本研究旨在探討臺灣中型100 指數成分股調整事件之價量關係以及新聞報導效果。研究樣本分為純粹納入股、向下納入股、純粹剔除股以及向上剔除股，並分別以成份股調整之宣告日與執行日作為事件日，採用事件研究法，分析事件前後之價量變化，同時，進一步探討，宣告日至執行日期間，新聞報導對於成分股調整效果之影響。實證結果顯示，純粹納入(剔除)股於宣告日當天以及執行日前一天具有顯著的正(負)向異常報酬，且短期內皆有反轉的現象產生；向下納入(向上剔除)股，在宣告日與執行日前一交易日享有負(正)向異常報酬，且執行日後五日旋即反轉；此外，此四類個股於宣告日以及執行日附近，皆有異常週轉率生。在新聞效果部分，本研究將純粹納入(剔除)股分為有利多(空)新聞之組別以及無新聞之組別，探討其異常報酬現象。實證結果發現，有利多(空)新聞之純粹納入(剔除)股，相較於無新聞之純粹納入(剔除)股享有較高的正(負)向異常報酬率，顯見在成分股調整事件中，新聞報導亦會影響股價表現。 / This paper examines the effects of Taiwan mid-cap 100 index revision and news coverage on stock price and volume. Using event study method, the sample of this study is divided into four groups: pure additions, downward additions, pure deletions, upward deletions to analyze the changes of stock prices and volume on the announcement day and effective day. Furthermore, the effects of news coverage between announcement day and effective day are also investigated. Results of our analysis suggests that there are significantly positive (negative) abnormal returns (ARs) for pure additions (deletions) on announcement day and the day before effective day but transitory. For downward additions and upward deletions, there are significantly negative ARs for the former and significantly positive ARs for the latter. However, both ARs reverse within five days. Besides, there are abnormal volumes in the entire sample. As for the effects of news coverage, pure additions (deletions) are divided into two groups to examine the existence of ARs, one group with bullish (bearish) news and one group without. Results show that pure additions (deletions) with bullish (bearish) news have higher ARs than those without news coverage, supporting our hypothesis that in the event of index revision, news coverage do affect stock prices

京都大学 / 0048 / 新制・課程博士 / 博士(薬科学) / 甲第18914号 / 薬科博第28号 / 新制||薬||4(附属図書館) / 31865 / 京都大学大学院薬学研究科薬科学専攻 / (主査)教授 高須 清誠, 教授 竹本 佳司, 教授 川端 猛夫 / 学位規則第4条第1項該当 / Doctor of Pharmaceutical Sciences / Kyoto University / DFAM

江戸時代の作家である井原西鶴(1642～1694)の浮世草子には、一部に偽作・補作があるのではないかという疑惑が残る等、未だ論争が繰り広げられている。それらのなかで解明すべき重要な課題として、西鶴没後に門下の北条団水(1663～1711)によって編集、出版された遺稿集5作品の著者に関する疑問がある。本研究では西鶴浮世草子24作品、団水浮世草子3作品、西鶴の役者評判記、浄瑠璃、地誌の4作品の計641,380語を用い、客観的に計量可能な情報を統計手法で分析することで、西鶴、団水の文章を比較検討し、遺稿集の著者問題について文章の数量分析の観点から解明を試みた。 / 博士(文化情報学) / Doctor of Culture and Information Science / 同志社大学 / Doshisha University

