近年來，伴隨著俄羅斯經濟實力的提升，俄羅斯金融體系持續茁壯，並推動俄羅斯國內對金融安全需求的迅速增長。俄羅斯金融體系受政治影響極深，中央銀行缺乏獨立性。2007 年次貸風暴對俄羅斯經濟傷害甚鉅，2008年7雷曼兄弟宣布倒閉後，總計10個月內盧布貶值幅度高達52.5%，從MSCI股價指數波動率(equity VIX index)觀察美國、俄羅斯、日本及歐洲，顯示俄羅斯股市波動率最高，以2007 年的136.7 及2008 年的432.7 居冠。在金磚四國中，俄羅斯短期資金的流動性較高，股市波動率也較高。俄羅斯金融體系不良貸款比率高，易發生金融傳染危機，不良貸款比率高出其他國家4 到8 倍。 在金磚四國中，俄羅斯短期資金的流動性較高，股市波動率也較高。總體而言俄羅斯金融體系近年愈為穩健，俄羅斯的金融存款機構信任度在2008年~2010年有明顯提高趨勢，但存款機構內不良貸款比率仍偏高，同時俄羅斯金融體系易受國際金融傳染危機影響俄羅斯金融體系不良貸款比率高，易發生金融傳染危機，若能降低目前俄羅斯金融存款機構的壞帳比例及呆帳率，則俄羅斯的金融安全會更加穩固。 / In recent years, along with the upgrading of Russia's economic strength, Russia's financial system continued to thrive, the needs of financial security growth rapidly. Russia's financial system is deeply influenced by political power, and their central bank is lack of independence. Subprime crisis hurt the Russian economy hugely, in July 2008, after Lehman Brothers declared bankruptcy; ruble devalued 52.5% in 10 months. MSCI stock index volatility equity VIX index) for U.S., Russia, Japan and Europe, shows Russian stock market volatility rate was 432.7 and also the highest of all. In the BRIC, Russia presented higher short-term liquidity, and the stock market volatility. Overall, Russia's financial system is more robust and stable in recent years, from 2008 to 2010, the depository trust in Russian financial institutions increased significantly, while Russia's financial system is still vulnerable to the contagion of international financial crisis.

過去的實證研究指出，在討論當期的會計盈餘穩健性時，研究者必須要控制期初會計盈餘穩健性的水準。具體而言，期初會計盈餘穩健性與本期會計盈餘穩健性的負向關係，會稀釋我們對當期會計盈餘穩健性的解釋效果。基於這個理由，本研究以期初市價對淨值比做為期初會計盈餘穩健性的代理變數，去檢視我國1999年至2004年會計盈餘的穩健性以及探討盈餘穩健性與外資法人持股比例之關聯性。穩健原則之定義，係以 Basu(1997)模型做為衡量穩健性的指標。研究結果發現，我國企業近年來之會計盈餘存在穩健原則之特性，而期初市價對淨值比與盈餘穩健程度之間呈現顯著之負向相關。至於針對外資持股與盈餘穩健性之關聯性的分析，在控制期初市價對淨值比的影響之後，本研究未能找到外資持股比例之高低對盈餘穩健程度有顯著影響之證據。然而，在期初市價對淨值比最高的組別中，盈餘穩健程度與次期外資持股比例之間存在正向之關係。這個現象意味著對於期初盈餘穩健性很高的公司而言，其在當期之盈餘若相對較穩健，則次期之外資持股比例將會較高。但是，在本研究改以工具變數衡量外資持股比例之後，不論是當期或次期的外資持股比例，其與盈餘穩健程度之間則均未存在顯著之關聯性。彙總而言，利用1999年至2004年的資料，本研究發現，期初會計盈餘穩健性與本期會計盈餘穩健性有顯著的負向關係；無論有無控制期初會計盈餘穩健性，我國的會計盈餘均具有穩健性的特性；未能得到非常充份的證據去宣稱外資對於我國會計盈餘穩健性有系統性的影響。 / Prior empirical studies indicate that researchers have to control for the level of beginning-of-period earnings conservatism when discussing earnings conservatism in the current period. The negative association between beginning-of-period earnings conservatism and earnings conservatism in the current period will dilute the effect of our explanation of earnings conservatism in the current period. Using beginning-of-period price-to-book ratios to proxy for beginning-of-period earnings conservatism, this study examines earnings conservatism in Taiwan during the period from 1999 to 2004, and discusses the relationship between earnings conservatism and shareholding ratios of foreign institutional investors. The definition of earnings conservatism is based on Basu(1997). The empirical results show that earnings in Taiwan demonstrate the characteristic of earnings conservatism in recent years, and that beginning-of-period price-to-book ratios are negatively associated with the level of earnings conservatism. As for the analysis of the link between shareholding ratios of foreign institutional investors and earnings conservatism, this study fails to find the evidence that shareholding ratios of foreign institutional investors have significant impacts on earnings conservatism after controlling for the level of beginning-of-period price-to-book ratios. However, in the portfolio of the highest beginning-of-period price-to-book ratios, there is a positive relationship between earnings conservatism and shareholding ratios of foreign institutional investors in the next period. This result means that firms with the highest level of beginning-of-period earnings conservatism will have higher shareholding ratios of foreign institutional investors in the next period if their earnings in the current period are relatively more conservative. However, when this study uses the instrumental variable to measure shareholding ratios of foreign institutional investors, shareholding ratios of foreign institutional investors, whether in the current or next period, do not have a significant relationship with the level of earnings conservatism. In summary, using data from 1999 to 2004, this study finds that there is significantly negative association between beginning-of-period earnings conservatism and earnings conservatism in the current period, and that earnings in Taiwan demonstrate the characteristic of earnings conservatism whether controlling for the level of beginning-of-period earnings conservatism or not, but this study fails to obtain sufficient evidence to assert that foreign investment has systematic effects on earnings conservatism in Taiwan.

