台灣ODM網路通訊業的規模從2000年開始急速成長，以正文科技為例，2000年年營收為5億新台幣，在2004年已經達到123億新台幣，年平均成長率達到125%，然而接下來四年的平均年營收成長率僅約15%。近年來電信業者不斷地將其所佈建的網路系統深入一般終端消費者，使得終端零售市場逐漸萎縮，迫使台灣ODM網路通訊業必須轉進電信市場。電信市場是以國家為單位，且在部分國家針對進口的電子商品課徵較高的關稅，藉以保護該國國內的廠商，使得台灣業者處於相對不利的態勢。本研究先針對電信市場進行分析，找出對進口電子商品課徵高額關稅且較具規模的電信市場，並以此探討台灣ODM網路通信公司面對這樣的市場，所應採取的策略，是透過內部成長，直接在巴西當地設立加工廠，還是透過外部併購，併購當地廠商，藉以取得當地生產的能力。本研究選擇的廠商為正文科技，選擇的市場是巴西，藉由法律可行性的分析，探討國內及巴西當地法律對於內部成長與外部併購兩種可行方案的差異；藉由財務可行性的分析，依據公司自由現金流量(FCFF)的觀念，透過DePamphilis (2009)的Discounted Cash Flow Valuation (DCF)定價模型，分別計算正文科技在做出兩種可行方案決策後的市場評估價值。研究結果建議正文科技應以外部併購的方式，透過併購當地企業，進入該市場。 / The Taiwan ODM network companies took a growth rapidly since 2000. The annual revenue of Gemtek Technical Co. in 2000 is only 500 millions NTD, and 12.3 billions NTD in 2004.The average growth rate of annual revenue was up to 125% during these 4 years. However, in the next 4 years it was only around 15%. During the previous years, the telecom service providers went deeper and closer to the end user market and coused the shrinking in retail market.This also forces the Taiwan ODM network companies to consider the telecom market. However, the telecom market is country oriented, and in some countries, they would charge higher custom rate to protect their local industry.First of all, this research will figure out what are the markets with this behavior and what is the solution to enter these markets, by building a factory in the local side or through M&A to get the production capability.This research takes Gemtek Co. and Brasil as an example to discuss in both laws and financial points of view. From the laws point of view, try to figure out the difference the two possibile solutions.From the finance point of view, according to the FCFF concept and the DCF model by DePamphilis (2009), calculate the price of Gemtek company after making the decision with the two solutions. According to the result, it should go in M&A way.

