近兩年來，全球經濟處於結構性的轉變，投資人已難單從定存與股票中獲得利潤。利率的持續低迷，也使得傳統固定收益工具的報酬率太低。在這種情況下，結構性債券漸成為投資人爭相追逐的熱門商品。在國內連動債券的熱賣，掀起了投資的風潮。但一般的投資大眾往往在不了解的情況下，因為銀行行員的推薦就任意的購買，卻不知風險到底有多大，是否真的如同廣告上所說那樣高報酬。因此，本論文希望藉由簡單的介紹與說明，使投資人對連動式債券有初步的認識。另外從投資人的角度，藉由本論文對於保本型票券的分析，使投資人能夠更加了解投資保本型票券可能面臨的報酬與風險，避免投資人因為不了解保本型票券的特性而遭受損失，或是因為不了解可能的風險而降低投資保本型票券的意願。由發行商的角度，使發行商了解發行保本型票券產品條款的設計，如何針對投資者的需求，設計出吸引投資者前來投資的新金融商品並從中獲取合理利潤，並且分析可能的風險與可行的避險方式，確保發行商的獲利。

本篇論文分別研究可買回利率連動債券和股權連動債券。利率連動債券的研究方法是利用數值解和封閉解(不考慮買回條款)來計算產品價值。數值解的求算方式利用Hull and White模型建構利率三元樹，首先利用 建構出第一階段利率樹，再加入 建構出符合市場上利率期間結構的利率樹，求出利率樹上每個節點的六個月LIBOR利率並利用MATLAB計算出產品真正價值。封閉解的求算方式是把產品拆解為零息債券加上利率數據選擇權，並利用Hull and White零息債券選擇權公式求出產品封閉解。股權連動債券利用Martingale推導出封閉解，再利用R求出真正的價值。 在計算出其真正的產品價值之後，分別針對上述三個商品做敏感度分析，模擬出當經濟環境改變時，對產品價值的影響，之後並針對券商的發行利潤及發行後的避險方法做探討，最後對投資人類型及投資策略作分析。

本篇論文以新台幣計價的結構性商品為主題，希望藉由對於此類商品的分析，讓投資人更加了解投資結構型商品所會面臨到的報酬及風險，並以兩個市場上已發行的產品為實證，推導出該結構性商品的價格、避險方式、發行商的風險及投資人的投資策略。藉由對於結構型商品的實證研究分析，使我們可以更清楚認知其風險所在與金融商品設計所需注意的地方。 隨著低利率時代的來臨，投資人無法再從定存及證券中獲得高報酬率，銀行也愈來愈不願接受投資者的大額存款。銀行及券商所推出的結構型商品，不只強調保本或高收益的特性來吸引大眾，投資人亦可以根據自己的個人理財規劃與風險偏好程度來投資金融商品以擊敗銀行微薄的定存利率。然而對於投資者而言，最佳的投資策略為何？想要有高報酬，相對所面臨的風險也隨之增加，畢竟天下沒有白吃的午餐，所以投資時應特別留意發行機構的信用風險、流動性風險及市場利率風險等各項風險。因此希望藉由本論文的分析，使投資人更進一步了解結構型商品之特性及投資結構型商品所可能面臨到的風險。另一方面，也提供發行商在發行結構型商品時可注意的要點，不但要能吸引投資人的目光，還要考慮發行的利潤及後續所面臨的風險。

隨著中國人民所得增加，政府實施金融改革，中國理財產品市場愈來愈蓬勃發展，產品種類繁多，投資人可選擇的產品種類相對增加，但如何從令人眼花撩亂的產品中選擇適合自己且可獲得利潤的產品是相當重要的。 本文針對中國已發行之理財產品進行評價與分析，首先採用蒙地卡羅模擬法評價招商銀行發行之“金葵花”08中國系列之行業領袖港幣理財計劃，本產品是股權連動商品。接著以LFM利率模型評價與分析中國銀行發行之0501B美元聚寶盆理財產品。分別模擬出產品的理論價格，最後針對評價的結果探討發行商之發行策略及投資人所面臨的風險。