隨著FASB與IASB於2010年將穩健原則從觀念性架構中剔除，以確保財務資訊之中立性，穩健原則之存廢與否開始受到各界廣泛地討論。本文之目的主要係探討導致我國上市上櫃公司財務報表趨於穩健之原因，以檢視穩健原則對於企業財務報表之影響。 過去文獻指出企業之代理問題以及公司治理環境與財務報表穩健性之間可能存在兩種關聯性─替代觀點及補充觀點，而我國之情況係屬於前者；惟本文認為準則規範才是導致我國企業財報具備穩健性之主要原因，且該論點亦獲得本文實證結果支持。 此外，本文亦發現第35號公報適用後，受到該公報影響程度最大之資本密集產業，其財務報表穩健性反而呈現下降的趨勢，顯示管理階層可能為了因應該公報對其盈餘之衝擊而進行盈餘操縱，使其財務報導品質因而降低；有鑑於此，本文對於穩健原則是否真能有效提升財務報導品質，仍持保留的態度。

直到2010年中國大陸才有一套較完整的內部控制相關規範，近年來有關中國企業內部控制相關的議題也受到很多重視。中國市場是近年來很受重視的市場，然而我們對於蓬勃發展的中國市場是否具有會計穩健性，以及中國企業的盈餘品質等特性卻不甚瞭解。因此，本研究以中國市場為研究對象，探討企業內部控制品質的好壞是否影響企業的會計穩健性。本研究之實證結果發現，中國市場整體而言雖具有會計穩健性，然而企業內部控制品質的好壞與企業穩健性之間不具有統計上之顯著關聯性，顯示中國企業的內部控制品質的提升無法有效提升企業的會計穩健性，無法使管理者更快速的認列壞消息。 / The laws and regulations of internal control in China aren’t developed so complete and detailed until 2010. The issues about internal control of those companies in China receive much attention in these years. People gradually pay attention to China market, but little is known about the earnings characteristics of China market, such as accounting conservatism and earnings quality. Consequently, this research focuses on whether the internal control quality of those companies in China affects accounting conservatism of theirs. The empirical research finds that China market has the characteristic of accounting conservatism in general, but the association between the internal control quality and accounting conservatism is not statistically significant. The results do not support that those companies in China which have better internal control quality enhance their managers using accounting conservatism to recognize bad news more timely.