保全業近年來在消費者認同度上升以及政府輔導下，以快速的成長達到目前的成熟市場，進入了完全競爭的市場結構。但保全業的種類繁多，各類經營模式與獲利方式皆不同，可惜多數的業者多以削價競爭為期主要競爭策略。 目前保全業者以系統保全與駐警保全為主要兩大服務項目，因其經營特性與方向大不相同，故業者多單獨經營單項業務。而系統保全業者具有資本集中、技術密集及市場應用領域廣泛的特性；其經營特殊性在於初期必須投入龐大的資金，待達到經濟規模後，獲利的成長比率將遠高於營業額的成長比率，其潛在價值在於所擁有的客戶數。所以系統保全業者在經營上所需考量的角度與變化更多，頗值得討論；又系統保全另一特色為區域精耕，大台北地區又為各家保全業者必爭之地，故本研究就鎖定大台北地區的系統保全業者為研究範疇。 目前市場現況因陷入降價促銷的競爭策略，導致公司獲利大幅下降，只能變相降低人力成本，致使服務品質不佳，人員流動過大的惡性循環中。所以本研究將利用在財務會計領域中最常見的損益兩平計算概念，以政府法規規定的最低資本額設算，輔以實務上的經營現況假設，加以分析、整理後，尋找出在競爭市場中的合理價格區間。 本研究在找出結論後，希望能提供以下建議供業者與相關政府單位參考： 1.定價策略不宜大幅偏離常軌。 2.應合理合法提供人員薪資與福利，壓低人力成本創造盈餘容易造成人員流動過大 與違法之嫌。 3.獲利若遠低於市場報酬率時，應考量資金妥善配置。 4.應提昇消費者對合理保全價格的認同。 5.法規應更詳細區分系統保全業者所必須擔負的責任義務。 / In recent years, the security services industry has been rapidly growing and become mature and keenly competitive through the consumers’ highly demand and supports from the government. Due to the huge variety of the of security services category, the model of business operations and strategy of margins are also different accordingly. In such circumstances, unfortunately, price reduction becomes one of the main strategies to win the competitiveness for most of the security services company in the market. In the current market, there are two major services category which are system security and on-site guardians. In terms of the nature of the services for these two categories are varied, the security services company basically operate only one single category. The system security requires huge capital investment in the initial stage to establish the application system and its growth ratio of profitability will become higher than the growth ratio of sales revenue after its client size reaches certain economic scale. The characteristics of system security are obviously based upon the intensiveness of capital, high density of technology and wide scale of application. The potential value of system security depends upon the number of clients which company possess. Therefore, the system security company has to consider more and put more efforts on the complexity of business operations, and which is one the key subject being studied. This research and study will be focused on the category of system security and Taipei district based upon two major reasons: one is the degree of the penetration of system security in the market and the other is Taipei is most competitive district in this industry. As mentioned, price reduction becomes the key strategy to gain the market share but this also results in the drastic dropping of profitability which forces the company to reduce the personnel cost. Such kind of cost reduction approaches also bring out the worse service quality and high personnel turnover. Thus the purpose of this study is to figure out the most feasible and applicable pricing strategy in such competitive market by using the general accounting concept of break-even methodology under the considerations of minimum regulatory capital requirement and the current operational practice. I hope that the findings of this study can provide the following suggestions to the industry and government: 1.The pricing strategy should not far deviate from the market norms。 2.The company should offer reasonable and legitimate compensation package to the employees. To make profits by lower down the personnel costs will cause the high turnover rate and bear the risks of violating the labor law. 3.The capital allocation must be carefully reviewed and allocated if the net profit is much lower than returns. 4.It is necessary to promote the concept of reasonable pricing to gain the acceptance of consumers. 5.There should be clear and crystal regulations to stipulate the liability and obligation of system security company.

隨著電信技術的展進，台灣行動通訊已邁入3G，新進入者如威寶及亞太電信陸續加入產業以及94年10月台灣正式啟動行動電話號碼可攜服務後，繼過去2G業者激烈之競爭併購後，電信市場已進入到完全競爭之階段。但先進入者會有進入之優勢，相較於其他產業新進入者，電信產業之新進入門檻難度則是再度加高，新進電信業者如何進入市場與其相抗衡 ?為何這些新進業者先後都採用「網內互打免費」之定價策略做為其滲透市場及排除進入障礙以達成擴展用戶數之目標? 而此策略是否是最有效的競爭策略?對於既有業者、消費者以及行動市場之版圖之影響為何? 本研究就個案公司推出此策略後財務、業務變動、對既有競爭業者之影響、通路商及消費者之問卷調查，研究發現如下: 不是每間電信業者都適用「網內互打免費」之定價，但對於未達經濟規模之新進業者而言，卻是最佳及快速進入門檻之策略，也是對抗已擁有龐大用戶之既有業競爭者之最佳武器。 就個案公司在財務的構面與對既有競爭業者之影響比較下，發現個案公司採用此定價策略後，用戶數及營運狀況確實獲得大幅成長，而更早採用此策略之新業者亞太電信則早已提前損益轉正。而三大既有業者，也因此發生用戶轉移之現象，為因應客戶之流失紛紛推出類似但有限制之定價策略，形成電信市場最激烈之價格戰。另外，對於消費者而言，本研究問卷發現網內互打免費之電信費率價格可吸引七成以上之受訪者申辦以及對於電信業者間之用戶流動可產生高移轉力，由此顯示此策略確實為一有效之競爭策略，並且打破了過去行動電信業者所設計複雜、不合宜之資費制度，也是消費者所期望之資費結構定價，對大眾社會是一項很好之福利。 / The advancement of the telecommunication technology has propelled the Taiwanese mobile telecommunication into the 3G era. With new entrants such as VIBO Telecom and Asia Pacific Telecom joining industry, the 2005 Oct. implementation of number portability service, and the intense merger and acquisition activities among 2G service providers, the telecommunication market has become highly competitive. The incumbents in the industry will have advantages over the new entrants, and the entry barrier has become higher. How can a new entrant compete with the incumbents? Why did the new entrants use “On-Net Free Call” service plan to penetrate the market, to off-set the entry barrier, and to increase the number of users? Is this an effective strategy? How will this strategy affect the current service providers, consumers and how will it affect the market share? This research has studied the financial and sales impact of the company which has implemented the “On-Net Free Call” strategy. The questionnaire survey conducted with existing competitors, sale channels and consumers, has found that even though not every telecommunication companies is suited to apply the “On-Net Free Call” pricing strategy, it is the best strategy that can give the new entrants quickest way in to this industry. And it is also the best weapon against competitors who already have a large subscriber base. We compare the financial structure of the company implementing such price strategy with other competitors. We found the company using such pricing strategy has seen its customer base and revenue grown tremendously. Asia Pacific Telecom, which uses this strategy early, has already turned loss into profit. This strategy has caused customers to switch their operators and pushed other competitors to implement such strategy with limitation. As the result the intensive price competition in the telecommunication market has begun.Moreover, this study finds that the pricing of “On-Net Free Call” can attract 70% of the survey participants to apply and therefore increase the rate of transferring customer among telecommunication companies. We conclude that this strategy is an effective one and it also breaks away from the complex and the incompatible pricing structure. And most importantly, it creates a pricing scheme that is closer to consumer’s expectation and it is also a good welfare for the mass population and society.

