本研究探討國內債券市場如何決定債券殖利率之風險貼水及交易成本貼水，其中風險貼水可分為時間及信用風險貼水兩部份，屬於前者之重要變數有存續期間(Duration)與凸性(Convexity)，屬於後者則有信用評等(Credit Ranking)與銀行擔保效果，而交易成本分析是在控制風險貼水因素後，看稅賦效果是否會影響投資者之必要報酬率。此外，本研究亦對殖利率曲線作分析，討論長短期資金市場是否存在明顯互動關係。首先對存續期間及凸性之特性作研究，檢測在既有到期期間變數下，加入存續期間及凸性對於債券殖利率邊際解釋能力的影響，冀描述國內投資者之訂價行為。其次就債券信用評等與銀行擔保效果作分析，公司債可能有不同信用等級，面對不等級公司債券，投資人或會要求不同程度之違約風險貼水，本文以實證對此作探討。又公司債因擔保與否，區分為擔保公司債及無擔保公司債，因此本研究關心的第二組變數是發行人為政府抑民間機構暨公司債之信用評等與銀行擔保效果。本研究亦對債券交易成本作探討，就證券交易稅而言，政府公債免徵交易稅而公司債券買賣須課徵千分之一的交易稅，因此我們想要知道存在公債與公司債之間，因稅賦差異造成交易成本不同，是否會影響到投資者的意願，故第三項變數為以證交稅為主之交易成本。最後對市場資金供需情形作分析，同時探討長短期資金市場是否存在互動關係，故第四項變數為全面資金供需情況。本研究藉檢測總體經濟資金供需變數對債券殖利率之影響，同時也可檢驗國內長短期資金市場之區隔程度。由於國內債市尚淺，仍舊有很大的發展空間，因此在可預期的未來，國內債券市場勢必會受到應有的重視。但由於早期國內債市之不發達及不受重視，使得有關債券資料的保存，特別是公司債券部份十分缺乏，連帶相關文獻亦寥寥可數，故本文以國內債券市場資料做實證研究、分析，冀望能有邊際之貢獻。

會計盈餘的產生係根據應計基礎，應計會計程序預期會緩和時間性及配合性的問題，而繼美國財務會計準則公報第九十五號公布二年後，國內於民國七十八年十二月發布財務會計準則公報第十七號『現金流量表』，故本研究探討盈餘與現金流量究竟何者較能解釋股票報酬，應計會計程序所扮演的角色為何？本研究首先分析不同累計期間下盈餘與現金流量和股票報酬的關聯性，以及，在不同運用資金的變異性及營業循環期間下，盈餘與現金流量對股票報酬的解釋力，俾瞭解盈餘與現金流量基本財務資料，在投資人決策制定過程中所扮演的角色，以及何者為解釋股票報酬的良好指標。 　　本研究係由探討國內外相關文獻，並參酌國內環境，加以延伸，蒐集民國七十五年至八十二年的資料，以Pooling方法分析，比較盈餘與現金流量和股票報酬的關聯性，進一步使用Vuong Z-statistic從事測試工作。 　　經由實證結果，本研究獲致如下的結論： 　　1、在短的報導期間下，盈餘和股票報酬的關聯性並未較現金流量強，而淨現金流量對股票報酬的解釋力隨著期間的增加而增加。 　　2、在不同的報導期間下，當公司有重大應計數時，盈餘對股票報酬的解釋力並未較現金流量佳。 　　3、當公司及產業的營業循環期間愈長，非現金流量的運用資金變異性愈大，達顯著水準，惟其並不影響盈餘與現金流量對股票報酬的解釋力。

事實已經證明，會計師事務所的員工流動率相當的高，雖然高流動率是可以預期的，或甚至是事務所期望的，但若離職的員工是事務所希望留住的員工，或者是因為離職的原因並不正常，則可能會給專業界帶來一些問題。影響員工流動率的因素很多，但不論就哪一個因素來探討，均不若“組織文化”之涵蓋廣泛。任一組織均有其特殊之文化，此一文化與員工之間產生互動，進而影響員工繼續留在此一組織中之意願，因此，就組織文化對員工在職期間之影響做一探討，可對會計師事務所員工流動率的問題有一較宏觀的認知。 　　本研究基於對會計專業界未來發展之關心，以三家事務所之離職與在職員工為調查對象，利用問卷進行調查研究，試圖了解各家事務所之組織文化是否有所差異以及組織文化對員工在職期間之影響。在組織文化理論方面，藉由Schein與Ott對組織文化之概念與理論做一整合性探討，以利於對組織文化之起源與發展有一較深刻之了解，並說明其與O'Reilly, Chatman, and Caldwell所發展之OCP組織文化問卷之關聯。而根據回函之統計結果，發現三家事務所均很重視工作成果及工作細節，也非常強調團隊合作，但在穩定性與創新性上則有差異。本研究並以相關分析、變異數分析、鑑別分析及適存分析等進行樣本資料之統計分析。 　　研究結果發現： 　　1.男性之在職期間可能比女性長。 　　2.已婚者之在職期間可能比未婚者長。 　　3.教育程度愈高者其在職期間愈短。 　　4.到職日年齡愈大者，其在職期間可能愈長。 　　5.具有與會計師事務所性質相似之工作經驗者，其在職期間可能愈長。 　　6.事務所組織文化較重視穩定者，其員工之在職期間比較長。而是否具有會計師資格及績效評估好壞對員工之在職期間長短則無顯著之影響。 / High turnover in the field of public accounting is evidenced in the fact that 70%-95% of new professionals hired will leave within 6 years. While high turnover rate can be expected, it becomes a problem when the wrong people leave, or leave for the wrong reasons. There are many studies focus on individual factor or factors which influence the employee turnover. All these studies are on "micro" level. On the contrary, "organizational culture" can give us a more "macro" understanding of employee turnover. 　　This study investigate the relationship between organizational culture and employee retention in three CPA firms. I introduce the organizational culture theory based on Schein's and Ott's conceptual work. According to the descriptive statistics, I found that "Outcome", "Detail" and "Team Work" are emphasized in all firms, but significant difference exists in "Stability" and "Innovation" dimensions among three firms. This study also uses correlation analysis, ANOVA, descriminant and survival analysis to analyze data. 　　Result of the Study results suggest that 　　1. Male employee retention time may be longer than female's. 　　2. Tenure of married may be longer than that of unmarried. 　　