本文係以個案研究的方式，針對我國營建業之發展歷程，進行有關產業環境中之各項 因素對產業內企業競爭策略影響的研究。由於企業競爭策略的決定，必須考慮該企業 所身處的產業環境，以及該企業本身的條件，經過所謂「衡外情」、「量己力」的功 夫，而做出正確而有助於企業生存發展並可以指導企業功能性政策執行的策略；因此 如何掌握產業環境的各項有利（機會）、不利（威脅）的因素，並從而制定競爭策略 ，就成為企業主管所關切的課題。本文即嚐試經由個案的分析，了解產業環境諸項因 素對企業制定策略的影響過程及涵意，並發展出足以提供企業主管參考的原則。本文 之理論架構係參考有關產業組織、產業經濟、競爭策略、企政策等文獻，並參考有關 產業政策的理論，綜合而成。 我國營建業自民國３４年台灣光復後始逐漸出現有規模、有組織的團體，並在民國５ ６年太平洋公司成立後至民國６２年第一次能源危機民國６９年，第二次石油危機止 ，是一段相當快速的成長，建設公司一夜之間暴增，並且多人因而一屋致富，但經政 府連串壓抑房價措施，便銷售銳減，一時間許多財務不健全的公司因而倒閉，房地產 景氣低迷，並持續至民國７４年；７５年，７６年是一次空前的房價漲升，並且出現 仲介公司、建築經理公司以及海外投資房地產的多化功能，營建業一片欣欣向榮。 經個案分析，吾人得知營建業依賴資金極重，若一公司財務槓桿優良自可渡過難關， 但許多財務不健全的公司，追求營業上的風險，因而倒閉，是足警惕；此外，政府政 策對營建之影響應十分驚人，值得施政者注意。

本篇論文的目的在驗證台股期貨報酬率與其波動度之間的相對應關係是由槓桿效果或是波動度回饋效果之因果關係所驅動，並且分別以日資料以及高頻率日內資料進行實證。實證結果發現在高頻率日內資料的應用下，能夠比日資料揭露出更詳細的波動度資訊，將報酬率與波動度間的對應關係描繪得更加明瞭。且在大多數資料期間內，同期下，台股期貨報酬率與其波動度之間會呈現負相關性，而負相關的程度會隨著報酬率遞延期數越長而逐漸遞減，因此可以發現報酬率與其波動度間呈現一個經由報酬率進而影響波動度的對應關係，與槓桿效果的因果關係雷同。最後，本文亦採用了常見的波動度預測模型，歷史模擬法、GARCH(1,1)模型、EGARCH(1,1)模型以及GJR-GARCH(1,1)模型，觀察這些波動度模型所預測出之波動度是否含有上述驗證的資訊意涵，並比較各波動度模型的預測能力，結果發現GJR-GARCH模型於樣本外期間所預測之波動度，其與報酬率之間不但具有槓桿效果的因果關係，且預測能力亦於四個波動度模型中表現最佳。