本研究以大陸市場為研究對象，希望探討女性董事之參與與公司舞弊之關聯性，並參考過去文獻，一併討論董事會特性、公司股權結構與審計人員品質與公司舞弊之關聯性。 實證結果發現，在考慮中國大陸各省區市場發展程度之差異後，女性董事之參與可以降低公司舞弊發生之可能性；同時也發現董事會特性（外部董事之比例和董事長是否兼任總經理）與公司股權結構（國有股比例、法人持股比例、流通股比例、是否存在外國股東和公司最大股東持股比例）皆與公司舞弊之發生有顯著關連性存在。 / My study examines whether female directors’ participation in boardroom have an effect on corporate financial fraud in China. Besides, referring to the past studies, it also examine whether boardroom characteristics, ownership structure and auditors’ quality have an effect on corporate financial fraud. The data come from CSMAR database. The results from original analysis show that female directors’ participation does not have an effect on corporate financial fraud. But after considering the regional market development differences between the provinces, female directors’ participation in boardroom will deter fraud. The results also demonstrate that boardroom characteristics and ownership structure are important in explaining fraud.

隨著所有權與經營權日益分離因而引發代理問題，由於所有者與經營者之間存在著資訊不對稱(Information Asymmetry)，而引發監督等代理成本。本研究探討股權結構與公司價值之間的關係，究竟是支持「利益收斂假說」或是「利益衝突假說」，並探討公司內部人、機構法人是否能發揮監督功效，而提升公司價值，反應在股價是否為正向關係。而公司內部人若能適當監督產生正面效益，能使公司價值提升。機構法人為理性投資者，由於有專業團隊蒐集資訊進行投資分析，因此機構法人持股比例的高低具參考價值，對於公司股價具有影響力，故機構法人持股可視為另一股監督力量。 本研究採用2001年至2007年台灣TFT－LCD產業的追蹤資料，搭配固定效果模型，以股價為公司價值之代理變數，並將股權結構視為其他資訊之代理變數，來探討股權結構對於股價是否具有顯著解釋力。根據實證結果顯示，機構投資持股與公司價值呈顯著且正向關係，結果支持「效率監督假說」。其次，內部人持股比例對股價的造成的影響呈顯著且正向關係，研究結果與「利益收斂假說」吻合。並發現投信持股比例雖低，但其對股價的影響力較外資及內部人來的大。 / The increasing demand for the separation of ownership and management control has led to concerns on agency problems. The existence of information asymmetry between the owner and the management team has resulted in various agency costs, including supervision-related expenses, etc. In this dissertation, we try to study the relationship between ownership structure and corporate value, so as to determine whether the Convergence of interest Hypothesis or the Conflict of interest Hypothesis should be supported. We also try to probe whether the insiders of a company or the institutional investors are able to fully play their supervisory roles to increase the value of the company, and whether these roles have positive correlation with the company’s stock price. The supervisory functions of a company’s insiders, when properly fulfilled, will create positive effects and increase the value of the company. Being rational investors, institutional investors collect information and conduct investment analysis through a professional team. The shareholding by institutional investors, therefore, is indicative and influential to the company’s stock price. Institutional investors are reckoned as another force of supervision. In this research, we used the panel data of the TFT-LCD industry in Taiwan over the period of 2001 to 2007, supported by the fixed effect model. Stock prices are used as the proxy variables of the corporate value, and ownership structure is reckoned as the proxy variable for other information. The analysis is used to determine whether ownership structure has significant interpretation effect on the stock price. The empirical research results show that the shareholding by institutional investors has a significant and positive correlation with the corporate value, which supports the Efficient Monitoring Hypothesis. Further, the ratio of insiders’ shareholding also has significant and positive influence on the stock price. The research results therefore agree with the Convergence of Interest Hypothesis. It was also found that, whilst the ratio of shareholding by the SITE industry is relatively lower, its influence on stock price is greater than the institutional investors and insiders.