第一章: 緒論。對本論文的研究動機、目的、範圍與限制作大略說明。 第二章: 資本市場理論與資本財定價模式。本章先介紹組群理論與資本市場理論, 並 導出資本財定價模式。接著探討假設逐一放寬對該模式的影響。最後簡介各學者對此 模式所做的實証研究。 第三章: 資本支出決測與風險分析。敘述資本投資的意義、特質、重要性與影響資本 支出決策的因素。隨後將風險觀念引入資本支出決策, 並分析做資本支出決策時應考 慮的因素, 包括該計劃的風險、各計劃的相互影響, 以及受經濟情況變動的影響等。 第四章: 資本投資價值的衡量。分兩方面衡量資本投資價值。一為傳統上, 亦即不考 慮風險與不確定性情況下評估決策的方法; 包括收回期限法、淨現值法、內部報酬法 。另一為考慮調整風險的衡量方法; 包括確定等值法, 以GAPM調整風險的方法及敏感 度分析。但重點在於GAPM在資本支出決策上的應用。並探討其應用上所遇到的困擾。 第五章: 結論。

權益成本估計的不確定性將嚴重影響企業價值評估的準確性，因此本文檢視CAPM單一因子模型及Fama and French三因子模型，依1982年7月至2007年12月之台灣二十八類產業為研究樣本，以傳統的所有樣本期間迴歸（Full-period Regression）與滾動式迴歸（Rolling Regression）兩種不同估計方式，發現CAPM及Fama and French三因子模型之風險係數隨著時間改變的平均真實隱含標準差均高達0.18以上。比較兩模型在產業權益成本預測能力的比較上，Fama and French三因子模型不論預測近期或遠期的表現均優於CAPM外，預測的期間越久，兩模型預測能力差距將越小，其預測能力也越接近。在我們進一步利用兩種定價模式估計產業權益成本發現，Fama and French三因子模型明顯降低了產業權益成本的波動狀況，並且CAPM與Fama and French三因子模型使用五年滾動式迴歸模型估計的差異大於使用完整樣本期間估計的方式。有鑑於此，當我們選擇資產定價模型做為資產評價上之權益成本應用時，在預測短期間的權益成本估計上，Fama and French三因子模型以長期間的完整歷史時間估計仍為有較佳方式。然而在預測遠期的權益成本估計時，CAPM仍為不錯的估算方式。

