企業往往會利用財務活動之變更，或是權衡性會計項目之操縱，來達到美化帳面盈餘之目的。而「銀行業」更因其產業特殊性，一直以來這種盈餘管理之幅度均高於其他產業；但是除了產業別之差異會影響盈餘管理程度之外，時間演進所造成的產業環境改變，以及個別企業體「公司治理」優劣程度，亦有可能造成經營階層進行盈餘操縱之動機的強弱差異。 本研究建立銀行業四大財務決策：放款、票券買賣、壞帳費用提列以及股利發放之聯立方程式，並使用台灣地區36家上市櫃商業銀行的財務報表資料，實證分析上述財務行為間的互動關係。本文首先利用時間面之切割，分析1991-1996、1997-2001年間銀行業盈餘管理程度之差異；其後更利用La Porta et. al.,（1999）所提出的股權偏離概念作為衡量銀行管理當局的道德風險指標，依此檢測「盈餘管理」程度是否因為道德風險的提升而隨之增加。實證結果顯示在1991-1996年間，非操弄性（原始）盈餘越高的銀行，反而會再增加票券買賣利益與降低壞帳費用提列，進一步提高營業利益；然而，原始盈餘為負的銀行，損益平滑化的現象顯著。在加入道德風險指標後，可以發現利用票券買賣進行盈餘管理，是銀行界普遍的狀況，而盈餘管理的程度會隨著道德風險的增加而提升，但是原始盈餘為負的銀行則較不傾向利用票券的買賣進行盈餘管理。在壞帳費用提列方面，可以發現銀行普遍利用壞帳費用的提列來進行損益平滑化的動作，但是道德風險之差異卻對原始盈餘為負的銀行之影響較為明顯。

Pervious academic researches point out that there are two-way effects in the relationship between fund return performance and cash flows. The preceding fund return performance would attract net cash flows and cash flows would adversely affect the succeeding fund return performance. This paper tries to verify that whether these effects exist in Taiwan and examine these effects in more details. The results are partly consistent with pervious literatures. In our sample, we find that fund return performance positive influences both cash inflows and outflows and cash flows do affect succeeding return performance.

In response to the changing financial environment both internally and externally, the government endeavored to pass the Financial Holding Company Act, which is intended to provide an environment conducive to financial integrations. According to the Principal-Agent theory, agency problems tend to take place when misalignment occurs between an ultimate owner’s cash flow rights and voting power. It is of interest whether the financial holding company structure actually increases or decreases such misalignment. The shareholdings of the Hong family of SinoPac Holdings is the subject of this research, and the essence of the research is to examine the Hong family’s shareholding and their actual control based on the one-share-one-vote principle before and after the holding company structure. The findings conclude that the misalignment between the Hong family’s ownership and control in fact increases under the holding company structure, which is generally viewed as a negative sign of corporate governance. Notwithstanding, the Hong family has adopted some measures to strengthen corporate governance despite the widening misalignment.

國內證券信用交易中介機構係採雙軌制，由復華、富邦、環華、安泰等四家證券金融公司，以及多家自辦信用交易的證券商共同辦理，國內因證券信用交易市場發展的背景衍生出特有的證券金融公司，經過近二十七年的發展，證券金融公司在證券市場的地位及重要性已經產生質變，發展上長期面臨的核心問題為： 1.業務集中度偏高以及； 2.業務規模萎縮導致經營不具經濟效益。 本研究結果係建立於外部資訊上，其中雖然有客觀的基礎數據，然亦包含若干主觀判斷的假設值，以個案公司歷史之財務業務資訊為推論基礎， 透過EVA®觀點評估企業之超額報酬及採取權益現金流量(Equity Cash Flow Approach)折現方式推論個案公司之企業價值。 就本個案之研討結論來看，個案公司似已經陷入產業的衰退期，從財務的訊息所獲得的是低度成長性及低報酬率，而且未來之成長動能力道相當微弱，尤其是代理券商家數逐漸減少，因此就資本投入之機會成本、學理研究以EVA®及超額報酬長期處負值產生的低投資價值企業，現有之經營者實應評估與衡量現存之產業情態，應思考企業有無發展另一再成長動能之機會，如無，則應思考與其他同業合併、業務讓與、甚至減資撤出資本的可能。