本研究以美國證券市場為樣本，探討銀行業之法規開放是否對非金融業公司之會計穩健性造成影響。銀行法規開放可使銀行透過併購於州內擴張，借款公司可能面對之銀行議價能力上升，使得銀行要求融資顧客出具高品質之財務報表。另一方面，州際銀行法規開放可能使他州銀行進入本地金融市場，進而提高金融市場之競爭度。由於會計穩健性可降低管理階層與投資人的資訊不對稱，被視為高品質的財務報表，本文推測銀行業法規鬆綁會影響公司會計穩健性。實證結果顯示，州內銀行法規開放與會計穩健性間具有顯著正向關係；然而，州際銀行法規開放與會計穩健性間具有顯著負向關係。額外分析顯示，大型企業更傾向於對銀行法規開放作出反應，而較依賴發行公司債融資方式之公司在面對銀行法規開放時則減少財務報導中認列損失之即時性。 / This study uses US banking deregulation as a research setting to examine whether banking deregulation has an impact on the degree of accounting conservatism of non-financial firms. Since banking deregulation would enable large banks expand within states through merge and acquisition, bank’s bargaining power to lenders may increase. Banks may require their clients to provide higher quality of financial statements. On the other hand, banking deregulation may increase competition in local financial markets by enabling large banks to enter into local markets. As accounting conservatism could alleviate information asymmetry between management and investors, and serves as an indicator of high quality of financial statements, I expect that banking deregulations would have an impact on firms’ reporting conservatism. I find that there is a significantly positive relationship between intrastate banking deregulation and firms’ timely loss recognition. In contrast, interstate banking deregulation has a significantly negative influence on firms’ timely loss recognition. Additional analyses reveal that large firms are more likely to respond to the banking deregulation and that firms that rely more on public debt financing respond to the banking deregulation by decreasing their degree of timely loss recognition in financial reporting.

本研究所使用違約機率（Probability of Default, 以下簡稱PD）的預測方法為Robust Logistic Regression（穩健羅吉斯迴歸），本研究發展且應用這個方法是基於下列兩個觀察：1. 極端值常常出現在橫剖面資料，而且對於實證結果往往有很大地影響，因而極端值必須要被謹慎處理。2. 當使用Logit Model（羅吉斯模型）估計違約率時，卻忽略極端值。試圖不讓資料中的極端值對估計結果產生重大的影響，進而提升預測的準確性，是本研究使用Logit Model並混合Robust Regression（穩健迴歸）的目的所在，而本研究是第一篇使用Robust Logistic Regression來進行PD預測的研究。 變數的選取上，本研究使用Z-SCORE模型中的變數，此外，在考慮公司的營收品質之下，亦針對公司的應收帳款週轉率而對相關變數做了調整。 本研究使用了一些信用風險模型效力驗證的方法來比較模型預測效力的優劣，本研究的實證結果為：針對樣本內資料，使用Robust Logistic Regression對於整個模型的預測效力的確有提升的效果；當營收品質成為模型變數的考量因素後，能讓模型有較高的預測效力。最後，本研究亦提出了一些重要的未來研究建議，以供後續的研究作為參考。 / The method implemented in PD calculation in this study is “Robust Logistic Regression”. We implement this method based on two reasons: 1. In panel data, outliers usually exist and they may seriously influence the empirical results. 2. In Logistic Model, outliers are not taken into consideration. The main purpose of implementing “Robust Logistic Regression” in this study is: eliminate the effects caused by the outliers in the data and improve the predictive ability. This study is the first study to implement “Robust Logistic Regression” in PD calculation. The same variables as those in Z-SCORE model are selected in this study. Furthermore, the quality of the revenue in a company is also considered. Therefore, we adjust the related variables with the company’s accounts receivable turnover ratio. Some validation methodologies for default risk models are used in this study. The empirical results of this study show that: In accordance with the in-sample data, implementing “Robust Logistic Regression” in PD calculation indeed improves the predictive ability. Besides, using the adjusted variables can also improve the predictive ability. In the end of this study, some important suggestions are given for the subsequent studies.

