台灣期貨交易所於92年1月20日推出到期採實物交割的股票選擇權契約，希望能提供市場更豐富、更多元的避險以及套利機能。然自股票選擇權推出以來，市場成交量並未如預期般蓬勃發展，便失去台灣期貨交易所推出股票選擇權之用意，不能使其充分發揮其多元之避險套利機能。多數人主觀認為，採用現金交割方式的衍生性金融商品容易受到人為操縱。一般而言，研究市場的人為操縱因子多以報酬波動率及到期日效應作為觀察指標，因此商品之交割方式與報酬波動率及到期日效應有一定之關聯。然而近來國外許多相關研究發現，採實物交割與現金交割，對股票選擇權的到期日效應並未產生差異，反而是透過結算制度的設計，可以有效降低人為操縱的機率。本研究旨在研究股票選擇權改採現金交割之可行性分析，研究到期日採現金交割是否就是增加人為操縱機率的主要因素，且到期日效應與到期交割方式是否又有絕對的關係？而根據文獻了解，到期日報酬波動率與受人為操縱之跡象是呈現正向關係。 / 因此本研究對指數期貨在到期日與非到期日時對指數現貨價格以及個股股價報酬波動率的影響程度進行實證分析，以報酬波動率之異常現象判斷是否有所謂到期日效應。 本研究實證結果指出，在台指期貨到期日報酬波動率和摩根台指期貨到期日的報酬波動率實證結果發現所有樣本在台指期貨到期日的報酬波動率都顯著高於摩根台指期貨到期日的報酬波動率。顯示台指期貨結算制度雖為到期日下一交易日開盤前十五分鐘個股成交量加權平均價結算，但並未有效降低異常報酬波動率的發生。根據國外研究結果發現，個股期貨能降低到期日效應之影響。此外，採實物交割與現金交割，對股票選擇權的到期日效應並未產生差異。為了降低到期日效應且提升市場的效率性，建議股票選擇權改為現金交割之外，尚可考慮開放個股期貨的交易。 / Taiwan Futures Exchange launched stock options on January 20, 2003, hoping to provide the market with more hedging and arbitraging opportunities. However, the trading volume does not grow as was expected. The low trading volume does not meet Taiwan Futures Exchange’s goal to provide the market with hedging and arbitraging mechanism. Most people think that derivatives applying cash settlement lead to manipulation. Researchers studying manipulations take the volatility of returns and expiration effects as the factors of their studies. However, some recent studies suggest applying cash settlement or physical settlement does not have much impact on expiration effects, while applying proper settlement system can reduce manipulation. / This research investigated the possibility of stock options applying cash settlement and examined the volatility of returns of stock indexes and stock prices during settlement and non-settlement days to determine if expiration effects exist. In this study, we found the volatilities of returns of all samples during TAIFEX settlement days are significantly higher than the volatilities of returns during SIMEX settlement days. All of our samples have significant higher volatilities of returns during TAIFEX settlement days and SIMEX settlement days except CMO, which does not have significant higher volatility of returns during SIMEX settlement days. Other researches point out the adopting of stock futures reduces the expiration effects. Furthermore, adopting cash settlement or physical settlement does have much impact on expiration effects. To decrease the expiration effect and to increase the effectiveness of the market, this study proposes the adoption of cash settlement and the launching of stock futures.

本研究就台灣上市母子公司之現金增資發行與新股發行海外存託憑證進行事件研究與發行個體的選擇研究，是否在母子公司的架構下因為發行個體的選擇會為公司帶來不同的宣告效果影響，進而提升公司籌資彈性。 在事件研究上，宣告發行新股對發行公司而言在發行公司為母公司時有負向的效果，子公司則可能因為成長機會存在而不顯著為正；對非發行公司而言，則無顯著價格效果存在，可見宣告效果僅存在於發行公司。與國外Vijh (2006)的實證研究結果相符。但母子公司架構下，母公司的管理階層仍有就發行個體作選擇。管理階層傾向選擇前期股價高估程度較高之公司進行新股發行；在子公司有資金缺口時傾向以子公司作為發行個體，然而在母公司有資金缺口時則不一定選擇以母公司為發行個體，可能因子公司通常為成長型公司，此時選擇以子公司發行對子公司股價影響程度較低。 / This study examines if parent-subsidiary structure is capable of enhancing a company’s financial flexibility by influencing the announcement effects of issuing SEOs and DRs in Taiwan. The event studies under the parent-subsidiary structure in Taiwanese companies show that: 1) When issuing companies are the parent company, issuing companies have negative announcement effect. 2) When issuing companies are the subsidiary company, issuing companies have non-significant positive effect, probably due to high growth potential of subsidiaries. 3) For non-issuing companies under parent-subsidiary structure, the evidence shows that there are no significant effects. Yet under parent-subsidiary structure, the executives do choose the issuing entity between parent and subsidiaries. Executives lean to choose more overvalue entity as issuing companies. And choose subsidiary to issue stocks when subsidiary do have positive deficit. But when parent company has deficit executives are not significantly choosing parent company to issue stock. This may be due to the reason that subsidiaries are usually with higher growth potential and result in less announcement effect on the stock price.