La Porta 等人以提高內部人持股可使內、外部股東利益一致，進而降低代理問題的觀點出發，在2002 年發表的實證研究中指出，提高內部人持股有助於提升公司的價值，特別是在對外部投資人保護較差的國家；他們也發現，對投資人保護程度愈好的國家，該國企業的價值也較高。本研究則從提高內部人持股可能產生的代理問題著手，在利弊同時存在之下，以涵蓋範圍更廣、時間更長的樣本，探討在不同的投資人保護環境下，提高內部人持股對公司價值的影響，以及投資人保護程度對於內部人持股集中與分散的公司價值是否也有不同的影響。 本研究發現，在投資人保護較佳的國家，提高內部人持股會傷害公司價值，但在投資人保護較差的國家，提高內部人持股可增加公司價值。另外，公司價值與內部人持股率之間呈現曲線關係，當內部人持股率相對較低時，提高內部人持股對公司價值是弊多於利；當內部人持股水準相對較高時，提高內部人持股則是利多於弊。而投資人保護程度對於內部人持股較分散的公司而言，顯得較為重要。因此，法律層面對投資人的保護程度和內部人持股集中度對於公司價值的影響有顯著的替代效果。 / This paper uses a sample of companies from 34 countries around the world to shed light on the relationships among legal protection of shareholders, ownership structure, and firm value. La Porta et al. (2002) indicate a positive relationship between cash flow, ownership, and firm value, especially in countries with poor investor protection. Besides, they also find evidence of higher valuation of firms in countries with better protection of minority shareholders. However, they don’t consider the effect of higher ownership on the cost of stealing, which may cause the controlling shareholders to expropriate more from minority shareholders. Also, their study covers only large firms with a controlling shareholder by one year data. Their results can be restricted to large firms and a particular year. Therefore, we use more comprehensive time series and cross section data to probe into the subject. Using various specifications of the valuation regressions of Fama and French (1998), we find that higher ownership improves valuation in poor protection countries while higher ownership deteriorates valuation in good protection countries. In addition, stronger legal protection improves firm value, especially the firms with low ownership concentration. That is, there is a substitute effect of legal protection and ownership concentration on firm valuation. Finally, we also testify that dividends are valued more in poor protection countries and firms with low ownership concentration.

摘要 衡量壽險公司利率風險的初步作法是估算保單的存續期間。保單的存續期間因現金流量模式的不同與一般債券的存續期間有很大的差異。壽險保單未來不只會產生現金流出 （給付和費用），還會有現金流入（保費），其淨現金流量因而有可能變號，所以壽險保單的存續期問可能小於○，也可能大於到期日，甚至還可能因為準備金接近○的關係而有很大的數值。此外，保單的存續期間不太受死亡率下降的影響，解約率升高通常會使存續期問的數值降低，而佣金的平準化則會使原本正的存續期問變小。從壽險公司銷售保單組合可能的結果（平穩、成長、衰退等三種型態）來分析負債存續期間，由其結果可知一個新創立或成長型的壽險公司其所面臨利率風險的衝擊要大於一個處於平穩型或衰退型的壽險公司。 關鍵字：存續期間、利率風險、淨現金流量、壽險保單、準備金 / Abstract Estimating the duration of the life insurance policy is the first step in measuring the interest rate risk of the life insurance company. Life insurance policy's duration is quite different from bond's due to the difference in the pattern of cash flows. Life insurance policies generate not only cash outflows as payments to policyholders from insurance companies but also cash inflows as premiums from policyholders to insurers. Furthermore, the net cash flow usually turns from inflow to outflow as time goes by. The duration of the life insurance policy therefore could be negative or longer than the maturity of the policy. It could even be huge if its reserve is close to zero. Besides, the mortality rate does not have a significant impact on policy duration; early surrenders of policies would reduce policy duration in general; and leveling commission rate would make positive duration smaller. Findings concluding from analyzing the likely results, referring to the steadying, growing and declining modes, of insurance portfolios offered by life insurance companies for analyzing their liability duration, indicate that the interest rate risk exposure by a start-up life insurance company or a growing life insurance company is greater than a life insurance company that is at a steadying or declining phase. Keywords: duration, interest rate risk, net cash flow, life insurance policies, reserve.

在醫療科技與衛生技術飛快地進步下，死亡率不斷改善所帶來不確定產生的長壽風險，已經成為世界各國重視的議題之一，為了因應長壽風險所帶來的衝擊，壽險公司與退休基金發展出多種避險策略，商品內自然避險為其中一種。 本文以淨值免疫和現金流免疫的方法來探討商品內自然避險的效果，發現因為長壽風險造成錯誤定價的緣故，在被保人邁向高年齡時，壽險商品因死亡率改善的效果與一般預期有明顯出入，造成商品保單期間末期自然避險效果消失，本文定義此現象為“壽險反轉效果”，本文並進一步探討其生成原因與解決方法，發現其與亡率改善以及生存曲線矩形化的現象有關，本文接著探討台灣的生存曲線矩形化現象，以釐清“壽險反轉效果”的發生原因。 / Thanks to the improvement of technology and medicine, mortality rate has been improved but also triggered the uncertainty of longevity risk, making longevity risk an important issue around the world. In order to decrease longevity risk, the insurers and pension funds has developed several hedging strategies. Natural internally hedging is one of the common hedging strategies. Some of the insurance products share the concept of Natural internally hedging, such as endowment. The advantage of Natural internally hedging is that it helps the insurer to avoid basis risks and lower the management costs and expenses. However, it fails to be adjustable by varies of the unexpected mortality rate. This thesis will discuss and analyze the trend of cash flow of life insurance and annuity, aiming at establishing principles for insurance product design, which are designated to hedge longevity risk by the offset of the value of life insurance and annuity. During the research, this thesis found that the longevity risk can’t be hedged because the impact of “The reversion of Life product”. The following parts of this thesis discussed the reason why “The reversion of Life product” happened and how to solve it.