本文以臺灣證交所上市的前九檔槓桿及反向指數股票型基金(LETFs)作為 樣本,根據 Charupat and Miu(2014)研究方法衡量其績效。傳統衡量指數股票 型基金(ETFs)績效的方式,為單純將基金淨值報酬對指數累積報酬做簡單迴 歸,若將此方法應用在衡量 LETFs 之績效上,由於許多影響基金淨值報酬的因素 沒被分離出來,常造成迴歸結果存在嚴重偏誤,或是難以解釋。本文是第一篇研 究國內 LETFs 績效的著作,透過在迴歸式中納入複利效果、融資效果,以更精確 的方式比較分析影響 LETFs 基金淨值報酬的因素,及各 LETFs 之管理績效。本 文實證結果除了證實融資效果確實存在,也證實大部分複利效果及融資效果的理 論性質,最重要的是,顯示出追蹤上証 180 指數的三檔 LETFs 在準確複製報酬槓 桿倍數上比較傑出,而追蹤台灣 50 指數的三檔 LETFs 在基金管理效率方面有比 較優秀的表現。 / Using Leveraged and Inverse Exchange-Traded Funds (LETF) listed in the Taiwan Stock Exchange, this thesis evaluates the performance of these LETFs based on the methodology proposed by Charupat and Miu (2014). The traditional approach of performance evaluation of ETFs is to regress the fund’s net asset value (NAV) returns on the underlying index’s returns. However, such an approach fails to account for important factors, such as compounding and financing effects, that affect the NAV of the LETFs, and unavoidably leads to serious estimation biases. This is the first thesis which evaluates the performance of LETFs listed in the Taiwan Stock Exchange. By considering compounded effect and financing effect in the regression model, the proposed method is more precise and appropriate in disentangling factors that affect the performance of the LETFs. Our empirical evidence shows how compounding effect, financing costs, and management factors influence LETFs’ tracking errors. Most of all, the three LETFs tracking the SSE180 index have the best tracking ability of the underlying asset return, while the LETFs tracking the FTSE TWSE Taiwan 50 index have the best management performance among all LETFs examined in this these.

近年中共在逐漸認知到台灣中南部民眾為擁護民進黨當局獨立訴求之強大力量後，相繼透過與台灣在野政黨合作、牽線，以及「放權讓利」式的大批「惠台措施」，冀求爭取農民好感與向心，進而潛移其政治意向。本論文的目的，乃是嘗試由最基層民意的觀點切入，探討中共此番作為的可操作性。作者以深度訪談 (in-depth interview)方式分析，農業貿易「惠台措施」的過程中，誰是真正的贏家? 再者，讓利措施是否真為解決台灣農產品產銷困境的及時雨？其真正意含為何？最後，農民對「中國」（中共）觀感能否因此變移？又是如何轉變?冀以跳脫一般的思維與視角，看待此一頗為特殊之兩岸經貿議題。 / Relations across the Taiwan Strait are complicated by “a deep political divide, but close socioeconomic integration.” China recently is aware of Taiwan farmers integrate huge power in the DPP’s independence advocacy, thus tries to sway their political tendency by utility of economic leverage in the form of tariff-free in fifteen species of Taiwan-grown fruit. Not knowing the effectiveness, this thesis aims at searching the truth by way of in-depth interviews with people of agricultural professional; and the narration reveals Taiwanese farmers are not the direct beneficiaries, sometimes even sufferers, in the whole process. Is fruit policy a carrot for Taiwanese farmers or a stick for the ruling government? The answer is hard to define. Other maneuvering tactics between the KMT and CCP and interests of fruit agents were hidden behind China’s so-called “good will” behavior.

本研究的第一部份是利用有效存續期間與有效凸性來衡量人壽保險人的利率風險。我們發現Tsai (2009)指出的壽險保單準備金之有效存續期間結構並非一般化的結果。當長期利率水準高於保單預定利率及保單解約率敏感於利差時，準備金之有效存續期間會呈現與Tsai (2009)相反的結構。我們進一步發現準備金之有效凸性會亦有可能呈現負值，且不易依照保單到期期限歸納出一般化的結構。負值的有效凸性起因於準備金並非利率的單調函數，且準備金與利率的函數關係隨保單到期期限而不同。我們的研究結果可以幫助人壽保險人執行更為精確的資產負債管理。 本研究的第二部分是利用模擬最佳化的方法，幫助銷售傳統壽險保單的保險人求解出適切的業務槓桿與資產配置策略。我們假設保險人在考量破產機率與報酬率的波動之下，將資本與淨保費收入投資於資本市場中，以追求較高的業主權益報酬率。以業務槓桿與資產配置相互影響為前提，我們求解出適切的業務槓桿與多期資產配置策略，並分析在不同的業務槓桿之下，保險人多期資產配置的差異。 / In the first part of this doctoral dissertation, we focus on a proper measurement on interest rate risk of life insurer’s liabilities, policy reserves, by incorporating the general effective duration and effective convexity measures. Tsai (2009) identified a term structure of the effective durations of life insurance reserves. We find that his results are not general. When the long-run mean of interest rates is higher than the policy crediting rate and the surrender rate is sensitive to the spread, the term structure would exhibit an opposite pattern to the one in Tsai (2009). We further find that the effective convexities might be negative and the term structure of the effective convexities exhibits no general pattern. The irregularities originate from negative effective convexities result from the relationship between mean reserves and initial short rate for different years to maturity. Our results can help life insurers to implement more accurate asset-liability management. In the second part, we analyze asset allocation and leverage strategies for a life insurer selling traditional insurance products by using a simulation optimization method. We assume that an insurer invests equity capital (from its shareholders) and premiums it receives from policyholders by choosing a portfolio intended to maximize the annual return of equity minus the penalty of insolvencies and risks. We regard the leverage as an internal factor in asset allocation. Based on these assumptions, we get a promising multiple-periods asset allocation and leverage, besides analyzing how leverage affects asset allocation strategies.

