異質信念(Heterogeneous beliefs)修正傳統資產定價理論中同質信念(Homogeneous beliefs)的基本假設，探討投資者間所持有的不同資訊，以及對於資訊的不同參考程度，如何影響資產定價。 本文試圖以Banerjee(2008)的模型，估計出臺灣投資者對於台灣各家公司股票的價格參考密度；並且透過外部研究者的預測作為市場不同信念的代理變數，探討異質信念對於臺灣股市交易的價量影響。 經由實證結果發現，在台灣的股市交易市場上，當市場的資訊流通速度愈快，投資者對公開資訊的參考密度愈低，投資者愈易依賴自己所持有的私人資訊。當投資者的行為決策將愈顯紛歧時，對交易量和報酬率的影響皆為正。 / Heterogeneous beliefs, which revise the basic assumption of traditional asset pricing theory- Homogeneous beliefs, study the impact on asset pricing by different information owned and referred by investors. I use the model derived from Banerjee(2008)to estimate the degree how Taiwan investors will take into account stock prices when they make investment decisions. Also, I study how heterogeneous beliefs of investors influence stock prices and trading volume in Taiwan stock market, using predictions of external researchers as a proxy variable of dispersion in beliefs. The empirical results show that the degree which investors take into account prices will be lower when a faster information flowing speed exists in Taiwan stock market. When investors rely more on their private information, their investment decision will become much diversified. Dispersion in beliefs has a positive influence on stock trading volume and return.

近幾年來，在國際場合或在我國政治運作中，「族群融和」議題常被提出做為討論。觀察世界各國族群分化的狀況，我們發現社會存在族群分化問題會造成資源使用的不效率、經濟成長緩慢、政府政策效能低落等。其中，就公共政策來看，主要問題為公共財提供的數量及型態，會產生扭曲的現象。Bridgman（2004）利用租稅制度的選擇，解釋在族群互動下，公共財總量提供的問題。該文提出，只要允許族群有政策工具的選擇空間，則優勢族群必會剝奪其他族群資源以追求自身利益最大，導致公共財提供的扭曲與不效率，造成社會分化與公共財之間的問題。 本文以Bridgman（2004）文章為基礎，將「不同族群對公共財有不同的偏好反應」的因子，納入基本模型中。利用「公共財型態選擇機制」顯示不同族群面對相同公共財數量時，主觀的偏好反應在公共財效用差異上，使模型更臻完整。本文利用兩階段賽局方式，分別求取公共財型態均衡解與公共財數量及租稅政策的均衡解。透過均衡解的分析可發現，當族群對公共財型態有偏好差異時，公共財數量受到社會分化程度的衝擊愈大，亦即數量減少幅度較Bridgman（2004）模型結果更大，族群支付租稅的意願更低。而且，透過均衡解也可發現，當族群對公共財型態存在偏好差異，會更進一步的使公共財數量下降。此乃因族群偏好的差異透過族群間不公平的制度對待，加深了社會分化程度，更進一步減少公共財提供與資源使用效率。故政府制定相關政策時，應將族群問題納入考量，以期有更完善、公平的族群融和、社會穩定的發展。

隨著網際網路和企業內部網路的盛行，異質資訊整合成為電子化企業中一個重要的議題，在網路上進行異質資訊整合涉及許多不同新的資訊技術，目前已經有些研究試圖利用延伸標記語言以及本體論當作中介技術來整合異質資訊，為了有效管理企業內的資訊，我們需要一個績效評估模型來衡量異質資訊整合的效能。在本研究中，我們提出了一個在異質資訊整合中運用延伸標記語言及本體論的績效評估工作量模型，並且建立了一個工作量產生器雛形；本研究的目標是希望發展出一個結合延伸標記語言及本體論的工作量模型，以測試在電子化企業中的異質資訊整合是否能整合不同的資訊模型，並且從這些資訊模型中衍生出語意，此工作量模型包含了延伸標記語言與本體論的資料模型與查詢模型，它們是依照延伸標記語言與本體論學名式的資料結構與查詢功能所制訂的，此外，控制模型則定義了績效評估執行環境中所需設定的變數，為了讓此工作量模型能具可攜性和延展性，以便輕易地應用在不同的領域情境中，本研究採取學名結構式且使用者定義、領域獨立的設計方法，最後，我們利用雛形實作來驗證本研究所提出的研究方法。 / With the popularity of Internet/Intranet, heterogeneous information integration becomes a hot IT topic in electronic business (EB) field. Heterogeneous information integration on the Web involves a number of new techniques. There have been research projects applying XML and ontology as mediated techniques to consolidate heterogeneous information. In order to manage and use information more effectively within the enterprise, a benchmark used to evaluate the mechanism of heterogeneous information integration is needed. In this research, we develop a XML and ontology benchmark workload model in heterogeneous information integration, and build a workload generation prototype. The objective of this research is to develop a workload model combines XML and ontology to test whether the heterogeneous information integration system under EB environment can overcome the diverse formats of content and derive meaning from this content. The workload model consists of XML and ontology data model and query model according to the generic data structure and query functionality. Also, a control model is created to set up the benchmark environment. In order to apply the workload model to different scenarios easier, this workload model is designed to be domain independent and generic-construct-based. Finally, we validate the research model through the prototype implementation.