本篇研究利用期貨與買賣權平價模式，考慮持有成本後，針對每一筆樣本，建立其無套利區間的上下限，並將投資人分類為自然人與法人，分析兩者在SIMEX台股期貨與期貨選擇權市場中，使用持有到期買進與賣空套利策略之獲利情形，以分析SIMEX台股指數期貨與期貨選擇權市場兩者間之日內定價效率性。研究期間從摩根台股指數期貨在1997年1月到1998年12月底為止共兩年期間，利用事後檢定(假設馬上成交)與事前檢定(假設交易有時間落差)兩種方法，將期貨與選擇權買賣權三種商品在1分鐘以內配合者，作為研究之樣本。結論如下： 1. 在交易成本方面，一般來說，自然人交易成本在100到140美元之間，而法人則在10到50美元之間，兩者之差約在90美元。 2. 在事後檢定中，在買進避險套利策略共有1,293個樣本，賣空避險套利策略有1,323個樣本，平均結果皆有損失，只有少數樣本考慮交易成本後能獲得利潤，平均值T檢定皆為顯著小於0，證明法人與自然人在市場上無法套利。在市場日內定價效率性方面，買進與賣出策略獲利平均值均顯著小於0，且所有時段的T檢定值均落於拒絕區內，平均值為顯著小於0，所以對自然人與法人而言，SIMEX台股指數期貨與台股指數期貨選擇權間的定價具有效率性。 3. 在事前檢定方面，在買進策略有77筆、賣出策略有81筆成交資料，自然人與法人獲利的樣本比例有明顯增加，大多數樣本的時間落差在30分鐘以上。檢定結果平均值皆為負值，自然人與法人亦無套利利潤，也支持市場日內定價具有效率性。 4. 迴歸分析中，事前檢定結果支持市場效率性的假設，期貨與買賣權平價模式在法人與自然人均有良好的解釋力，因此在套利活動上，運用此平價理論，結合市場交易成本之影響，應可做為套利策略是否進場套利的判斷準則。 5. 事後檢定樣本中，賣空套利策略有較佳的績效表現，相反的，事前檢定中，買進套利策略有較佳的表現。 6. 在時間落差影響方面，獲利利潤並無明顯隨著落差時間增加而減少的現象。 7. 考慮匯率變動因素之後，事後與事前檢定的樣本中，原本套利損失，經過匯率兌換後，可能變為獲利，但是在事前檢定賣空策略中，有2個樣本原先有套利利潤，經匯率兌換後，反變為損失的情況，可見匯率因素亦相當重要。 第一章、緒論 1 第一節、研究背景與動機 1 第二節、研究範圍 4 第三節、研究目的 5 第四節、研究假設與限制 6 第二章、文獻探討 9 第一節、新加坡SIMEX摩根台股指數期貨與期貨選擇權市場簡介 9 第二節、國外相關文獻 17 第三節、國內相關文獻 27 第三章、研究方法 31 第一節、套利理論與市場效率性 31 第二節、無套利區間與交易成本之估算方式 33 第三節、事後(EX POST)與事前(EX ANTE)檢定 39 第四節、資料收集 44 第五節、研究架構 45 第四章、實證結果 47 第一節、交易成本與無套利區間之估算 47 第二節、事後檢定 52 第三節、事前檢定EX-ANTE TEST 72 第四節、匯率變動對獲利之影響 82 第五章、結論與建議 86 第一節、結論 86 第二節、建議 89 參考文獻 90

本文嘗試放寬 Black-Scholes 模型中對股價分配所做的假設，並利用風險中立評價法的觀念，推導出另一具有封閉解的評價公式。不同於以往的是，本文並不採取以過去的股票價格來做為模型中參數估計的依據，而是直接使用認購權證的市場價格去估計模型參數，希冀從權證價格中淬取出投資人心中所認為的股價分配，並進一步做為預測以後權證價格的資訊。 經過本文分別採取個股型的認購權證--大華 01 與類股型的認購權證-寶來 02 做為實證的資料，以評估新模型與 Black-Scholes 模型的表現後發現新模型在認購權證價格的解釋與預測上均有優於 Black-Sholes 模型的表現；且以大華 01 與寶來 02 的標的股票而言，其機率分配應該不符合對數常態分配的假設，在右尾處有胖尾的現象；以及將新模型使用在類股型的認購權證比將其使用在個股型認購權證於認購權證的價格解釋與預測尚可獲得較大的改善。 / The study tries to release the stock price distribution in Black-Scholes model, and use the risk-neutral valuation technique to construct another pricing formula which also has closed form. Then we use the warrants' market price to estimate the parameters in order to recovering the information contained in warrant price about market participant's perceptions of the distribution of the underlying asset. We choose two warrants' data to gauge our model. One is cathay01, another is polaris 02. In the application to the warrant market, we find that the new formula has a better performance than the Black-Scholes model, and the price distributions of the two warrants' underlining assets are not log-normal distribution, they both have a flat right-tail. We also find that using the new formula in polaris02 can have a better improvement in interpretation or forecasting warrants' price than using in chthay01.

