, the study found that high-income groups pay more attention to the mortgage interest rate. However, the middle-income and low-income groups emphasize on loan to value relative to the high-income groups. Finally, the young age groups relatively emphasize on the increase of the mortgage interest rates. For the researchers who continue to care about the relationships among mortgage interest rate, loan to value ratio, and housing price, the study suggests that follow-up researchers, with the permission of the data, may attempt to lengthen the study period and consider increasing the impact of easing the policy. Under the data integrity permission, it is advisable to add personal attribute variables and take into account the variables of the urban renewal effect.

我國公債期貨市場發展至今，市場流動性未能有效提振，本文將針對此問題嘗試從市場結構、實務狀況、相關學理等各方面，探討諸多可能的影響因素，並加以分析研究，找出問題的癥結以提供解決之道。此外，本文亦從問券調查的結果中，歸納出市場參予者對現行公債期貨的看法，希冀能作為台灣期貨交易所未來商品規劃之參考。 / Since the Taiwan government bond futures trade, the market is lack of liquidity during the year. For the problem, this paper considers the layers of market structure, trading convention and relative theories, try to analysis the causes of less liquidity and resolve the liquidity problem. On the other hand, by making the survey this paper sums up the opinions from the participants of the bond futures market. This paper, which could help the Taiwan Futures Exchange in designing other interest rate derivatives, will wish to give some useful reference.

在全球持續電子化的過程中，台灣一路扮演著落實有效製造與實現設計的推手，無論從主機板、被動元件、面板、晶片設計、晶圓製造以及封裝甚至高精密組裝無所不包，在如此資本密集產業，如何操作才能達到供需平衡，為整體產業經濟創造出良性的競爭平台，避免惡性競爭，就成了不可輕忽的課題。 本文以晶圓產業為探討對象。全球產能平均利用率多年來總維持於中檔 (88%)， 且平均銷售單價只能緩降而無強勢反彈，近年企業無不減少資本支出來度過低潮，整合元件製造廠(IDM)相繼喊出工廠資產輕化(fab-lite)的營運策略，這時我們的命題即是：要不要繼續投資？如何調整價值鏈？ 本研究中，我們會先檢視目前市場對半導體成長預測的準確度，再經由產業價值活動代表性指標回歸分析法對相關參數做一整合之解析，對晶圓需求量與銷售價建立配適之模型，找出先行指標來達到預測，並定義上下限以供快速比對分析，最後再根據分析結果提出可能之產業趨勢議題。 / This thesis analyzes the semiconductor industry growth worldwide. The leading index via regressions has been established to achieve a reliable forecast on worldwide ASP, wafer demand and revenue. In the long run, we expect the semiconductor demand will continue to grow at CAGR 8% (compound annual growth rate) and display less extreme cycles than past decade. However, revenue’s CAGR might be diluted to around 5%, lower than demand’s growth. Moreover, it might go down to zero-growth for some times since the ASP still slightly trend down before emerging market demand really expanded. Continuous outsourcing is one possible solution for IDM to be fab-lite, since fab’s fix charge is billion- base that needs high utilization to maintain break-even operation. But what is the solution for foundry side to avoid ASP erosion all the way down? Our analysis identifies a need for executive managers to well predict the demand on capital expenditure when making decision.