本研究旨在探討金融危機期間，美國與歐洲金融市場之日內報酬率、實質波動度、連續波動度與跳躍風險行為之日內因果關係，並採用美國三大指數期貨(S&P 500, Dow Jones, Nasdaq)及歐洲期數期貨(FTSE, DAX, CAC)之高頻資料，檢定是否具有顯著槓桿效果(Leverage Effect)與波動度回饋效果(Volatility Effect)、在報酬率與跳躍風險之間具有相互影響效果。探討在金融危機發生前、後期間其日內報酬率、實質波動度、連續波動度與跳躍項間在1分鐘、5分鐘及60分鐘之抽樣頻率下之日內行為。因此，實證研究包含金融市場之上升及下降趨勢，顯示在金融危機發生後，日內波動度與跳躍項之槓桿效果(Leverage Effect)與波動度回饋效果(Volatility Effect)受到叢聚(Clustering)現象影響且顯著增加。不同抽樣頻率下之因果關係效果在金融危機發生前、中、後期間，特別在5分鐘及60分鐘之抽樣頻率方式，跳躍風險受到波動度回饋效果影響呈顯著增加，此實證結果對政策制定者及投資人具有重要之意涵。 / This study examines the intraday causality between returns, volatility and jumps in the U.S. and European markets during the financial crisis. examine whether during the financial crisis, the S&P 500, Dow Jones, Nasdaq, FTSE, DAX and CAC index futures markets have a significant impact on the leverage and volatility feedback effects, as well as whether these interactions also occur between returns and jumps. The intraday behavior of 1-min, 5-min and 60-min sampling of returns, volatility and jumps is examined by employing data from the period between financial crisis. The study covers the major upward and downward trends in the market. Our empirical data indicate the main leverage and volatility feedback effects caused by intraday volatility and jump clustering significantly increased after the financial crisis. The causality effects with different sampling frequencies before, during and after the financial crisis show that jumps have increased the volatility feedback effect, especially when in a 5-min and 60-min sampling frequency is used. These findings have important implications for both policymakers and investors.

第一章說明本研究之目的、研究範圍與限制、研究方法並扼要說明論文各章節彙要。 第二章財務報表分析與財務比率：（一）財務報表分析之意義及功能：報表分析乃是 將所應用之分析工具資訊。其功能可就內部與外部分論之。（二）說明報表分析種類 與常見之分析工具（三）分析工具之一──財務比率之發展歷史之介紹（四）探討財 務比率分析之特性。 第三章財務比率之類型：就財務比率分析之目的，將其分為四類型：（一）安全性評 估之比率（二）衡量獲利能力之比率（三）測驗財務槓桿之比率（四）衡量經營成效 之比率。並各就其常見且具重要性之比率分別探討其意義。 第四章財務比率之應用：先就如何有效應用財務比率，探討分析的原則與可能的問題 ，並就比率之實際應用，分管理階層、投資者、債權人等說明之。 第五章財務比率與預測功能：（一）說明財務比率曾應用於企業預測之種類並將重點 置於企業破產預測之功能上（二）探討破產企業其財比率可能具有之特性（三）相關 學者之實證研究介紹與討論。第六章結論與建議。

