由於信用市場中借貸雙方存在訊息不對稱或信用摩擦等問題，使得解釋貨幣傳遞機能的方式不再拘限於傳統利率管道，進而將解釋途徑擴展至所謂的信用管道上。一般而言信用管道可分為兩種基本途徑，一為銀行貸放管道、另一為資產負債表管道；因為銀行貸放管道較易模型化說明，故現階段對於此管道的研究已有不少，本文不再繁述，將焦點集中在資產負債表管道的探討上。 一般認為資產負債表管道的運作是透過廠商淨值以發揮效用，發現廠商若擁有較低的淨值時，不僅容易出現反淘汰與道德風險等問題，會使得貸款者願意貸款的金額降低，及廠商無法如願借到所需金額，進而減低廠商投資的支出，因此最後影響到整體經濟情況，加速景氣衰退現象；此外學者們提出所謂的金融加速因子模型以驗證資產負債表管道的傳遞方式。 所以本文兩個主要架構，一是在於介紹資產負債表管道理論模型、一是以台灣總體經濟變數檢視資產負債表管道的存在；雖然以目前有限資料所作實證的結果，並無法明確定義台灣確實存在資產負債表管道途徑，但此研究的主要貢獻在於對資產負債表管道影響途徑有一初步的認識，也更進一步提供有關單住、學者重視貨幣傳遞機能的新視野。

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我們用財務比率來建構一個簡單的迴歸模型以追蹤保險公司股價的變化。在解釋變數部分，除了股價/淨值比( P/B)與本益比(P/E)之外，我們加入股價/真實價值比(P/V) 來加以比較。相較於傳統的折現模型，Ohlson (1995)所提出的剩餘盈餘評價模型模型引入了會計上的淨盈餘關係來估計保險公司的真實價值V。 研究顯示出反映未來異常盈餘的公司價值V相較於淨值只有些許的提升，同時我們的結果並未因為不同折現因子的選取而有明顯的差異；另一方面，在分析期間中，小幅度變化的公司淨值與公司真實價值V使我們的迴歸模型有很高的解釋能力。 關鍵字：剩餘盈餘、淨盈餘關係、淨值、異常盈餘、股價/淨值比、本益比 / Ohlson (1995) incorporates the clean surplus relation into the estimation for the value of a company. A financial ratio (price to value) created using Ohlson’s residual income valuation model might outperform conventional ratios like P/B (price to book value) and P/E (price to earning) ratios in explaining the variations in the stock price of a company (Lee, Myers, and Swaminathan, 1999). We hence construct a regression model to examine the applicability of Ohlson’s method and Lee, Myers, and Swaminathan’s results. However, we find that the estimated intrinsic value using Ohlson’s method diverge from the stock price significantly. Using different interest rates as the discount rate cannot generate better results either. Furthermore, the estimated P/V ratios result in only minor improvements over the conventional ratios in the regression model for the stock price. These results are probably due to the invariability and/or the smoothing in the values of insurance companies. Keywords: residual income, clean surplus relation, intrinsic value, abcdrmal earnings

本研究主要目的係探討公股股權對銀行業資本適足性、淨值報酬及股價淨值比之影響。透過代理理論與資源依賴理論之探討董監事人才之遴選對銀行業之重要性，並利用臺灣經濟新報資料庫、金融監督管理委員會網站公布數據或編輯發行之金融統計輯要，暨各上市(櫃)銀行之年報揭露公司治理之相關董監事等資料進行統計分析，進而以公股代表之遴選角度，探討政府(財政部)對具主導權之彰化、華南、第一、兆豐、台企及合庫等6家上市公營銀行，所派任之公股董監事組成差異，有無對公股銀行之資本適足性、權益報酬率及股價淨值比等產生影響，提出未來政府對公營銀行監理及遴選公股代表之參考建議。 本文之實證結果，發現無論在全體公民營銀行，或控制銀行規模後，公營銀行之淨值報酬率並未顯著低於民營銀行；但在股價淨值比方面，公營銀行的市場評價低於民營銀行；另在資本適足性方面，公營銀行與民營銀行亦有差異，公營銀行的資本適足率低於民營銀行。至於就公營銀行比較之實證結果，發現在董事會學者或官員兼任成員之比例組成差異，對各公營銀行之資本適足性及股價淨值比等方面，並未有顯著不同之影響，但在淨值報酬率方面，則不論董事會學者或官員兼任成員比例組成差異，結果均為正向相關，惟未達10％顯著水準。 最後，謹就公股股權管理提出建議如下：1.去除政策性任務，及強化公司治理，落實企業化經營。2.透過合約遴聘專業經理人擔任公營銀行之董事長及總經理，必要時可增訂特別規定，以規範公股代表責任。3.建立董監事之薪資獎酬與績效有效連結制度。4.面臨外商及大陸地區之銀行相繼來台競食國內金融市場，亟需及早規劃公股銀行之最適經濟規模，厚植銀行實力等建議意見，供未來政府監理之參考。