3. The higher the education level, the shorter the retention time. 　　4. The greater the employee's age, the longer the retention time. 　　5. Employee who has prior working experience in accounting firm might stay longer than that who hasn't. 　　6. Employee retention in CPA firm which emphasizes "Stability" may be longer than that in CPA firm which emphasizes "Innovation". Female employee is more influenced by organizational culture. 　　7. Male employee that has CPA license might stay longer than that hasn't. Whether female employee had the CPA license or not may not influence her retention. 　　8. Performance evaluation doesn't have influence on employee tenure.

本論文共分七章、二十七節，內容如下：　第一章　前言。對研究動機、 目的、範圍與限制、內容架構做一簡扼說明。第二章 利率風險之概述。 分別就利率風險之定義，對資產、負債之影響，及評估利率風險的方法， 分別加以闡述。第三章 期間分析之理論基礎。期間分析乃是管理利率風 險的方法之一，本章主要就期間分析的演進、目的、計算、特性做一詳述 。第四章 現金流量之預測－－利率情境分析。此章就資產、負債現金流 量之形成，現金流量與利率風險的關係，以及利率情境分析之定義、模型 、假設、優缺點依序加以介紹。 第五章 期間分析之應用。以前兩章為 基礎，對期間窗口(Duration Window)， 投資周期 ( The Planning Period)，利率風險與投資報酬率的關係，最適期間決策 ( The Optimal Du- ration )，資產負債期間的配合，及期間分析的修正，分別逐一探討 。第六章 實證。以保証利率契約 ( GICs; Guarante- ed Interest Contracts ) 為例模擬操作，說明運用資產負債期間配合達到免疫之效果 。第七章 結論與建議。

近年來台灣的市場利率持續下滑，可能造成保險公司無法實現對被保險人之高預定利率的保單給付承諾，利率風險已經成為壽險公司是否能繼續經營之重要關鍵。壽險公司如未能衡量利率變動風險而貿然推出保單，將對財務造成極大的負擔，不但會影響公司清償能力，亦會對社會造成衝擊，因此壽險公司應先衡量現在及未來將面臨多大的利率風險，做適當資產負債管理，以避免將來失卻清償能力。 　　本研究利用財務上平均存續期間（duration）觀念與Barney（1997）所提出之K值來衡量利率風險，以民國87-89年財務報表資料，實證研究利率風險會對那些經營指標產生影響，以喚起業界對於利率風險之重視。研究結果發現： 　　1.利率風險對於壽險公司之投資報酬率、股東權益報酬率有顯著的影響，並且呈負相關。 　　2.利率風險對於壽險公司之流動比率無顯著相關；與負債比率有顯著之正相關。 　　3.利率風險對於新契約保費成長率、保單繼續率無顯著影響，顯示國內並無明顯之逆中介情況。 　　4.壽險公司可藉由投資較長期之公債、公司債及減少保單貸款、不動產投資與固定資產項目之利率敏感度，以增加壽險公司之獲利性。 / The interest rates have been decreasing recently. Under this circumstance, it might be difficult for insurance companies to gain sufficient investment returns to fulfill the commitment of insurance policies. The interest-rate risk has become one of the critical factors for the solvency of life insurance companies. Therefore, life insurance companies should evaluate the impact of interest-rate risk and perform asset-liability management to prevent insolvency. 　　This study applies the concept of duration and K value (Barney 1997) to measure interest-rate risk and its impact on the operations of life insurance companies in Taiwan. The empirical analysis is conducted based on the financial data of life insurance companies in Taiwan during the period of 1998-2000. The empirical findings are listed as follows: 　　1.Interest-rate risk has a significantly negative impact on both investment return and ROE.. 　　2.Interest-rate risk does not have significant impact on current ratio of the life insurance companies, but it is positively related to debt ratio. 　　3.Interest-rate risk does not have significant impact on either new contract growth rate or policy renewal rate, which indicates that the process of disintermediation does not happen in life insurance industry in Taiwan. 　　4.By investing in the long-term government bonds and corporate bonds and reducing the interest-rate sensitivity of policy loans、investment on real estates and fixed assets , life insurance companies may be able to increase their profits.