本研究的目的在比較研究中國大陸與台灣股市，其上市公司的財務資訊特性，以及這些財務資訊在這兩個股市中的有用性。大陸股市迄今年齡尚輕，僅七歲。唯大陸股市的法規，散戶多，同文同種等與台灣股市相近；不同之處在於，例如國家對上市公司所持有的股份仍佔一定比例、法人極少（中國大陸自五月份始方開放共同基金的發行）、股市分為 A、B 及 H 股等。因此在不同的股市特性及股市環境下，到底公開資訊被使用的情形如何？這種比較分析可令我們深入瞭解，在不同股市特性及股市環境（包括證劵管理環境）下，投資者使用公開財資訊的深度與廣度。因此本研究以公開財務報表為例，探討並比較台灣股市與中國大陸間資訊有用性及有用程度。 本研究採用傳統盈餘／股價關係的研究設計來探討其間的關係，根據　Easton and Harris(1991)及 Lev(1989)的建議，在傳統的盈餘反應係數模式中加入二個與盈餘相關變數，一為「當期盈餘水準除以期初股價」的盈餘水準變數；另一為「當期盈餘變動除以期初股價」的未預期盈餘變數，以此二盈餘變數實證比較兩岸股市，其相對盈餘資訊內涵。其次，依據 Lipe(1986)的建議及其所建立的實證模式，本研究測試盈餘組成分子是否具備增額資訊內涵，並比較兩岸盈餘組成分子增額資訊內涵是否顯著不同。最後，本研究借用 ERC 模式，並依據 Collins and kothari(1989)加入 ERC 決定因素如公司系統風險、盈餘持續度、公司成長機會等，來增進盈餘／股會間關係的解釋能力，以期在最具解釋力的模式下，比較兩盈餘資訊內涵。本研究台灣方面以台灣證劵交所股票上市公司為對象，研究期間自民國 77 年至 85 年止，共計 9 年為樣本期間，大陸則以在上海、深圳交易所上市的股票上市公司樣本，研究期間則為 1994 年至 1996 年研究結果顯示： 1.兩岸之資訊環境存在顯著差異性。 2.兩岸之盈餘資訊皆具有用性。 3.盈餘組成項目均具增額資訊內涵。 4.考慮 ERC 模式後可增加模式之解釋力。 / This study mainly applies ERC (Earnings Response Coefficient) model to compare the information contents of earnings in Taiwan and China stock markets. In addition, this study investigates the disclosure rules of these two markets in order to develop related hypotheses. This study includes four hypotheses: (1) information environment hypothesis, (2) earning level hypothesis, (3) earnings components hypothesis, and (4) ERC determinants hypothesis. The samples strategically select from. listed companies in Taiwan and China to facilitate our comparisons. The findings can be summarized as follows. 1. In the Taiwan stock market, the firm size is not a significant factor for determining optimal return window; but in the China stock market, the response of larger firms is earlier than smaller firms to the earnings announcement (information environment hypothesis). 2. The Easton-Harris earnings level variable can significantly increase the explanatory power of ERC in the Taiwan stock market; but it cannot significantly increase the explanatory power of ERC in the China stock market (earnings level hypothesis). 3. The earnings components can increase the explanatory power of earnings/return relationship in both Taiwan and China stock markets. In addition, the non-operating components have better explanatory power than operating components in earnings (earnings components hypothesis). 4. The determinants of ERC can increase the explanatory power of earnings/return relationship; but the determinants of ERC have negative effects of the explanatory power of earnings/return relationship.

犯罪行為受到警力或法律執行的影響，會移動到鄰近警力較差地區。正如 Gylys所說：考量一個地區警力的多寡，將受到其他鄰近區域警力的影響 很大。Mehay亦認為：從實際經驗上來看，對於移動性的犯罪(如搶劫、縱 火、偷竊等)，外部支配型式力量(如警力)的適當增加，將迫使其外溢( spillovers)至鄰近區域。利用空間統計的自我迴歸模式，我們可以更了 解移動性犯罪受到相連區域自我相關的影響。即使相關性不高，在作了差 分之後，其主成分分析最大負載變數項，變化相當大。所以資料裡，如果 有區域自我相關的情形，就應該謹慎處裡。