本研究以近15年台灣股票市場所有上市、上櫃、下市、下櫃股票為樣本，利用每季公布之財務報表的資料，市值、現金流量與股價比率、本益比、資產報酬率、負債比率、報酬率之標準差等指標作為篩選股票依據。 首先，先用財務報表的資料建構出Smart Beta Factor，結合主成分分析將各股評分，作為股票篩選之指標。第一步驟先把市值較低、成交金額過低的股票刪除，並依照不同指標篩選出五倍符合投資組合之股票數，接著運用主成分分析評分後的指標將各公司排序，選出分數高的作為投資組合，以達到分散風險的目標。 本文所討論之Smart Beta Factors有Size、Quality、Value、Momentum、Volatility，並將各Smart beta factor結合主成分分析，計算分數以選出優良股票，並以等權重方式進行資產配置，希望能建構出最有利的投資組合，使得獲利穩定成長。 / In this study, using nearly 15 years quarterly financial statement of stock market in Taiwan as samples. Not only use the financial statement to construct the smart beta factor, also use the principle components analysis to calculate the scores of all the stocks, then choose the stock by the scores. First, delete the stocks of low market value and the stocks of low turnover rate. Second, selected five times the number of the investment portfolio by different indicators, then elect the number of investment portfolio stocks by the highest scores calculated by principal component analysis. To achieve the goal of risk diversification. The smart beta factors discussed in the paper are Size, Quality, Value, Momentum, Volatility, also the multiple factor. To combine the method of principal component analysis, calculate the score to select the stocks, in order to contract the portfolio which has the best performance, and can make stable growth of profits.

本研究運用相對評價法中之PBV(Price to Book Ratio)乘數，進行橫斷面 迴歸分析，判斷股價低估(undervalue)或高估(overvalue)，並利用判斷結果進行投資組合部位建立。選取樣本利用台灣50 指數成分股排除公司規模之影響，而研究結果顯示，利用PBV 低估的股票進行多部位建立，在研究期間 全期中，可以明顯超越市場報酬，但在空部位建立則無法超越市場報酬。 研究中並發現，極端值對績效造成影響，其因素為金控及銀行類股與景氣 循環股產業特性所致。 / This research applied the multiple of the price to book value in the relative valuation to begin cross-section regression analysis and to evaluate if the stock price was overpriced or underpriced. The result can be used to develop the investment portfolios. This research used the constituents in Taiwan 50 Index as samples in order to avoid the size effect. During the whole period, we found that we could gain excess profit obviously and defeat the market return by utilizing those stocks underpriced in PBV to develop the long position. However, we could not defeat the market return by developing the short position. In the research, we also found that the extreme value could affect the investment return, which result mainly from both stocks of financial holding companies and banks and stocks of business cycle industries.

企業對於日常發生之經濟事項，按照一般公認會計原則處理，依此原則而編製之財務報表，即為投資人評估及了解公司財務狀況之工具。而會計上所表達之公司價值（資產減負債之餘額）通常也稱為公司帳面價值(BOOK VALUE)。另一方面，公司之股票市價，代表市場上投資人對公司價值之評估，此價值通常被稱為公平市價(MARKET VALUE)。然而公司之帳面價值和公平市價往往不相等，兩者間之差異即為未實現損益。而差異產生的原因，即歸因於會計對於經濟事項處理之特殊規範。 　　由上述分析可知，未實現損益的多寡便會間接影響BV/MV ratio的大小，而未實現損益可能來自於資產，亦可能來自負債，而本論文僅討論資產面之未實現損益。以單一資產為例，從資產的購置使用至處置、廢棄為止，不論其未實現損益有多少，終因資產的報廢或處置而將未實現損益認列，因此公司之未實現損益便會受到資產狀況的影響。若將所有樣本按可折舊性資產多寡，以及資產平均耐用年限長短分類，然後進行相關之實證分析，其結果應會有顯著的差異。 　　本研究對象為台灣之上市公司，除此之外，研究之時間落差(Time Lag)從二期至七期。實證結果顯示，就以可折舊性資產多寡分類之樣本而言，可折舊性資產較多之樣本的模式解釋力確實比可折舊性資產較少之樣本高。其次，按資產平均耐用年限長短分類之實證結果而言，資產平均耐用年限較長之樣本，要將未實現損益認列所花費時間，明顯較資產平均耐用年限較短之樣本來得長。此外，針對部分和預期不符之實證結果，改採Fixed-Effect Model進行修正，結果顯示Fixed-Effect Model之修正效果相當良好。