本論文是由三篇關於金融市場的實證研究組合而成。第一篇以權益存續期間為主題，主要是利用迴歸模型估計台灣上市產業指數的實證權益存續期間，以探討股票報酬率的利率敏感度。迴歸模型中控制了三個重要的股票風險因子─市場因子、規模因子與價值因子。但其中，我們改以正交市場因子代替市場因子，以避免因為利率變動與市場報酬間存在共線性，而造成權益存續期間有可能錯估的問題。此外，基於權益存續期間具有會隨時間改變的動態特性，本文亦對各產業指數最近一次結構性變化的發生時點進行偵測，並據以推估最近期的權益存續期間。實證結果顯示：除了鋼鐵業的權益存續期間不顯著之外，其他所有產業指數皆具有負的權益存續期間，表示其報酬率與利率變動呈現出正向關係。在程度上，則以營建類指的利率敏感度最大，汽車類指最小。 第二篇應用了Diebold and Yilmaz (2009)的外溢指標分析台灣上市產業指數間的連動性，其優點是可以瞭解到產業間相互影響的方向以及程度。實證結果顯示：台灣上市產業指數間的外溢程度頗高，並以營建業為最主要的影響者，而相反地，鋼鐵業則是主要的被影響者。外溢指標具有隨時間改變的動態特性，而且透過動態外溢指標可觀察到次貸風暴蔓延的嚴重性。 第三篇應用了Goyal, Perignon and Villa (2008)所提出的多群組因素分析法，檢測美國總人口死亡率的共同因子個數。該方法最大的優點是能夠有效地辨識出真正的共同因子，避免了一般因素分析容易將解釋能力高的群組內獨特因子誤認為共同因子的缺點。根據檢測結果顯示，美國總人口死亡率的共同因子共有兩個，而且第二個因子的重要性隨時間愈來愈明顯。 / This thesis consists of three empirical essays about financial markets. The first essay analyzes the sensitivity of stock returns to changes in interest rates by estimating empirical equity duration of 18 industrial indices in the Taiwan Stock Exchange. In the regression models, we also control for the market excess return and the Fama-French mimicking returns for size and book-to-market factors. To avoid the effects of the multicolinearity between the market excess return and the interest rate changes, we replace the market excess return by the orthogonalized market factor. In addition, considering the time-varying pattern of empirical equity duration, we further adopt the reversed ordered Cusum test proposed by Pesaran and Timmermann (2002) to identify the most recent break of the regression relationship, and then extract the post-break data to re-estimate the up-to-date empirical equity duration. The result shows that except the Steel index, all industrial indices exhibit significantly negative equity durations, indicating a positive relationship between industrial index returns and interest rate changes in Taiwan. Among them, the Construction index has the largest interest rate sensitivity, while the lowest one is for the Automobile index. The second essay focuses on the nature of financial market interdependence, both in terms of returns and returns volatilities. Being capable of identifying the direction and magnitude of linkages among financial markets, the spillover index proposed by Diebold and Yilmaz (2009) is used to measure return and volatility spillovers between the top eight industrial indices based on market value in the Taiwan Stock Exchange. We find that for both returns and volatilities, the spillover effects among industrial indices in Taiwan are substantial. In particular, the Construction index is the major transmitter of shocks to other industries, and the Steel index, in contrast, suffers the most shocks from others. The spillover index fluctuates over time and indeed detects the severity of subprime mortgage crisis. The third essay adopts the multigroup factor analysis proposed by Goyal, Perignon and Villa (2008) to estimate the number of common pervasive factors for annual age-specific mortality for the entire U.S. populations. While the standard principal component analysis easily treats any group-specific factor as pervasive one due to its high contribution to total system variance, this methodology is able to estimate the space spanned by common and group-specific pervasive factors and recognize the true common factors. Empirical result shows that there are only two common pervasive factors governing the death rates in the United States; in particular, the importance of the second factor increases over time.