本研究旨在建立廣義線性模式下之D-與A-最適設計(optimal designs)，並依不同處理結構(treatment structure)分成完全隨機設計(completely randomized design, CRD)與隨機集區設計(randomized block design, RBD)兩部分探討。 根據完全隨機設計所推導出之行列式的性質與理論結果，我們首先提出一個能快速大幅限縮尋找D-最適正合(exact)設計範圍的演算法。解析解的部分，則從將v個處理的變異數分為兩類出發，建立其D-最適近似(approximate)設計，並由此發現 (1) 各水準對應之樣本最適配置的上下界並非與水準間不同變異有關，而是與有多少處理之變異相同有關；(2) 即使是變異很大的處理，也必須分配觀察值，始能極大化行列式值。此意味著當v較大時，均分應不失為一有效率(efficient)的設計。至於正合設計，我們僅能得出某一處理特別大或特別小時的D-最適設計，並舉例說明求不出一般解的原因。 除此之外，我們亦求出當三個處理的變異數皆不同時之D-最適近似設計，以及v個處理皆不同時之A-最適近似設計。 至於最適隨機集區設計的建立，我們的重點放在v=2及v=3的情形，並假設集區樣本數(block size)為給定。當v=2時，各集區對應之行列式值不受其他集區的影響，故僅需依照完全隨機設計之所得，將各集區之行列式值分別最佳化，即可得出D-與A-最適設計。值得一提的是，若進一步假設各集區中兩處理變異的比例(>1)皆相同，且集區大小皆相同，則將各處理的「近似設計下最適總和」取最接近的整數，再均分給各集區，其結果未必為最適設計。當v=3時，即使只有2個集區，行列式也十分複雜，我們目前僅能證明當集區內各處理的變異相同時(不同集區之處理變異可不同)，均分給定之集區樣本數為D-最適設計。當集區內各處理的變異不全相同時，我們僅能先以2個集區為例，類比完全隨機設計的性質，舉例猜想當兩集區中處理之變異大小順序相同時，各處理最適樣本配置的多寡亦與變異大小呈反比。由於本研究對處理與集區兩者之效應假設為可加，因此可合理假設集區中處理之變異大小順序相同。 / The problem of finding D- and A-optimal designs for the zero- and one-way elimination of heterogeneity under generalized linear models is considered. Since GLM designs rely on the values of parameters to be estimated, our strategy is to employ the locally optimal designs. For the zero-way elimination model, a theorem-based algorithm is proposed to search for the D-optimal exact designs. A formula for the construction of D-optimal approximate design when values of unknown parameters are split into two, with respective sizes m and v-m, are derived. Analytic solutions provided to the exact counterpart, however, are restricted to the cases when m=1 and m=v-1. An example is given to explain the problem involved. On the other hand, the upper bound and lower bound of the optimal number of replicates per treatment are proved dependent on m, rather than the unknown parameters. These bounds imply that designs having as equal number of replications for each treatment as possible are efficient in D-optimality. In addition, a D-optimal approximate design when values of unknown parameters are divided into three groups is also obtained. A closed-form expression for an A-optimal approximate design for comparing arbitrary v treatments is given. For the one-way elimination model, our focus is on studying the D-optimal designs for v=2 and v=3 with each block size given. The D- and A-optimality for v=2 can be achieved by assigning units proportional to square root of the ratio of two variances, which is larger than 1, to the treatment with smaller variance in each block separately. For v=3, the structure of determinant is much more complicated even for two blocks, and we can only show that, when treatment variances are the same within a block, design having equal number of replicates as possible in each block is a D-optimal block design. Some numerical evidences conjecture that a design satisfying the condition that the number of replicates are inversely proportional to the treatment variances per block is better in terms of D-optimality, as long as the ordering of treatment variances are the same across blocks, which is reasonable for an additive model as we assume.

本文內容主要可分為三大部分，第一部份是「本國銀行業逐年的競爭程度及其變化之分析」，主要是以Panzer-Rosse模型評估銀行業的競爭程度，實證結果顯示1996至2000年每年的金融市場處於壟斷性競爭或完全競爭，在考慮銀行業務差距頗大及極端值存在的可能之下，2001和2002年的銀行業為壟斷性競爭。相較於1996至2000年，2001至2002年銀行業的競爭程度有降低的現象。 第二部分是「銀行業的競爭程度與利息收入佔總資產比率之關聯性分析」，本文延伸Panzer-Rosse模型，以分量迴歸法取代傳統最小平方法，發現排除規模效果的影響下，位於利息收入的條件分配愈左端（即利息收入佔總資產比率較低）的銀行，其所處之金融環境競爭程度愈高。此外，亞洲金融危機受創最嚴重的五個東南亞國家，自金融風暴發生至2004年，位於經資產標準化的利息收入分配左端、或右端、或中間的銀行在各個國家雖遭遇不同的競爭環境變化，不過，平均而言，所有銀行面臨的競爭程度皆獲得改善。 第三部分是「以分量迴歸法分析會計盈餘的時效性與穩健性」，實證結果顯示會計盈餘對好消息認列的時效性和對壞消息認列的穩健性會受企業當期的盈餘水準所影響。若企業當期的盈餘水準愈差，則會降低其盈餘的時效性，但是會提高其盈餘的穩健性。相反地，若當期的盈餘水準愈高，則會提高其盈餘的時效性，但是會降低其盈餘的穩健性。 / There are three issues in this dissertation. The first one is to analyze the yearly degree of competition and its variation in Taiwan’s banking industry with the Panzer-Rosse model. We find that the markets over the period 1996-2000 were characterized with monopolistic competition or perfect competition, while the system was characterized by monopolistic competition in 2001 and 2002 after we take into consideration the possibility of outliers. Furthermore, the results also suggest that the competition has declined in Taiwan’s banking industry. The second topic is to investigate the relationship between banking competition and the ratio of banks’ interest revenues to total assets. The results show that while the ratio of bank’s interest revenues to total assets is lower, the bank faces a more competitive market. Moreover, competitive pressures have been improved for banks with different levels of interest revenues over total assets in East Asia after the financial crisis occurred in 1997. About the final issue, we try to find whether firms’ contemporaneous earnings affect the timeliness and conservatism of accounting earnings and their relationship. Our results show that the degree of timeliness and conservatism of accounting earnings are relevant to the level of earnings. Specifically, firms with poor earnings will decrease their earnings in recognizing good news but increase the level of conservative accounting. On the other hand, the level of conservative accounting is a decreasing function of earnings while the timeliness in recognizing good is increasing in earnings.