本論文旨在探討近義詞的相關議題，特別是要檢視其背後的概念結構與表層的語法功能。透過「方便」與「便利」的研究，本文就這對近義詞在語意上的差異做深入並有系統地分析，並期以此解釋他們在語法層次上不同的表現。 　　以框架語意學(Frame Semantics)為理論架構，本研究發現近義詞「方便」與「便利」會引導出「方便框架」(CONVENIENCE frame)與「不方便框架」 (INCONVENIENCE frame)，而這兩個語意框架雖有相對應的框架成分(frame element)，實質上卻是引發出不同的概念型態。近一步說明這對近義詞在語意上的差別，「方便」與「便利」對於他們所涉入的複雜事件(complex event)持不同的觀點：「方便」主要是專注在結果次事件(result-subevent)並採受恩者(BENEFICIARY)的觀點；而「便利」則較專注在原因次事件(cause-subevent)並採動作者/施恩者(AGENT/BENEFACTOR)的觀點。此外，由於「方便」與「便利」具備了正面、值得嚮往的特質，這也解釋了何以「方便框架」比「不方便框架」有更高程度的目的性(intentionality)。 　　為檢視近義詞在概念上的差異是否會反映於在他們的語法表現上，本研究闡明了「方便」與「便利」的語法功能及其使用分布的情況、以及參與角色(participant role)的凸顯類型(profiling pattern)。結果顯示「方便」與「便利」主要有五種語法功能，即名詞化、修飾名詞、修飾動詞、不及物動詞謂語、及物動詞謂語，最常使用的語法功能為名詞化與動詞謂語(包含及物與不及物)。此五種語法功能皆會突顯某些參與角色，但主要都是突顯了「目的」(PURPOSE)與「手段」(MEANS)；而其他參與角色也會在不同語法功能的使用中被突顯，並且這些突顯類型皆可由「方便」與「便利」在概念上的差異來做解釋。 　　總結來說，本論文闡釋了近義詞「方便」與「便利」在概念上不同的偏好會導致他們在語法上有不同的表現；此外，「方便」與「便利」在參與角色的凸顯類型上亦不相同，這說明了，「方便」與「便利」是屬於不同的構式(construction)。最後，本論文也再次確認了詞彙背後的語意概念會決定其語法的表現。 / The purpose of this thesis is to approach the issue of near-synonyms via the examination of their respective underlying conceptual structures and surface syntactic functions. Specifically, the present study aims to furnish a fine-grained and systematic analysis of the semantic differences between the near-synonymous pair fangbian and bianli that shall better explain their differential syntactic behaviors. 　　Based on the theoretical framework of Frame Semantics, this study found that the conceptual structures of fangbian and bianli are associated with the frames of CONVENIENCE and INCONVENIENCE. While pertaining to a corresponding set of frame elements, the two frames actually prompt distinct conceptualizations. Precisely, fangbian and bianli differ in their perspectivization of the complex event involved: fangbian focuses on the result-subevent and takes the BENEFICIARY’s perspective whereas bianli on the cause-subevent and takes the AGENT/BENEFACTOR’s perspective. In addition, the fact that convenience is desirable and thus typically intended also explains the stronger intentionality involved in the CONVENIENCE frame than in the INCONVENIENCE frame. 　　To investigate whether conceptual differences between the near-synonyms would be manifested in their syntactic behaviors, this thesis further elucidated the syntactic functions and their distribution of fangbian and bianli as well as the profiling of the participant roles in each syntactic function. In particular, five main syntactic functions of fangbian and bianli were identified: nominalization, nominal modifier, verbal modifier, intransitive verbal predicate and transitive verbal predicate; each serves to profile distinct participant roles, mostly PURPOSE or MEANS. Moreover, the profiling of other participant roles can be accounted for by the perspectival distinction between the near-synonymous pair. Finally, the distribution of syntactic functions of fangbian and bianli demonstrated that the usage of the near-synonyms as verbal predicate and nominalization is the most dominant categories. 　　To conclude, this thesis has shown that the conceptual preferences of fangbian and bianli in terms of their perspectivization lead to their different syntactic behaviors. Moreover, the near-synonymous pair also differs in their profiling of the participant roles; in other words, they display distinct profiling patterns and therefore pertain to different constructions. Finally, it still holds for the present study that the semantics of a word drives its syntactic behaviors.