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關於Merton (1969) 最適投資組合策略問題，所考慮之投資情境為：一個將其財富資金安排配置於風險性資產(各類證券)與無風險短期現金部位之投資人，在給定此投資人心目中財富效用函數之前提下，希望事先決定出投資組合之最適投資權重(策略)，藉此達成在投資期滿時極大化財富效用之期望值。基於Merton (1974) 公司價值觀點，具有違約風險之證券(公司債與股票)乃是公司價值之衍生性商品，無法以傳統資產配置對股票與債券部位採取現貨方式處理最適投資策略，在此必需同時結合財務工程處理衍生性金融商品計價與避險之技術來解決。本研究利用Kron & Kraft (2003) 彈性求解法來針對市場是否有投資限制、債券提前違約、到期違約及利率隨機與否等假設，基於不同投資組合情境分析來最適投資部位策略。本研貢獻和究創新突破之處在於特別探討公司違約時，債券投資人不再享有全部公司殘值之求償權，此時股東亦享有部份比例之求償權，違約後之公司殘值將由債券投資人與股東兩者比例共分之特殊情境下，對數型態財富效用之投資人對於提前違約風險之接受度高於到期違約風險，若一般情境(股東無任何求償權)則為相反。此外亦特別提供最適成長投資組合之動態避險策略封閉解，藉以提供投資人面臨企業違約風險時應制定之投資決策與動態調整，使本研究臻至週延與實用。 / Under the Merton (1969) optimal portfolio problem, we only consider the specific investor, whose wealth utility follows the type of logarithm function; wants to maximize the expected value of the terminal wealth utility through determine the optimal investment strategy in advance. He divides his wealth into the riskless asset and risky assets such as the money market account and the various-risky securities issued by the corporate. Based on the Merton firm value framework (1974), the defaultable securities, such as the corporate bonds and stocks, are the derivatives instruments of the firm value. It will be inappropriate if we deal with this optimal portfolio problem under the original methods. Therefore, we need to handle this optimal asset allocation problem through the pricing, valuation and hedging techniques from the financial engineering simultaneously. This study apply the elasticity approach to portfolio optimization (EAPO, Kraft ,2003) to solve the optimal portfolio strategy under various scenarios, such as the market contains the investment constrain or not, intermediate default risks, mature default risk, interest rate risky under the stochastic process. The innovation and contribution of this paper are especially breaking the common setting and analysis the optimal-growth-portfolio strategy under the special scenario. In the common setting, as soon as the default event occurs, the residual firm value will be claimed by the corporate bondholders with fully proportion and the stockholder cannot share any residual value. Oppositely, the stockholder will be able to share the residual firm value proportionally with the corporate bondholder together under the so-called special scenario. We found that the investor would have higher acceptance of the premature default risk than the mature default risk in the special scenario. This phenomenon will be reversed under the common scenario. Furthermore, in order to make this study more completely and useful, we do not only illustrate the optimal investment strategy but also provide the closed-formed solution of the dynamic hedge strategy of the risky position, composed by the defaultable securities. This could help the optimal-growth-portfolio-oriented investor to make investment decision while they face the firm value downward decreasing.