國內上市櫃公司歷經大量增資膨脹股本，致EPS、ROE及每股淨值每況愈下，經營者壓力日增；直到民國91年晶華酒店完成第一例現金減資案，開啟了績優公司也可以透過減資的方式，成功改善財務績效(EPS、ROE及每股淨值)，使股價更上一層樓，原股東可取回一大筆現金，且可以有效降低代理成本，逐漸引起其他上市櫃公司群起效尤。 本論文採用從民國91年起至96年3月31日止董事會宣告辦理現金減資案之上市櫃公司，共計10家公司14件現金減資案，其中中連貨運連續4年辦理選取第一次進行研究，故本論文實際探討個案共計10家11件個案。 為檢視辦理現金減資公司之財務背景，本論文選擇每股盈餘、營收成長率、負債比率、現金及短期投資佔資產比率、現金及短期投資佔股份及每元股本之營收為財務指標，於個案內容中加以探討，以檢視辦理減資公司之財務業務特性。 本論文採樣之現金減資個案宣告效果，係分別從董事會公告及新股票重新掛牌等兩個階段之宣告前三日、第一日、後三日、後一週、一週後至二週、二週後至一個月之股價表現，扣除同期間大盤指數表現後，得出之異常報酬率，再除以標準差，算出標準差之個數，藉以衡量宣告之效果。 辦理現金減資公司之重要財務特性： 1.本業營收多數處於減緩之趨勢，或是所營事業屬於產業之成熟期。 2.負債比率低，案例中平均負債比率低於兩成。 3. (現金+短投+股本)除以總資產之全體平均數接近8成。 4.平均每股有超過5元以上現金可退還給股東。 5. 股本太大以致於每元股本產生之營收太小。 辦理現金減資公司宣告效果重點如下： 1.董事會宣告第一天平均值有非常明顯之正向宣告效果，其他時間則不明顯。 2.新股重新掛牌當日平均值有非常明顯之正向宣告效果，其他時間則不明顯。 3.中長期（一個月至一年）宣告效果並不明顯。 理論上現金減資前後股東持股之總價值不變，但由於在董事會第一日或新股掛牌當日多數會有宣告效果，而且退還現金可讓股東做更有效率運用，因此，上市櫃公司適度辦理現金減資，對股東價值而言的確會有某種程度之助益。

企業價值評估是企業管理和企業投資的熱門問題，半導體產業又是高科技發展的關鍵。所以本文就台灣半導體產業的兩個晶圓代工企業之價值評估問題進行對比討論，分別用實質選擇權與自由現金流折現模型來對台積電和聯電進行價值評估。分析中發現實質選擇權方法在評價中比較能充分考量到企業投資決策的彈性，卻對於企業在行業中的領先地位比較難把握；而自由現金流折現模型對於財務報表的數據十分敏感，關於增長率的估計比較難把握，從而使企業價值評估的波動性較大，所以可以綜合兩個方法來進行評價，則可以減少估計誤差。本文的後半部分主要是基於半導體的產業狀況，對台積電與聯電兩家晶圓代工企業的經營策略進行分析，得出科技企業的經營收益與對技術研發的投入呈正相關，也與管理層的理念與穩定性以及上下游產業鏈穩定性密切相關。 / Business Valuation is an important issue for business management or business investment. The semiconductor industry is also an important part for high-tech development. Therefore, this paper focuses on the valuation of two foundry companies in semiconductor industry in Taiwan. Respectively, this paper uses the real option and the discounted cash flow models to assess the values of TSMC and UMC. The analyses find that the real option approach can consider the flexibility of enterprise investment strategy better than the discounted cash flow approach, while it is difficult to grasp the leadership of the company in the industry. The data from the financial statements is too sensitive for the discounted cash flow approach, and the uncertainty about the growth of a company contributes the volatility of the business valuation; therefore, by considering both approaches can reduce the valuation errors. The other part of this paper is based on the semiconductor industry analysis. With the comparison of the corporate business strategies of TSMC and UMC, we find that the operating income of scientific and technological enterprises is positively correlated with business investment in R&D, meanwhile it is closely related to the concept and stability of the manager, as well as the stability of the upstream and downstream supply chain.