有鑑於國內投資人已漸漸注重基本分析，因此本研究將以電器電纜業為例，針對一般股票評價模式作研究。首先比較各種評價理論所計算出的結果與市場實際價格之間的落差，進行研究之後，分析各種評價法落差的情形，進而尋求對電器電纜業最適當的評價方法。並以此預測電器電纜公司88年底之實質價值，再與實際價格比較之後，提供投資大眾買進賣出之參考。 首先將過去文獻資料中影響公司成長的因素，利用相關分析以及逐步迴歸法，找出影響電器電纜公司銷售額成長的主要因素，以這些因素建構一條迴歸方程式，作為計算各公司未來成長率的依據。以過去最常用到的六種評價模式：現金流量折現法、會計盈餘折現法、本益比法、價格/帳面價值比法、價格/銷售比法及選擇權定價法來研究其效果。實際作法是分別計算各電器電纜公司79年至83年的價值，再與其各年度之實際股價比較，以Theil’s U值找出最佳之評價模式。最後則是利用所選出最適合我國電器電纜業的股票評價模式，配合第一部份所得之成長率，推算電器電纜業公司89-93年之財務報表，藉以算出其88年底的實質價值。 本研究之實證結果為：由總體經濟自變數之相關分析中可得，本研究在經濟面採用我國經濟成長率（E1）、台幣兌美元匯率（E2）、躉受物價指數（E4）、貨幣市場利率（E5）以及股票價格指數（E6）等五個變數；再加上影響公司營運成果的11個財務比率，引入逐步迴歸模式中。結果發現電器電纜業銷售額模式中，投入變數順序為固定資產週轉率(C4)、存貨週轉率(C3)、總資產週轉率(C5)、賺得利息倍數(C7)、躉售物價指數(E4)、負債比率(C6)以及貨幣市場利率(E5)。第二部分的實證結果結果發現市價帳面價值法為電線電纜業最佳的評價模式，其次為市價銷售額法。因此本研究最後以市價帳面價值法來計算電器電纜公司88年底之股價，提供大眾作為投資時的參考。

國外研究證實，由於基金績效具有持續性，則理性的投資人會以過去績效最為投資參考依據，將資金投入過去表現佳的基金，而此一投資決策應能持續創造超額報酬或風險溢酬，因此市場資金應會流向未來績效佳的基金（smart money effect)，此即為現金流量報酬預期效果且由於基金的現金流量變動代表投資人的投資決策變動，故現金流量報酬預期效果亦即為投資人對於股票型基金報酬的預測能力。 為瞭解台灣基金投資是否具有報酬預測能力（選對好基金，將資金由壞基金中抽離的決策），而此能力是否會因基金基金規模產生差異，且市場投資人可否根據此一公開資訊（上上期的現金流量）、累積資訊（累積前三期的淨現金流量）作為投資參考，並賺取超額報酬。本研究根據建構八組投資組合，包括三組不同基礎的現金流入（出）交易策略，比較各投資組合的報酬預期效果。 結果發現，台灣股票型基金投資人並不具備報酬預期能力，且常做出錯誤的決策，通常由好基金中籌離資金，喪失獲取較佳報酬的機會。而市場投資人無法藉由遞延一期的現金流量資訊獲取較佳超額報酬機會，但可藉由過去累積三期的現金流量資訊，將資金由淨現金流入金額大的基金中抽離，並投資於淨現金流出金額較大的基金，可因而獲取較佳的績效。另外，投資人對小型基金的報酬預期能力優於大型基金。

In this article, the author is trying (1) to know more about the Internet industry, theoretically and practically, (2) to know the strengths and weaknesses of Internet companies with different business models, and the criteria that can be used to tell a winner from a would-be loser, and (3) to arrive fundamental approaches that could be used or that would be suitable to the valuation of a given Internet stock. They are mainly because the law of increasing return, first mover advantage, brand name advantage and model consolidation that make the competitiveness of leading Internet companies increase continually, and make it harder and harder to survive for new entrants. The author compares different valuation models including dividend discount model, discount free cash flow method, adjusted discount free cash flow method, EVA method, P/S, P/B, P/E multiples, and other non-financial multiples such as page view multiples and unique visitor multiples. Among them, the adjusted discount free cash flow method is the most suitable model to the valuation of Yahoo! and other leading portals that already report positive earnings or can be sure to make money in the near future. Other valuation models cannot be used to the valuation of portals.