本論文包含兩篇獨立但主旨相關的文章， 目的均在探討融資契約與廠商投資的關聯，以分析融資契約的實質效果。第一篇文章「股價資訊外部性與新投資之採行」研究權益證券(股票)集訊、揭訊功能的實質效益，我們由股價資訊公開所產生的外部效果，分析股價資訊效率性與廠商投資效率之間的關聯。在1.眾多異質廠商，2.投資具實質選擇權(real options)特性的假設下，內生化廠商與股市交易者的資訊取得決策，發現1. 均衡時廠商的投資與資訊取得決策取決於廠商技術水準與股價效率性之高低：高股價效率性時，無廠商取得新資訊，皆根據股價判斷投資，低股價效率性時，僅較低技術廠商根據股價資訊投資。2. 股價有額外的資訊揭露效果：由於廠商僅能獲得新資訊的部份效益，且廠商利用資訊有機會成本，將投資證券化可提高新資訊被揭露的可能性，使得資訊可被充份利用，提昇投資效率。3. 股價資訊可提增投資效率，增加廠商期望報酬，但當體系平均技術水準落後，新資訊的實質效益低落時，股價資訊公開的外部淨效益亦趨薄弱，故經濟發展初期，股市資訊公開的外部效益相對不重要。 第二篇文章「抵押品、財務槓桿與廠商投資」研究借貸契約中，抵押品舒緩借貸限制的作用，及其可能產生的實質效果。我們採用Williamson(1986,1987)的狀態確認成本模型(costly state verification model)，在該訊息不對稱模型，廠商向外融資面臨借貸限制，僅較高自有資金廠商可獲融資。當借貸市場資金相當寬鬆，資金供給恆大於資金需求，資金成本(無風險利率)為一由模型外因素所決定的外生參數時，抵押融資不影響資金成本，此時抵押品具有舒緩借貸限制的作用，體系財務槓桿提高，期望查帳成本下降，投資的期望淨產出增加。若資金相對緊俏，無風險利率須由借貸市場均衡所內生決定時，長期而言，財務槓桿僅受體系資金寬鬆程度的影響，短期間抵押融資雖能提高財務槓桿，但隨槓桿之提高，資金需求增加，無風險利率上揚，在新的均衡，較低自有資金廠商投資的期望報酬下降，借貸利率上漲，反而增加其應負債務，資產狀況惡化，此即本文所欲突顯之抵押融資的潛在成本。 第一章 緒論 3 第一節 研究動機 3 第二節 研究內容與架構 5 第二章 文獻回顧 7 第一節 融資契約的功能 7 第二節 金融結構與實質經濟活動 13 第三節 股價資訊與廠商投資 18 第四節 抵押品與廠商投資 22 第三章 股價資訊外部性與新投資之採行 27 第一節 前言 27 第二節 基本模型 29 第三節 期中股市均衡與股價效率性 35 第四節 股價資訊外部效益 41 第五節 小結 46 附 錄 47 第四章 抵押品、財務槓桿與廠商投資 53 第一節 前言 53 第二節 基本模型 55 第三節 抵押融資模型-資金寬鬆時的抵押品效果 62 第四節 抵押融資模型-資金緊俏時的抵押品效果 66 第五節 小結 70 第五章 結論 72 第一節 研究限制 72 第二節 未來研究方向 77 參考文獻 79 / This dissertation collects two separate but related papers, both study the channel through which financing contracts can affect firms' investment decisions and the corresponding real effects. The first paper " Informational Externality of Stock Prices and Firms' New Investment Decisions" analyzes what real benefits the information acquisition and signaling function of stocks can produce. From the viewpoint of informational externality, stock prices may disclose some valuable information beneficial to firms' investment decisions. Under the assumptions of " heterogeneous technology" and "new investment as a real option", this paper finds 1. Firms' investment and information acquisition decisions are determined both by their own technology level and stock prices efficiency. With high price efficiency, no firms acquire information directly, all make investment decisions based on stock prices. With low price efficiency, most firms acquire information directly, only few low-tech firms make decisions according to stock prices. 2. Stock prices have additional signaling effect. Firms can ony get half benefits of new information, besides they have opportunity costs in using information. As a result, stock prices can enhance the possibility of information disclosure, improving investment efficiency. 3. When the economy is underdeveloped and the real benefit of new information is small, the net benefit produced by informational externality will be tiny. The stock prices externality effect is thus comparatively unimportant at the beginning stage of economy. The second paper " Collateral, Financial Leverage and Firms' Investment"analyzes the constraints-smoothing function of collateral and its real effects. By adopting Williamson's costly state verification model(1986,1987), I find that with this specific asymmetric information structure, there are financing constraints in capital markets, only firms whose own capital inputs are higher above some level can get borrowed capital. The question is " Can offering collateral smooth this kind of financing constraints?" In markets with abundant capital where capital supply always exceeds demand, capital cost(riskless interest rate)will be an exdogenously-determined parameter which won't be affected by collateral financing. In this scenario, collateral can smooth financing constraints, increase financial leverage and improve the net expected return of investment. On the contrary, if capital is not so abnudant that the capital cost should be determined endogenously by capital market equilibrium, then in the long run this economy's financial leverage depends only on the relative abundance of capital. Though collateral financing can increase financial leverage in the short run, as capital demand increases, capital cost will also increase. This will offset the initial smoothing effect of collateral. After full adjustment of capital cost, at the new equilibrium the financial leverage remains unchanged. However, the expected return of firms with lower own capital inputs become smaller, and their borrowing rates become higher which mean they have heavier debt burden and less net worth at the new equilibrium.