國中基測實施迄今已十年，但是各種多元管道仍以國中基測量尺分數作為分發篩選之重要參據，多元能力評量參採比重偏低，國中學生升學競爭壓力未得緩解。本研究透過數學與統計分析的工具，尋找採用學生在校成績的方法，希望能找出更好的方式來代表學生在校三年的學習現況與學習成果，以做為免試升學採計在校成績的參考與依據。 本研究主要目的是要探討如何取決各科在校成績的權重(也就是在每個科目的分數之前乘上一個加權比重係數)，以求得一個新的合成變量(由數個科目分數組成的線性組合)，並用這個新合成變量做為學生在校的“綜合學科能力表現分數”，代表學生在校三年的基本學習能力及程度。 研究方法運用主成份分析與典型相關分析的觀念，但因限制條件設定的範圍與傳統主成分分析及典型相關分析的要求不一致，因此，我們便將所用的研究方法命名為「類主成分分析」與「類典型相關分析」。 研究中，方法主要在比較「類主成分分析」、「主成分分析」、「類典型相關分析」、以及「典型相關分析」四種方法與一般學校常用的「等加權比重」算平均成績的方法之分別；了解這些不同加權機制對同一所學校內學生的學科加權平均分數之成績排名百分比結果，以及與基測排名結果的差異。 「類主成份分析」研究結果發現，各科學科成績中變異數大的科目將獲得較大的權重比例，成為主導學生加權平均成績中舉足輕重的科目。另外；運用「類典型相關分析法」所求得的典型相關係數，其結果與傳統典型相關分析法以及使用最佳數值分析軟體(GAMS)所得的典型相關係數完全相同。 本研究最重要的貢獻之一，是我們在「類典型相關分析法」中證明並推導出一個求得各科權重的公式，只要使用此公式代入簡單的MATLAB程式，其所得的權重結果與最佳化數值分析軟體(GAMS)所得的結果完全相同，但花費的計算時間及成本卻遠少於GAMS所需，是一個求權重極便捷的方法，讀者可以在本論文附錄7.5.2或政大應數系網站上下載此程式。本研究最後結論也發現，類主成份分析的變異解釋率是所有方法中較高的；與基測總分結果較相近的則是類典型相關分析所得的權重機制；而等加權方法所得的排名結果則與基測排名結果差異最小。 / The BCTEST (Basic Competence Test) for junior high school students has been implemented for ten years, however, the screenings for a variety of entrance programs are still based on the scale scores of the BCTEST with a low proportion of multi-intelligence. Hence, the competitive entrance pressure for junior high school students remains un-relieved. In view of this, via mathematics and statistics, this study is to explore an alternative approach which can not only reflect students' in-school grade, their learning situations and achievements but also represent a reference for entering senior high schools and junior colleges without entrance examinations. The purpose of this study is to determine the different weightings of five learning subjects (that is, multiply the score of each subject by a weighted coefficient) and acquire a new composite variable from the linear combinations of five learning subjects. Then, use this new composite variable as the synthetic score of students' in-school academic performance. Principal Component Analysis and Canonical Correlation Analysis are used in this study. Due to inconsistent restraints, the other two approaches we use are based on the concept of previously mentioned methodologies and denominated Principal Component Type of Analysis and Canonical Correlation Type of Analysis. In the study, we compare with the different results of Principal Component Analysis, Principal Component Type of Analysis, Canonical Correlation Analysis, Canonical Correlation Type of Analysis and identical weighted method to realize how these different weighted schemes affect the rankings of students from the same school on both their weighted in-school grade and scores of the BCTEST (Basic Competence Test). The outcomes of Principal Component Type of Analysis show that subjects with greater variance acquire larger weightings and play a dominant role in weighted in-school grade. Moreover, the correlation coefficients of Canonical Correlation Type of Analysis are completely the same as the ones of Canonical Correlation Analysis and GAMS. One of the most important contributions in this study is we have proven and derived a formula to acquire different weightings of five learning subjects by using Canonical Correlation Type of Analysis. The acquired weightings are completely the same as the ones of GAMS with less time consuming. Readers can download this program in appendix 7.5.2 or from the website of Department of Mathematical Sciences, National Chengchi University(NCCU). We have also found that, the explanation rate of variance obtained from Principal Component Type of Analysis is the highest; the weighted scheme of Canonical Correlation Type of Analysis is more similar to the scores of the BCTEST; the difference of the rankings between identical weighted method and the BCTEST is the smallest.