本文首先構建了在完全資訊下的異質分群模型。當玩家可以觀察其他玩家的類型，則均衡必定是非隔離的：大多數玩家將無意移動，這是因為他們的夥伴可以為他們帶來最好的報酬。均衡狀態將會是一個有效率的狀態。     然後，我們構建另一個分組模型:訊息不完全和雙重改變下的分群模型。結果表明，雖然非隔離的均衡有可能是在短期的穩定均衡，但只有隔離的均衡狀態可以在長期維持穩定。這是因為在長期下，大多數非隔離狀態可以輕易地切換到隔離狀態的緣故。 / This paper first constructs a grouping model with heterogeneous population under the setting of complete information. When player can observe other's type, the result isnon-segregation: most players have no intention to move and they can match with the one who brings them the best payoff in the original group. The equilibrium state is always efficient. We then construct another grouping model with incomplete information and double mutation. The result shows that, although non-segregation equilibria may emerge as stable equilibria in the short run, only segregation equilibria can be stochastically stable in the long run. This is because most of non-segregated states can switch to the others by the same re-sistance and some of them can easily switch to segregated state, but it is hard to switch back.

本研究旨在探討我國生醫產業公開說明書之資訊揭露程度對初次公開發行 (IPO, initial public offering)定價效率及次級市場投資人信念異質性程度之影響。當初級市場認購人間資訊不對稱程度越大時，IPO價值之事前不確定性越高。為均衡各交易參與者之利益，發行人與承銷商將主動提升公開說明書之資訊揭露程度，以制定適當的IPO折價幅度、維持承銷商合理的承銷風險與報酬，並協助認購人適切評定IPO之價值。異質信念觀點強調次級市場投資人對企業價值看法之歧異程度越大，將導致IPO蜜月期報酬之異常現象。本研究預期若無形資產密集度越高，IPO事前不確定性越大，則IPO折價幅度越大，並預期公開說明書之資訊揭露程度將改變無形資產密集度對折價幅度之影響程度。此外，本研究預期，生醫產業IPO案件之無形資產密集度、公開說明書之資訊揭露程度及者配售情形均可能影響投資人信念異質性，進而影響掛牌初期之成交價量表現。 本研究參考國外證券主管機關之無形資產資訊揭露規範，自行建立資訊揭露指標，系統性地衡量我國生醫產業公開說明書之資訊揭露程度，並以多元迴歸分析檢測假說。實證結果顯示，我國生醫產業IPO案件之無形資產密集度對IPO折價幅度存在顯著正向影響；公開說明書之資訊揭露程度改變無形資產密集度對折價幅度之影響程度；發行人之無形資產密集度、公開說明書資訊揭露程度及初級市場配售情形皆影響掛牌初期之投資人信念異質性及價格震盪幅度。研究結果證實公開說明書之資訊揭露提供預期效益，及初級與次級市場間之資訊相互流通、交易行為相互連動之關聯性。 / This research examines how the disclosure level of prospectus influences the efficiency of IPO (initial public offering) pricing in the primary market and the degree of divergence of opinions in the secondary market. The literature of IPO underpricing suggests that ex ante uncertainty due to information asymmetry has a positive impact on IPO discount and voluntary disclosure of prospectuses may reduce the uncertainty level. This research hypothesizes that, for biotechnology companies, a greater disclosure level of prospectuses would lower the impact of intensity of intangibles on IPO discount. Further, this research hypothesizes a relation between the pricing efficiency in primary market and the level of divergence of opinions in secondary market. The empirical results from regression analyses of hand-collected data show that, for biotechnology IPOs, the disclosure level of prospectuses reduces the impact of the intensity of intangibles on IPO discount. In addition, the intensity of intangibles, disclosure level of prospectuses, and trading behaviors in the primary market have an effect on the degree of divergence of opinions in the secondary market. In sum, this research evidences the expected benefits of the increased level of voluntary disclosure of prospectuses for biotechnology IPOs.