房地產行業俗稱「火車頭工業」，房市的熱絡能帶動上中游非常多的產業蓬勃發展，而房地產代銷業在整體產業鏈當中至關重要，在房價居高不下及政策打房等背景因素下，房市交易轉趨清淡，買賣移轉件數創下近年新低，因此房地產關鍵且重要的行銷策略相形重要。而過去文獻中，多分別探討行銷策略、銷售率、銷售期間，而銷售期間之文獻更多以仲介觀點探討。本研究目的為找出代銷業銷售成功與有利的行銷策略模式、主客觀影響因素，提供房地產業者，成功銷售房地產個案。房地產主要之行銷策略為STP分析、7P理論、4C理論、整合行銷，而規劃合宜的產品定位，制定完善的行銷策略則是銷售成功的主要方程式。銷售成功主客觀因素之研究實證結果顯示，主觀影響因素，依序為地段條件、推案時機、產品條件、品牌因素，但地段條件是先天因素，無法改變，銷售要成功，銷售期間要短，銷售率要高，代銷業者需制定完善的行銷計劃，掌握天時、地利、人和等因素，天時就是推案時機等因素，地利就是地段條件等因素，人合就是產品條件、品牌因素等因素。由銷售期間與銷售率形成銷售成功的實證結果顯示，最重要的因素為產品條件及行銷策略；產品條件的數量、金額，對銷售期間影響較顯著，產品條件的質量如主力產品則對銷售率影響較顯著；行銷策略的成交均價對銷售期間及銷售率影響皆顯著，行銷策略的合作方式則對銷售期間影響較顯著；就區域而言，台北市個案銷售成功，首要因素為行銷策略之成交均價，而新北市個案銷售成功，則著重於產品條件之主力產品。 / The real estate industry, commonly known as "locomotive industry", can up bring many growths in industry development. While in recent years, the housing market becomes dull, and the sales number declining, it’s critical and important for real estate marketing to deliberate strategies at its key point. The real estate agency in the whole industry chain plays an essential part in setting the high prices and policies and other background factors in the market. From the past references, most explored the marketing strategy, sales rate, selling duration, while references on selling duration are more from the real estate agency’s perspective. The objective of this research is to investigate successful marketing and beneficial sales tactics, objective and subjective influential factors, the real estate producers, and the successful real estate selling cases. The STP analysis, the 7P Theory, the 4C Theory, integrated marketing are the main real estate strategies, whereas products positioning planed adequately, and well developed marketing strategy are the fundamental formulation for marketing success.The marketing success objective and subjective influential factors research shown, the objective influential factors are as listed: location attribution, selling timing, product conditions and brand factors. However, location attribution is congenital factor, inevitable, in order to sell successfully, selling duration must be brief, and selling rate must be high, real estate agencies must develop a complete marketing proposal, take control of the right time, the right place, the right social connections and so on. The right time is the selling timing and other factors, the right place is the location attribution and other circumstances, and the right social connections is the product conditions, the brand factors and other elements.From the selling duration and selling rate form subjective influential factors of marketing success, research shown,the product condition and marketing strategy are the most important subjective influential components,product condition quantity and price influences are more indisputable on the selling time, the quality of the product condition as the main product then impact more significantly on the sales rate.Marketing strategy price influences are more indisputable on the selling duration and sales rate, Marketing strategy cooperation influences are more indisputable on the selling duration.About area factors ,taipei City’s success on selling primarily is the price of marketing strategies; as for New Taipei City’s on successful selling is particularly focusing on the main product condition’s square footage.

本研究旨在探討投資人情緒是否影響到分析師的報導決策，以及分析師發佈預測和推薦時是否會注意到投資人情緒，亦即當投資人情緒較樂觀時，分析師是否會發佈較長期的預測以及較有利的股票推薦。本文以中央大學台灣經濟研究中心所編制之消費者信心指數作為投資人情緒的替代變數。研究結果與本文預期相符，當投資人情緒較高昂時，分析師會發佈較長期之盈餘預測以及較有利之推薦評等；同時也發現當投資人情緒上升，分析師之推薦評等亦向上修正。顯示分析師雖為專精且較為理性之投資人，然其行為仍受到消費者信心所影響。 / This study investigates the relation between investor sentiment and analysts' coverage decisions. Secondly, we also examine whether analysts who pay attention to investor sentiment issue longer-horizon earnings forecasts and more favorable stock recommendations during high-sentiment periods. We use the Consumer Confidence Index (CCI) survey from the National Central University to measure sentiment. We find that analysts tend to issue longer-horizon earnings forecasts and favorable stock recommendations when investor sentiment is more optimistic. Moreover, analysts tend to revise upward their stock recommendations during investor sentiment raise period. Taken together, these findings suggest that analysts are affected by investor sentiment even though they are more rational investors.