為分析長期與短期公司避稅行為之決定因素以及相關產業效果，本文以實證 方法檢視租稅規避行為之決定因素，並以現金有效稅率及調整後財稅差異作避稅 指標，研究對象為 2002 年至 2012 年之台灣上市櫃公司，同時排除性質特殊之金融業以及臺灣存託憑證(TDR)。 首先，本文採固定效果模型進行短期避稅行為之分析，其實證結果顯示當企 業知名度較高、研發投資較多、負債資產比較高、投資損失較多及關係企業設立 在租稅天堂時，企業積極從事避稅行為的可能性較低。另一方面，結果顯示當企 業持有固定資產較多、投資利益較多、獲利較多及有前期淨營業損失時，企業積 極從事避稅行為的可能性較高。 其次，本文採普通最小平方法模型進行長期避稅行為之分析，其實證結果顯 示當企業長期知名度較高、負債較多、投資損失較多及獲利較多時，企業積極從 事長期避稅行為的可能性較低。另一方面，結果顯示企業長期固定資產較多、研 發投資較多及投資利益較多時，企業積極從事長期避稅行為的可能性較高。 最後，為觀察個別產業之避稅行為，本研究進行平均值差異數 T 檢定、長期 普通最小平方法回歸結果以及 F 檢定，結果顯示：半導體業、建材營造業等產業 積極從事避稅行為的可能性較高。另一方面，觀光事業、油電燃氣等產業積極從 事避稅行為的可能性較低。

企業營運績效通常是以會計報表上的數字為參考，例如，資產報酬率(ROA)、每股盈餘(EPS)、股東權益報酬率(ROE)與資本報酬率(ROC)等，但這些數字通常受制於許多會計規範，且忽略股東資金成本，若只觀察這些會計數據可能無法忠實呈現一間公司的實際價值與績效。1995年由紐約Stern Stewart & Co.財務顧問公司所提出一個結合會計及經濟之觀念的財務績效衡量指標，現在已廣被使用作為企業價值的衡量工具。能夠以目前會計報表裡的資訊運用若干公式原理而更能充分的呈現在原始會計報表無法獲取的有用的訊息，而更能夠以投資者的角度觀察企業經營者所制定之決策是否以股東之權益為優先考量。本研究係採個案研究方式，分析經濟附加價值，並應用企業評價中自由現金流量折現法，經由三種假設情況下的情境分析，評估個案公司企業價值；最後透過敏感性分析拆解選取關鍵驅動因子，作為提供個案公司未來營運策略與方針之參考。 / The measurement of the firm’s performance usually rely on a lot of normal accounting statements, for example assets rate of returns (ROA ) , per share surplus (EPS ) , stockholder's equity rate of returns (ROE ) and rate of returns of capital (ROC ) ,etc. Those numbers have to follow the Generally Accepted Accounting Principles（GAAP）and ignore the cost of equity. If only observe those accounting numbers, it is hard to faithfully expressing the real value and performance of an enterprise. The Economics Value Added (EVA) concept was proposed in 1995 by the New York Stern Stewart & Co. financial adviser company. It combination of accounting and economic concepts based on financial performance measures. It can show some primitive useful message that accounting statement can't be obtained abundant at present. This concept has been widely be used as a measure of corporate value tool. Our research, which applies case study method, attempts to analyze the EVA value and determine the value of company S by using the discounted free cash flow model under three hypothetic scenarios. In addition, we conduct sensitivity analysis model to find the key value-driving factor of the company, which will be considered in planning future operating strategy.