本論文目的在於探討「異質期望」(heterogeneous expectations)、「資訊密度」(information arrival intensity)、以及「跳躍風險」(jump risk) 這些因素對於期貨價格的影響，並且透由「跨期模型」(intertemporal models) 的建立，推導出具有封閉解形式的期貨價格理論公式。 誠如 Harrison and Kreps (1978) 所言：除非所有市場參與者的行為方式完全相同、而且他們都打算抱著股票直到永遠，否則「投機交易」(speculation transactions) 與「異質期望」就不可能自市場當中滅絕。有鑑於此，本論文在第二章中討論「異質期望」對於期貨價格的影響；同時為了反映交易者看法可能會隨時間演進而發生改變的可能性，「調整效果」(adjustment effects) 是本章另一個討論重點；第三、為了區別期貨契約與遠期契約的基本差異，「利率」這個隨機因子也被納入模型當中。由「部分均衡」(partial equilibrium) 觀點下具有封閉解形式的期貨價格公式來觀察，這三個重要因素以及彼此間存在著的複雜交互作用，可以協助解釋一些實證現象與重要變數之間的關係。 第三章主要是借用Clark (1973) 與Chang et al. (1988) 「資訊時間」(information time) 的概念，取代一般模型所使用的「日曆時間」(calendar time) 設定方法，並且額外納入「利率」與「便利所得」(convenience yield) 這兩個廣為一般期貨定價文獻所認定的重要隨機因素，推導出「部分均衡」觀點下的期貨價格封閉解。根據1998/7/21 至 2003/12/31 台灣期交所「台灣證券交易所總加權股價指數期貨」的實證結果來看，本章模型的定價績效不僅勝過「持有成本模型」(the cost of carry model)，也比同時考慮「利率」與「便利所得」兩個隨機因子的「日曆時間」模型要來的好。 第四章則是嘗試結合Hemler and Longstaff (1991) 的「無偏好模型」(preference-free model) 以及Merton (1976) 的「跳躍」(jumps) 設定，重新推導「一般均衡」(general equilibrium) 模型下、考慮「跳躍風險」(jump risk) 後的期貨價格封閉解。根據本章各種比較靜態與模擬分析的結果顯示，整個經濟體系或是「狀態變數」(state variables) 的安定程度，決定了市場變數間的關係；另一方面，這些關聯會因為「跳躍風險」規模的遞增 — 不管是肇因於「發生機率」(occurring probability) 或是「衝擊效果」(impulse effect) — 而變的更加不可預測。 / The dissertation contains three essays on intertemporal futures pricing models allowing for heterogeneous expectations, information-time based setting, and jump risk. As Harrison and Kreps (1978) have noted, unless traders are all identical and obliged to hold a stock forever, speculation would not extinguish in market, and heterogeneity in expectations yields whereby. The first essay develops intertemporal futures pricing formulas accounting for such reality, adjustment effect, and stochastic interest rate in a partial-equilibrium sense. The closed-form solutions show that the three factors complicated with each others can help to explain some existing empirics on relationships between futures prices and other important market variables such as indeterminate converging pattern. The second essay extends Chang et al. (1988) option pricing model to derive futures prices with information-time based processes. Stochastic interest rate and convenience yield are also taken into account to derive closed-form formulas. According to empirical results of transaction data of TAIEX index and its corresponding TFETX futures contract through 1998/7/21 to 2003/12/31, the analytic solution performs better than the cost of carry model and its calendar-time based counterpart, especially when information arrival intensity estimates become larger. The last essay combines Hemler and Longstaff’s (1991) preference-free model and Merton’s (1976) jump setting to measure effects from jump risk and a futures pricing formula is derived in its closed-form as well. According to miscellaneous comparative static and simulation results, the bounded degrees of state variables, or economy, affect co-varying extents among variables, while the increasing jump risk, including the size of occurring probability and its corresponding impulse effect, makes them un-tractable.