The international banking industry has paid much attention to private banking business because of its high profit. Although this business has hundreds of years of history in the United States and Europe, by contrast, it is still on the primary stage in China. Not until 2007 have more and more domestic bankers started to participant in this field. In recent years, China’s economy has maintained the rapid growth regarding the performance of GDP, stock market, real estate, etc. Benefit from the strong economy, the wealthy population and their wealth volume has been increased, those provide a good foundation for development of this business. At the meantime, with the continuously opening of China’s financial market and the demands for improvement of profit structure, this business has become a core strategy for domestic banks become to eager to develop. Under the incentive of market potential and pressure of external competition, China’s domestic banks still need to overcome some difficulties at the present stage to enjoy high profit from this business. Those obstacles includes the immature demands for financial services, the inadequate the external financial environment and lack of internal criteria within banks. Hence, on the one hand, the government should create a fine financial environment to help bankers to develop more advanced products or services to meet the clients’ demands. On the other hand, and bankers themselves should enhance the staff’s qualify and utilize the modern customers management techniques and information system to distinguish the target clients and their demands. / The international banking industry has paid much attention to private banking business because of its high profit. Although this business has hundreds of years of history in the United States and Europe, by contrast, it is still on the primary stage in China. Not until 2007 have more and more domestic bankers started to participant in this field. In recent years, China’s economy has maintained the rapid growth regarding the performance of GDP, stock market, real estate, etc. Benefit from the strong economy, the wealthy population and their wealth volume has been increased, those provide a good foundation for development of this business. At the meantime, with the continuously opening of China’s financial market and the demands for improvement of profit structure, this business has become a core strategy for domestic banks become to eager to develop. Under the incentive of market potential and pressure of external competition, China’s domestic banks still need to overcome some difficulties at the present stage to enjoy high profit from this business. Those obstacles includes the immature demands for financial services, the inadequate the external financial environment and lack of internal criteria within banks. Hence, on the one hand, the government should create a fine financial environment to help bankers to develop more advanced products or services to meet the clients’ demands. On the other hand, and bankers themselves should enhance the staff’s qualify and utilize the modern customers management techniques and information system to distinguish the target clients and their demands.

本研究以1997至2001年國內高研發密度之上市上櫃公司為研究對象，探討高研發密度公司揭露非盈餘以及智慧資本相關資訊之行為。首先探討企業揭露資訊之偏好及趨勢，再分析影響企業揭露非盈餘及智慧資本資訊頻率之因素，並探討企業股價與帳面價值間之差異及股票週轉率與企業揭露智慧資本相關資訊之關聯性。 實證結果發現，公司主動揭露與盈餘有關資訊之頻率有逐年下滑的現象，而揭露非盈餘及智慧資本相關資訊的頻率則有逐漸升高的趨勢。以分組檢定結果而言，未預期盈餘為正且幅度較大的公司在揭露智慧資本資訊方面顯著較未預期盈餘為負且幅度較大的公司積極。就影響企業揭露非盈餘以及智慧資本相關資訊之因素而言，未預期盈餘、員工每人營業利益、研發密集度，以及每人配備率與揭露非盈餘及智慧資本相關資訊之次數均呈顯著正向關係，而董監事持股比率以及用人費用率則與兩項資訊之揭露次數呈顯著負相關。 此外，屬於資訊電子業以及規模較大的公司，揭露非盈餘及智慧資本相關資訊之意願較強。就企業股價與帳面價值之差異以及股票流動性而言，資訊電子業之股價淨值比及股票週轉率均較非資訊電子業為高，策略聯盟（流程資本）資訊揭露次數與股價淨值比呈顯著正（負）向關係，新產品及策略聯盟（人力資本）資訊揭露次數則與股票週轉率呈顯著正（負）相關。 關鍵字：自願性揭露、智慧資本、市價淨值比 / Based on a sample of firm listed on TSE, this thesis investigates the voluntary disclosure behavior ofR&D intensive companies in Taiwan over the period of 1997 to 2001. With an emphasis on non-earnings and intellectual capital-related disclosure policies, we first explore the disclosure behavior in terms of frequency and type of information revealed by management. We then examine whether price-to-book (P/B) ratio and stock turnover ratio reflect the disclosure of non-earnings and intellectual capital-related information. The empirical results suggest a declining trend in disclosing earnings information, with an opposite tendency in non-earnings information over the period examined. In addition, unexpected earnings and variables proxy for intellectual capital determine the disclosure behavior of non-earnings and intellectual capital-related information. Firms with operating performance far beyond market's expectation tend to disclose more intellectual capital-related information than firms with operating performances far worse than market has expected. Variables such as operating income per employee and cost of human resource (proxies for human capital), R&D intensity (proxy for innovation capital), equipment per employee (proxy for process capital) as well as the ratio of directors' shareholding are found to be significantly related to the disclosure frequency of non-earnings and intellectual capital-related information. The findings also indicate that electronics and software industries are more likely to disclose more non-earnings and intellectual capital-related information and have higher price-to-book and stock turnover ratios as compared to other industries in the sample. Firms disclose more (less) strategic alliance (process capital) information is found to have higher price-to-book ratios. Firms disclose more (less) strategic alliance and new product (human capital) information is found to have higher stock turnover ratio. It appears that more disclosure on intellectual capital-related information does not necessarily and monotonously explain the variation in both price-to-book and stock turnover ratios. Key words: voluntary disclosure, intellectual capital, price-to-book ratio, stock turnover ratio

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