本論文在實質與貨幣內生成長模型中探討政府租稅的效果，而其中又以稅制改革政策為主角。 在第二章中，我們將內生生育率的概念引入了Romer (1986)的實質經濟成長模型，並說明當政府在維持稅收中立的原則下將所得稅制轉換為消費稅制時，將可能對經濟成長與社會福利有所傷害。而後我們也提供了一些數值模擬以支持我們的論點。至於第三章，我們將勞動供給內生的概念引入一個有預付現金限制(Cash-in-Advance)的貨幣經濟成模型，在本章中我們得到了所謂「Mundell-Tobin Effect」與「消費稅中立性」的成立與否，將取決於政府稅收的用途；接著我們把焦點放在資本的生產外部性與消費稅所造成的扭曲上並導出最適貨幣政策；最後，在維持政府的支出水準下，我們得到將消費稅制轉換為通膨稅制時，將對經濟成長有正面的效果。 / The dissertation provides a theoretical framework to investigate the effects of tax policies, especially the tax reform, in real and monetary models of endogenous growth. In Chapter 2, by shedding light on the endogenous fertility choice, we set up a simple Romer (1986)-type endogenous growth model and show that, in a departure from the existing literature, a switch from a decrease in income tax rate to an increase in consumption tax rate so as to ensure a revenue-neutrality could be harmful, rather than favorable, to both growth and welfare. In addition, we also conduct a simple numerical analysis to investigate the conditions in which the negative effect on growth and welfare occurs. As to the monetary model, an endogenous growth model with endogenous labor-leisure choice and cash-in-advance (CIA) constraint which is only imposed on consumption is established in Chapter 3. Through the model, we found that the Mundell-Tobin effect and the validity of consumption tax neutrality depend on the usages of tax revenue. Next, focusing on the distortions due to the production externality of capital and consumption tax, the optimal monetary policy is also derived. Finally, we show that a switch from consumption taxation to inflation taxation to finance a given stream of government expenditure, namely tax switch, enhances economic growth through the increase in labor supply in a CIA economy and the qualitative equivalence between MIU and CIA approaches is still valid.

工業電腦屬於較特殊的利基型資訊電子產業，具有少量多樣、高毛利且競爭者多而分散的特質。在過去國內對於該產業評價的研究中較少。故本研究希望能透過研究工業電腦產業中五家主要的上市廠商，計算個案公司股價合理區間與驗證真實股價的合理性。研究結果一方面可提供工業電腦廠商作為未來企業經營的參考，另一方面，幫助協助投資人理性評估企業價值，做為參考的依據。 本研究主要以2003年以前上市之研華、威達電、研揚、凌華及瑞傳五家工業電腦廠商為樣本，依各公司從2000年至2003年之財務報表來推估個案公司未來成長率及獲利表現。並利用現金流量折現法採銷售導向及盈餘導向二種模式，分別針對樂觀、最可能發生及悲觀三種情境估算其實質價格區間。同時與各個案公司當前前之實際股價相比較，以推論目前股價的合理性以及目前股價可能隱含的的銷售成長率及盈餘成長率，並將各個評價因子製成龍捲風圖，來進行各關鍵評價因子對股價影響的敏感度分析。 實證結果顯示，研華、威達電、研揚、凌華及瑞傳的合理股價區間為分別為69~81元、54~65元、31~40元、57~71元、55~65元。對照當前的股價，研華、研揚及瑞傳的股價均落在合理區間，而威達電的股價有下滑趨勢。而凌華的股價則是長期被低估。另敏感性分析方面，邊際利潤率及盈餘成長率對研華、凌華及瑞傳的股價影響都很大，而研揚股價則受邊際利潤率的影響最大。威達電的股價則是對ROIC與邊際利潤率最為敏感。