因應電子化交易興起而進行的一系列人機互動研究顯示, 縱使人類會透過學習而改善其表現, 電腦化的交易程式獲利能力還是遠勝於真人交易者之表現。本研究遂以遺傳規劃演算法作為學習型交易者之代表, 與一系列電腦化交易策略相競爭, 以探討學習的功效及其限制。 本研究採用離散型雙方喊價機制, 摒除了計算能力所造成之決策時間差異所會帶來的影響, 亦排除掉人類情緒、預期、相關知識不足等可能因子, 在計算能力對等的情況下, 單純地來評估學習與理性設計策略的結果。並且首次嘗試將影響學習至鉅的智商因子帶入模型之中, 實驗結果顯示學習具有相當的能力, 即使是在對環境缺乏認識的情況下, 隨著時間的經過其表現最終可凌駕理性設計的策略之上, 然而學習所需的時間是學習型交易者的一大弱點。同時, 本研究也顯示對於以遺傳規劃建構的學習型交易者而言, 其虛擬智商的參數愈高, 學習的效果也愈佳。此研究因此可作為未來在代理人基經濟學模型中, 更深入地探討智商水準不同所造成之行為差異的基礎。 / The study of a series of human-agent interactions as well as computerized trading tournaments in double auction markets has exhibited a general superiority of computerized trading strategies over learning agents. The ineffectiveness of learning motivates the study of learning versus designed trading agents in this research. We therefore initiates a series of experiments to test the capability of learning GP agents and rationally-designed trading strategies. The results shows that with the cost of time, eventually learning agents can beat all other trading strategies. At the same time, the notion of intelligence is introduced into the model to investigate the influence of individual intelligence on learning ability. We utilize the population size of the GP trader as the proxy variable of IQ which is a measure of general intelligence. The results show that individuals with higher intelligence can perform better than those with lower intelligence, which manifests its importance discovered in Psychological research.

本研究從2009-2010全國成人煙草使用率的調查數據，研討不同類型的戒菸方式對於個體行為異質性所造成的影響。先前的研究顯示有意願想要戒菸的吸菸者有外部戒菸控制方式的需求，然而我們無法在有限的研究中找出相同的吸煙者不滿意對於外部戒菸的控制需求。此外我們發現，高成癮率和高程度的吸菸量提高吸煙者對尼古丁替代物或其他藥物的需求。我們在這份研究中甚至發現，無知的雙曲線貼現吸煙者降低外部需求的戒菸者對於禁煙令或香煙稅當中的關係。 / Using data from the 2009-2010 National Adult Tobacco Survey, this study investigates how the heterogeneity of individual behaviors affects demand for different types of cessation supports. Previous studies have demonstrated that smokers with a desire to quit have a demand for external cessation controls, however, there is limited research into how those same smokers demand individual disutility decreasing supports like nicotine replacement or counseling. We find that high addiction and consumption levels increase the demand for nicotine replacement or other medication. We also find support linking naïf hyperbolic discounters to lower demand for external cessation supports like smoking bans or cigarette taxes.