針對金融時序資料變異數不齊一的性質，隨機波動模型除了提供於ARCH族外的另一選擇；且由於其設定隱含波動本身亦為一個隨機波動函數，藉由設定隨時間改變且自我相關的條件變異數，使得隨機波動模型較ARCH族來得有彈性且符合實際。傳統上處理隨機波動模型的參數估計往往需要面對到複雜的多維積分，此問題可藉由貝氏分析裡的馬可夫鏈蒙地卡羅法解決。本文主要的探討標的，即在於利用馬可夫鏈蒙地卡羅法估計美元/新台幣匯率隨機波動模型參數。除原始模型之外，模型的擴充分為三部分：其一為隱含波動的二階自我回歸模型；其二則為藉由基本模型的修改，檢測匯率市場上的槓桿效果；最後，我們嘗試藉由加入scale mixture的方式以驗證金融時序資料中常見的厚尾分配。

本研究顯著地發展時間轉換Lévy過程在最適投資組合的運用性。在連續Lévy過程模型設定下，槓桿效果直接地產生跨期波動度不對稱避險需求，而波動度回饋效果則透過槓桿效果間接地發生影響。另外，關於無窮跳躍Lévy過程模型設定部分，槓桿效果仍扮演重要的影響角色，而波動度回饋效果僅在短期投資決策中發生作用。最後，在本研究所提出之一般化隨機波動度不對稱資產報酬動態模型下，得出在無窮跳躍的資產動態模型設定下，擴散項仍為重要的決定項。 / This study significantly extends the applicability of time-changed Lévy processes to the portfolio optimization. The leverage effect directly induces the intertemporal asymmetric volatility hedging demand, while the volatility feedback effect exerts a minor influence via the leverage effect under the pure-continuous time-changed Lévy process. Furthermore, the leverage effect still plays a major role while the volatility feedback effect just works over the short-term investment horizon under the infinite-jump Lévy process. Based on the proposed general stochastic asymmetric volatility asset return model, we conclude that the diffusion term is an essential determinant of financial modeling for index dynamics given infinite-activity jump structure.