生物藥品是很多先前具致命性和難以治療的疾病領域，像是癌症、自體免疫疾病及神經系統疾病內最被看好的現行新穎療法。近年來，隨著探索出突破性小分子藥物愈趨困難，加上生物藥品在新藥研發過程中有較低的折損率與較高的成功產出率，使得越來越多藥廠紛紛轉向開發利潤豐厚的大分子生物產品。此外許多暢銷生物藥品專利期即將屆至，從而帶來對相對價廉、通常被稱為原廠生物藥品仿製版本之「生物相似性藥品」的龐大治療需求。然而，由於生物藥品和小分子藥物在分子大小及結構複雜程度方面存在截然不同的特性與本質差異，因此建立一套專屬於生物相似性藥品的上市許可規範勢在必行。 作為於2010年3月23日正式簽署公告之「患者保護及可負擔照護法案」中的一部分，美國國會通過了「生物藥品價格競爭與創新法」(BPCIA)。BPCIA的生效被視為製藥產業最重要的變革之一，旨在藉由競爭達到維護公眾健康、促進生物技術創新和控制醫療支出之目的，同時取得適當之三方利益平衡。BPCIA即以Hatch-Waxman法案下的化學學名藥核准途徑為模版，創建生物藥品簡易上市申請程序。 本論文的結構主要區分為兩大部分進行研究，其一提供了製藥產業概觀與全球生物藥品市場的發展趨勢，其二則聚焦在BPCIA新建立的核准前專利爭端解決程序下，生物相似性藥品面臨「專利舞蹈」時的法律評估及智慧財產權管理。 論文的第一部分係根據從各種市場研究報告收集、整理而成的統計數據，以系統性的方式深入介紹全球製藥產業，並分析生物相似性藥品的市場機會和潛在隱憂。另外此部分亦詳細說明了生物相似性藥品的生理活性、知識斷層與製程依賴性之間的關係、分析技術對生物產品做完整定性的不足以及生物相似性藥品的開發流程。 論文的第二部分則以討論BPCIA的重要條文規定為主，包括專利舞蹈制度和上市審查要求，諸如生物相似性之證明、可互換性之認定與適應症外推。其他相關議題，包含參考藥品的法定專屬權保護期長度、生物相似性藥品自動替換之立法化、專利資訊交換機制的可能濫用及原廠與生物相似藥廠達成反競爭協議之風險皆會予以進一步探討。除此之外，本部分也介紹了歐盟和台灣生物相似性藥品上市法規的沿革與現況。 本文試圖透過對生物相似性藥品的全方位綜合研究成果，提出可行的市場進入方案及善用專利和營業祕密優勢之智慧財產權保護佈局策略。 / Biologics represent many of the most promising novel therapies for previously deadly and intractable disease areas like cancer, autoimmune disease and neurological disorders. As discovery of breakthrough small-molecule drugs becomes more difficult, together with lower attrition rate and higher productivity of biologics in the new drug research and development (R＆D) process, pharmaceutical companies are increasingly turning to develop lucrative large-molecule biological products in recent years. In addition, the patents on numerous blockbuster biologics treatments will soon expire, bringing soaring demand for relatively inexpensive generic versions of originator biologics, generally known as “biosimilars.” However, due to contrasting characteristics and natural differences in terms of size and structural complexity between biologics and small-molecule drugs, it is necessary to create a regulatory pathway solely for biosimilars. As part of the Patient Protection and Affordable Care Act which was officially signed into law on March 23, 2010, the U.S. Congress passed the Biologics Price Competition and Innovation Act (BPCIA). The BPCIA is considered one of the more significant overhauls to the pharmaceutical industry, aiming to strike a proper balance among securing public interests, stimulating biotechnology innovation and controlling healthcare expenditure through competition. It established an abbreviated approval pathway for biosimilars modeled closely after the Hatch-Waxman Act’s approval process for generic chemical drugs. The structure of this thesis is divided into two major parts, of which the first part provides an overview of pharmaceutical industry and trends in the global biologics market, whereas the second part focuses on the legal assessment and intellectual property management of biosimilars under BPCIA’s new pre-approval patent dispute resolution process, the “patent dance”. The first part starts from the in-depth systematic introduction of global pharmaceutical industry based on statistics collected from various market research reports, then analyzes the market opportunities and potential concerns for biosimilars. Moreover, this part illustrates the physiological properties, the relationship between “knowledge gap”and manufacturing path-dependence, the insufficieny of analytical techniques in fully characterizing biological products, and the development process of biosimilars in details. The second part discusses key provisions of the BPCIA, including the patent dance procedures and regulatory requirements, such as demonstrating biosimilarity, interchangeability and extrapolation. Other relevant issues include the length of statutory exclusivities granted to reference products, legislations on biosimilar automatic substitution, potential abuses of patent information exchange mechanism and risks of reaching anti-competitive agreements between pioneers and biosimilar manufacturers will be further discussed. Besides, this part describes the timeline and status quo of EU and Taiwan’s biosimilar approval regulations. With comprehensive study on multiple aspects of biosimilars, this article tries to propose feasible market access plans and robust intellectual property protection strategies capitalizing upon patents and trade secrets.