在全球化的環境下推出新產品，企業除了面臨隨著產品生命週期改變的顧客需求以及成本上的不確定因素外，同時還必須考量全球營運帶來的種種挑戰。 許多供應鏈管理數量模式相關文獻針對全球運籌、新產品供應鏈等議題多有所探討，利用數量模式的計算以反應真實世界中的種種不確定性，讓管理者在供應鏈策略規劃時有所依據，但卻少有同時探討全球運籌以及新產品供應鏈的相關文獻。學者Butler, Ammons, and Sokol認為過去新產品供應鏈模式忽略了新產品將有可能無法存活下來的情形，因此發展一套新產品供應鏈模式，使新產品供應鏈能夠順利從上市成長到成熟階段，並利用此模式決定新設施、新機器購入的時機。 本研究延伸Butler等人之新產品供應鏈模式，考量更完整之全球運籌相關議題，透過混合整數線性規劃描述新產品發展時全球運籌配置問題，並利用情境為基礎的穩健最佳化以取得低風險的供應鏈配置，此外加入可靠度的影響，以彌補供應鏈規劃與實際操作的差距，並加入缺貨之懲罰成本，最後以範例資料進行計算與分析此數量模式，經由模式計算結果發現本研究規劃之結果，相較於原Butler等人之模式有較低的缺貨的發生可能性，且所求得之配置整體可靠度皆有所提升。 本研究所提出之規劃與分析方法可提供決策者在進行新產品全球佈局規劃時，能當作其新產品運籌配置之決策參考。 / When putting out new products under the environment of globalization, enterprise not only faces the uncertain factors in the demand of the customers and the costs that change with product life cycles, but considers all sorts of challenges which come with global operation. Many researches into supply chain quantitative model that probe into global logistics and the new product supply chain employ the quantitative model to reflect all sorts of uncertainty in the real world. They provide managers with the basis for the supply chain strategy and management. But few researches discuss about the global logistics and the new product supply chain simultaneously. Bulter, Ammons, and Sokol argue that the model of new product supply chain of the past neglects the condition which new products may not survive. Thus they developed a new product supply chain model to enable new products to launch the market and grow to maturity as well as decide when to purchase new supply chain facilities and equipments. This research which extends the new product supply chain model of Bulter et al. considers issues on global logistics from a more integrated view. First of all, it solves the global logistic settings problem in new product development by means of mixed-integer linear programming. Secondly, it uses the scenario-based robust optimization to lower the risk in the supply chain design. Then it adds the reliability calculation to make up for the gap between the plan and the real operation. At last it calculates and analyzes the quantitative model on the basis of the case data. This research establishes a methodology for decision makers to apply to plan and analyzing their new product supply chain when they make the global arrangement of new products.

本研究採用Lee 和Poon 所提出的隱藏常態變數模型來估計混合連續與間斷型變數之參數估計，並估計其馬式距離。此外，並利用穩健估計來估計混合型資料參數及其馬式距離，可在有離群值時解決最大蓋似估計的不穩定。 / Poon and Lee (1987) applied normal latent variable model to deal with the parameters estimation for the data mixed with continuous and discrete variables and Bedrick et al. (2000) used this idea to evaluate the Mahalanobis distance. In this thesis, we extend a similar idea to robustly estimate Multivariate Data Mixed with Continuous and Discrete Variables with the same model. Furthermore, we evaluate the Mahalanobis distance which can determine similarity of variables. The proposed method can overcome the unreliability of MLE while there exist outliers in the data.