台灣本身係屬於一種外貿型的經濟體系，貿易依存度高，運輸對台灣來說可算是經濟發展的重要關鍵，由於運輸係屬於衍生性需求，運輸公司的經營績效易受景氣而波動，導致企業及投資者不容易知道公司本身之潛在投資價值，故本研究希望能透過評估運輸產業中五家主要的上市公司，估算樣本公司股價合理區間與驗證實際股價的合理性。研究結果一方面可提供運輸公司做為未來企業經營時的參考，另一方面，可做為投資人在理性評估企業價值時的參考依據。 本研究主要以在2003年之前上市的長榮海運、陽明海運、萬海航運、中華航空以及長榮航空五家運輸公司做為樣本，以其1999年至2003年之財務報表作為預估個案公司未來的成長率及獲利率的依據，並利用現金流量折現法分採銷售導向及盈餘導向兩種模式，依樂觀、最可能發生及悲觀三種情境，估算其實質價格區間，並與個案公司之實際股價相比較，以推論目前股價的合理性以及目前股價背後隱含的營收成長率及盈餘成長率，另利用敏感性分析將各個評價因子繪製成龍捲風圖，以觀察個別關鍵評價因子對股價的影響程度。 實證結果顯示，長榮海運、陽明海運以及萬海航運等三家海運公司中，除萬海航運股價略微被低估外，其股價大都位在合理價格區間內；中華航空及長榮航空兩家航空公司由於受到業外虧損影響，以及進行評價時只考慮本業營運部分，因此其實際股價長期低於合理實質股價區間；另敏感性分析方面，經由各個案公司之龍捲風圖可明顯發現，銷售利潤率對陽明海運、萬海航運、中華航空以及長榮航空的股價影響幅度最大，而影響長榮海運股價幅度最大的評價因子則為盈餘成長率，另影響股價幅度最小的評價因子則主要是營收成長率。 / The study mainly focuses on the samples of 5 public offering companies in transportation industry; they are Evergreen Marine, Yang Ming Line, Wan Hai Lines, China Airlines, and Eva Air. Based on their financial statements through 1999 to 2003, the study speculates their growth rates together with profit margin on sales in future. Furthermore, from each scenario, optimistic, possible, and pessimistic, the study employs two models of Earning-Driven and Sales-Driven Discounted Cash Flows (DCF) respectively to infer their intrinsic value. Comparing the value to their market prices, the study estimates their reasonableness as well as implicit sales growth rates and earning growth rates. In the end, the study makes use of sensitivity analysis to present valuation factors in a tornado chart for every company so as to observe how the factors influence its market price. Judging from those charts, the study concludes that profit margin on sales has great influences on the market prices of Yang Ming Line, Wan Hai Lines, China Airlines and Eva Air, whereas what influences Evergreen Marine most is the factor of earning growth rate. On the other hand, sales growth rate has the fewest influences upon all of the market prices.

我國股市參與者向來以自然人為主，自然人所佔之比例約80%，即是一般俗稱的「散戶」。但散戶往往對於財務報表、業績、獲利能力等基本面資訊之依賴性極低，且無法使用及消化過於複雜之資訊，導致多數散戶投資者僅是抱著投機的心態盲目跟進，極容易成為公司內部人與市場中炒手不當得利的犧牲者。故本研究擬站在小額投資人之立場，嘗試由較為小額投資人熟知、容易瞭解且能直接反映企業營運優劣之「利潤」觀點出發，藉由分析損益表及現金流量表關鍵的財報資訊，可幫助投資人判讀企業體質好壞，進而能投資具成長性之企業，同時更能有效降低因投資失敗企業而遭受重大之損失之風險。 　　本研究以我國股票上市、上櫃、興櫃及公開發行公司為研究對象，探討所篩選出之損益與現金流量項目，對於評估企業經營績效與預測財務危機的效用，即判斷篩選的損益與現金流量項目是否對企業經營績效具有評價攸關性及對企業財務危機具有預測攸關性；並以獨立樣本t檢定、迴歸分析及Logistic分析，對假說進行檢定。 　　經過實證結果，獲致以下的結論： 1.損益與現金流量項目對企業經營績效之評價攸關性：本研究所選取之關鍵損益與現金流量項目均對企業短期、中期及長期經營績效具有顯著的解釋能力； 2.損益與現金流量項目對企業財務危機之預測攸關性：本研究所選取之關鍵損益與現金流量項目均對企業爆發財務危機前3年度內，區分出財務危機公司與正常公司之顯著差異，顯示所採取的變數具有差異性價值。 / The individual investors account for 80% as compared to 20% institutional investors, which characterized Taiwan’s stock market. Individual investors lack the capability to comprehend financial statements. They seldom rely on fundamental analysis of corporate performance to make investment decisions. In a stock market with the characteristics as Taiwan the individual investors are usually the victims of insider trading and market speculation. The purpose of this study is to identify certain financial items from income statement and the statement of cash flows which are easy to understand by the individual investors and are valuation relevant as well as possessing the capability to predict the financial distress of listed companies. Nine financial items from income statement and the statement of cash flows were selected for test and the results indicate that: 1.All selected financial items are valuation relevant in distinguishing short term, mid-term and long term operating performance. 2.All selected financial items are capable of predicting financial failure of enterprises three years preceding the financial distress emerge.