本文主要在探討影響台灣股票市場波動的因素，除了考慮以之前學者設定的 VAR(12)模型研究，另外以 SUR(5)模型來討論股市波動與基本面、交易面間的關係；最後，再以自我迴歸異質條件變異數模型來分析股市波動的特性。最重要的是，我們會根據誤差項的各類檢定結果來判定研究股市波動性質的最佳模型。 在聯立方程式的估計中，我們發現代表資訊到達指標的兩變數--週轉率與成交量成長率--會影響股票市場的波動。另外，我們找出交易面（成交量成長率）可能會影響基本面（匯率），這也就是說，在研究股市波動時，我們不需要特別區分變數的屬性。 在 GARCH 模型及 TGARCH 模型中，我們仍然可發現週轉率與成交量成長率會影響股市條件平均數或條件變異數；除此之外，好壞消息對股市日報酬率條件變異數（條件波動）應有不同的影響效果（壞消息的影響力較快反應）。而股市自身風險係數雖然統計檢定上不顯著異於零，但若未加入條件平均數的估計式，則可能會使模型得到較差的誤差項檢定結果，顯見股市自身風險應為影響投資人設定期望報酬率水準的重要因素之一。 從上述估計結果，我們可以知道，若散戶投資人能正確解讀市場上出現的各種新資訊之背後意義，將可使成交量成長率或週轉率（大部份可能代表無意義或不正確的交易行為）的變動幅度降低，進而有效地減少股票市場中股價異常波動的現象。 / My essay's topic focuses on discussing the factors that influence stock market volatility in Taiwan's stock market. Besides VAR(12) model as previous researchers have studied, I tries to set up SUR(5) models analyzing the relationship among the stock market volatility、the foundamental variables'volatilities and trading activities; Then I cited ARCH models ( autoregressive conditional heteroskedisticity models ) to find out the characteristics of stock market volatility. Most important of all, according to each misspecification test ( residual test ), I would specify the better models to describe the stock market volatility. In the estimations of system equations ( VAR(12)and SUR(5)models ), first I found that turnover rate and the growth rate of trading volume, which represent the information arrival indexes, could effect stock return's monthly conditional variance. Second, I especially found out the evidence that trading activities (trading volume growth) would probably have an impact on the macroeconomic variable ( exchange rate volatility ). It shows that we don't need to distinguish the attributes of those factors which could influence stock market volatility. In GARCH and TGARCH model, the positive influences of turnover and trading volume growth on daily stock return's conditional mean and conditional variance ( conditional volatility ) are still obvious, Within these TGARCH model, I discovered that bad news and good news could have different influences on stock market volatility ( the impact of bad news which resulted in downward movements of stock market volatility appeared faster that the good news'which caused upward movements). Stock market's self-risk(σ_t-1^{^2}) is statistically insignificant different from zero in GARCH models, but when I omitted this variable in daily stock return's conditional mean estimation equation, standardized residual might not obey the assumption of normal distribution. It apparently told us that the stock market's self-risk term ( σ_t-1^{^2} ) is one of the critical factors which influences investors to estimate expected return level. From those results above, we realized that if investors could precisely understand the real meanings of new information conveying in the stock market, it might decrease the levels of turnover and trading volume growth ( which could sometimes represent meaningless or inexact trading activities ), then effectively reduce the abnormal volatility phenomenon in stock market.

本研究主要目的在探討公司宣告海外直接投資，是否會對股東財富有正面的影響，主要透過資本市場上，公司股票價格的漲跌來判斷其影響的方向及程度。研究期間為民國81年到84年，篩選出175筆對外投資宣告的樣本資料，採用事件研究法和市場模式來進行殘差分析，以估算及檢定事件期的平均異常報酬和累積平均異常報酬。此外，由於一些金融性資產如股票、債券、期貨等具有高度變異性的特質，造成殘差項之變異數不再為固定常數，而受上一期異質變異數之影響，且隨時間變動而變動，因此本研究也採用異質條件變異數法(GARCH)來分析。 　　一、總樣本而言 　　公司宣告進行對外直接投資，在宣告日當天股價有顯著為正的顯著異常報酬，股東認為公司進行投資是以公司價值極大化為目標，並能增加股東財富。 　　而本研究也根據不同的統計方法和檢定來比較結果差異，發現T檢定組、Z檢定組、OLS整體樣本組和OLS+GARCH整體樣本組四組所得的實證結果相當一致－異常報酬的變化方向皆相同且宣告日當天的異常報酬都顯著為正。 　　二、一般最小平方法(OLS)和異質條件變異數法之比較 　　本研究接著將72個具有異質變異數特性的樣本，分別以OLS法和GARCH法進行異常報酬的比較，實證結果發現，以OLS法估計具異質變異數的樣本，其平均異常報酬在事件日當天為正，達5%之顯著水準(t=2.459)，而以GARCH法估計的具異質變異數的樣本，其正向異常酬在事件日當天顯著水準為15%(t=1.569)，並不顯著異於零。 　　三、橫斷面複迴歸分析 　　就橫斷面分析結果來看，營業規模和投資東南亞地區達10%的顯著水準能解釋與異常報酬的關係，但呈現負向反應，表營業規模愈大則愈不利於股東財富和投資東南亞並無法增加股東財富。而其他解釋變數則未達顯著水準，其中經營績效、中國大陸地區之迴歸係數符號為正；相對投資金額、獨資之迴歸係數則為負。 　　整體而言，公司從事海外直接投資的宣告，股東都視之為利多消息，顯示海外直接投資對台灣企業的發展和延續有著重要的意義，然而在企業宣告投資後的跨國經營與管理才是台灣企業能否在全球競爭下，成功挑戰廿一世紀的關鍵因素。