授信業務是銀行主要獲利來源之一，隨著國際化趨勢以及政府積極推動經濟自由，國內金融環境丕變，金融機構之授信業務競爭日漸激烈，加上近年來國內經濟成長趨緩，又於千禧年爆發本土性金融風暴，集團企業財務危機猶如骨牌效應ㄧ樁接ㄧ樁，原因在於大企業過度信用擴張，過高槓桿操作，導致負債比率上升，面臨償債困難；還有銀行對企業放款之授信審核常有大企業不會倒閉之迷思。故如何找出企業財務危機出現之徵兆，及早防範於未然，將是本研究在建立企業授信之申請進件模型的重點之ㄧ。 此外，2002年新修定的巴塞爾資本協定主在落實銀行風險管理，國際清算銀行決定於2006年正式實行新巴塞爾協定，我國修正的「銀行資本適足性管理辦法」自民國九十五年十二月三十一日起實施，故本國銀行需要依據本身的商品特色、市場區隔、客戶性質、以及經營方式與理念等因素，去建制一套適合自己的內部風險評估系統。故本研究第二個重點即在於依據我國現有法令，做出一個符合信用風險基礎內部評等法要求之申請進件模型。 本研究使用某銀行有財務報表之企業授信戶，利用財報中的財務比率變數建立模型。先使用主成分分析將所有變數分為七大類，分別是企業之財務構面、經營能力、獲利能力、償債能力、長期資本指標、流動性、以及現金流量，再進行羅吉斯迴歸模型分析。 / Business loan is one of the main profits in the bank. But increasing business competition causes the loan process in the bank is not very serious, the bankers allow enterprise to expand his credit or has higher debt ratio, that would cause financial crises. The first point in this study is to find the symptom when enterprise has financial crises. The second point is that under the framework of New Basel Capital Accord〈Basel II〉, we try to build an application model that committed the domestic requirements. The bank should develop the fundamental internal rating-based approach that accords with its strategy、market segmentation、and customers type. This research paper uses financial variables〈ex. liquid ratio、debt ratio、ROA、ROE、… 〉to build enterprise application model. We use the principle component analysis to separate different factors which affect loan process： financial facet、ability to pay、profitability、management ability、long-term index、liquidity、and cash flow. Then, we show the result about these factors in the logistic regression model.

對於商業保險公司和政府單位而言，死亡率的改善和未來死亡率的預估一直是一大重要議題。特別是對於退休金相關的社會保險、勞退或是商業年金、壽險等等，如何找尋一個準確的預估模式對未來的死亡率改善情況進行預測，並釐訂合理的保費及提列適當的準備金，是對於一個保險制度能否永續經營的重要因素。過去所使用的配適方法，大多僅以單一群體的過去資料輔助未來的預測，例如 Li and Carter (1992)所提出的 Lee-Carter Model，或是 Bell (1997)使用主成分分析法 (Principal Component Analysis, PCA)等僅針對單一群體本身變數進行分析之方式。然而綜觀全球死亡率改善趨勢，可發現國與國間、組與祖間雖有不同，但仍具備共同的趨勢。因此在考慮未來的死亡率配適方面，應加入組與組間的共同因子 (common factors) 進行考量。 Li and Lee (2005)曾提出 Augmented Lee-Carter Model，即對原本的Lee-Carter Model進行修正，加入共同因素項，並且得到更好的預測效果。 本文則採用考慮共同因子之主成分分析原理建構多重群體死亡率模型，即透過主成分分析法，同時考慮不同群體間的死亡率，並以台灣男性和女性1970年至2010年的死亡率資料，做為兩個子群體進行分析。本文使用之主成分分析法模式，和 Lee-Carter Model (Li and Carter, 1992) 和 Augmented Lee-Carter Model (Li and Lee, 2005)，以MAPE法對個別的預測能力進行分析，並得出採用PCA的模式，在預測男性短年期(5年)內的預估能力屬精確(MAPE 介於10%~20%之間)，然而在長期預估下容易失準，且所有使用的模型，在配適台灣資料時皆發生無法準確預估嬰幼兒期(0~3歲)和老年期(80歲以上)之情形。本文並以所有模型預估之死亡率計算保險公司之準備金與保費提列，並與第五回經驗生命表進行比較。 / For governments and life insurance companies, mortality rates are one of the key factors in determining premiums and reserves. Ignoring or miscalculating mortality rates might have negative influences in pricing. However, most of the mortality models do not consider the common trends between groups. In this article, we try to construct the mortality structure which considering common trends of multi-groups populations with principal component analysis (PCA) method. We choose 9 factors to set up our model and fit with the actual data in Taiwan’s gender mortality. We also compare the Lee-Carter Model (Lee and Carter, 1992) and the augmented Lee-Carter Model (Li and Hardy, 2012) with our common factors PCA model, and we find that the PCA model has the least MAPE than other model in five years forecasting in both genders. After finishing basic analysis, we use the mortality data of Taiwan (1970 to 2010) from human mortality database to construct the life expectancy model. We adopt the same criteria to choose the components we need. We also compare the level premium and reserves by different forecasting mortality rates. All of the models indicate life insurance companies to provide higher reserves and level premium than using the 5th TSO experience mortality rare. We will do following research by using company-specific data to construct unique life expectancy model.

科学研究費補助金 研究種目:基盤研究(C)(2) 課題番号:09610114 研究代表者:村上 隆 研究期間:1997-1998年度