為了瞭解是否由於評價制度的累退偏差而使我國財產稅累退現象更為嚴重，本文利用Paglin and Fogarty (1972)發展之方法來測度財產稅垂直不公平和水平不公平。其假設完全公平情況下，評定價值對市場價格應是一致性，即評定價值與市場價格要維持一定百分比；當評定價值與市場價格未保持一定比例而導致垂直不公平時，其增減可用1-(b_e/b_i)來衡量，而S_y/AV乃估計水平不公平係數，即市場價格與評定價值未完全相關性，使相同價值之財產卻支付不同稅負。因此，便可利用上述評定價值與市場價格的離散程度來衡量不公平情形。 　　有關實證資料係以民國79年至82年臺北市大安區實際買賣資料為基礎，並配合稅捐機關的課稅資料做迴歸分析。實證結果發現財產市價愈高者，其評定價值佔市價之比例反而比市價較低者之財產為低，以至隨著市價上升，有效稅率反而下降。並且同樣價值的財產支付不同稅負的水平不公平情形相當嚴重。再利用法院拍賣價格來衡量房屋類型和區位其評價／市價之差異，結果新興郊區和一樓其比值最低，顯示往往因地區及房屋類型之不同而有不同評價標準。 　　從以上分析結果顯見評價與市價脫節之事實，是造成我國財產稅不公平原因之一，若是冀望財產稅能發揮平衡社會財富的功能，應儘速建立一套完整、合理的評價制度，使財產稅的稅基合理化，以促進稅制之公平性。

不動產法拍屋市場中，是否受到總體經濟環境變化或金融風暴來襲，而影響拍定價相對於第一拍底價之比率？是本研究所探討的課題。除上述總體經濟因素外，是否尚有其他因素如法拍屋個別屬性影響拍定價對底價比？本文藉由上述各項因素存在與否，探討法拍屋拍定價對底價比和各變數間之關係，得以建立法拍屋拍定價對底價比之變數模型。 本研究以特徵價格理論探討影響台北市士林區法拍屋拍定價對底價比之變數，並以迴歸分析方法分析影響法拍屋拍定價對底價比之因素，及其影響程度，並藉此探討當市場發生重大金融事件或總體經濟環境變化時，是否影響法拍屋之拍定價對底價比。實證結果發現：影響法拍屋拍定價對底價比之顯著變數如下： 一、法拍屋個別屬性：是否為一樓、競標數呈正相關，屋齡呈先負後正曲線關係，拍定次數呈負相關。 二、總體經濟變數：拍定前月放款利率、拍定前季是否經濟衰退或金融風暴呈負相關。 本文探討影響法拍屋拍定價對底價比之變數，研究結果期能提供地方法院訂定第一拍底價及酌減各拍次底價之參考、投標人決定投標價及選擇最佳進場時機之參考、地方法院委託之不動產鑑定人於法拍屋估價時，價格調整幅度權衡的參考、以及債權人決定是否執行及續拍之參考。 / Real estate markets are affected by macro economic factors, regional factors and individual factors. As there is recession in economy growth, the number of foreclosed properties increased. How are the prices of foreclosed properties influenced by the aforementioned factors? This study intends to explore factors affecting the ratio of the final transaction price to the listed base price in the real estate auction markets through the Hedonic Price Model. Results show that the first-floor effect, number of bidders and age of the buildings are positively related to the ratio of the final transaction price to the listed base price in the real estate auction markets. Numbers of auctions, interest rates, and the occurrence of the financial crisis in the previous season are negatively related to the ratio of the final transaction price to the listed base price. Results of this study provide precious reference value on formulating the listed base prices on the real estate auction markets. Investors can also take into account of the significant factors in making the investment decision in the auction market.

本文主要針對台幣兌換美元的匯價，採用移動平均法則給定的交易訊號模擬交易，透過模擬交易得到顯著異於零的超額報酬，試著利用條件資本資產定價模型解釋超額報酬與風險之間的關係。實證結果顯示：在傳統資本資產定價模型下，超額報酬無法透過承擔風險所獲得風險貼水來解釋，但加入金融危機事件的影響後，發現在金融危機期間，市場風險係數下降，異常報酬增加，表示在此期間，即使市場大盤表現不佳，技術分析仍能成功捕捉台幣兌換美元的匯價變動趨勢，使金融危機期間的技術交易報酬平均高於金融危機前後。