本研究以2002年至2007年曾發行員工認股權之國內上市(櫃)公司為研究樣本，首先從公司特性及股權結構之觀點，分析公司選擇發行員工認股權之決定性因素。此外，本研究進一步以績效調整後之盈餘管理幅度為應變數，從員工認股權佔總獎酬之重要程度，探討員工認股權、公司治理特性與盈餘管理之關聯性。 實證結果顯示，在公司發行員工認股權之決定性因素方面，公司成長機會、人力資源貢獻度、員工股票分紅比率與公司發行員工認股權之可能性呈顯著正向關係，而自由現金流量、股權結構綜合指標則與公司發行員工認股權之可能性呈顯著負向關係。在探討員工認股權、公司治理特性與盈餘管之關聯性方面，員工認股權佔總獎酬之比例與盈餘管理幅度呈顯著正向關係，而公司治理特性綜合指標則與盈餘管理幅度呈顯著負向關係。 / Based on a sample of Taiwanese companies has been issued employee stock option listed in Taiwan Securities Exchange over the period of 2002-2007. First, this thesis analyses the determinant of the company issued employee stock options of the company characteristics and ownership structure. Second, uses the performance matched discretionary accruals and the employee stock option of the total compensation to explore the impacts of employee stock options and corporate governance characteristics on the earnings management. The empirical results show that in the determinant of the company issued employee stock options, the company's growth opportunities, the contribution of human resources, employee stock bonus to total bonus and the possibility of issued employee stock options was a significant positive relationship, and free cash flow, ownership structure composite indicator the possibility of issued employee stock options was a significant negative to the relationship. In the impacts of employee stock options and corporate governance characteristics on the earnings management, the employee stock option of total compensation and earnings management was a significant positive relationship. The corporate governance and earnings management was a significant negative relationship.

雖然許多研究已針對認股權證評價進行調整，但是其價格低估的問題仍無法解決。因此，本文將探討認股權證發行對股價報酬動態過程的影響。本文將證實是否認股權證發行將影響其標的股價之動態過程，倘若股價報酬的動態過程已反應了認股權證發行的潛在稀釋效果，則進行充分調整的股權稀釋模型將低估認股權證的價格。為了確認在評價認購權證時充分調整稀釋效果的必要性，本文將檢測權證發行對股票報酬過程的影響。本文利用延伸Garch-M模型，導出四個檢驗稀釋效果的模型。實證結果顯示，在發行認股權證之後，股價報酬的變異數顯著降低，該結果在釐清股權稀釋效果與不對稱效果之後，該稀釋效果依然顯著。 / As the underestimation of warrants remains unsolved after many adjustments presented by previous researchers, we further investigate the impact of the warrant introduction on the underlying stock return processes. This research attempts to determine whether the introduction of warrants influences the return processes of underlying stocks. If the introduction creates a potential dilution effect in stock return processes, full dilution adjustment pricing models would lead to underestimation. To exam whether full dilution adjustments are required for warrant pricing, the GARCH-M model has been extended to derive four models for testing the dilution effect on stock return processes. Empirical results show that the volatilities of underlying stock return processes are significantly reduced following warrant introduction even after clarification and distinguishing dilution from asymmetric effect.

民國八十年後，政府積極推動金融自由化與國際化及開放民營銀行之設立等政策，致使我國銀行業面臨空前激烈之競爭，而政府為加強對銀行業之金融監理及金融檢查功能，必須仰賴銀行所提供之會計資訊作為定期檢查銀行業務時，分析銀行經營績效之參考；此外，一般投資人因資訊取得之困難與成本效益之考量，亦常傾向於以銀行公開之財務報表來評斷銀行經營績效。因此，深入探析我國銀行業之盈餘管理行為，將有助於政府及投資人評估銀行之經營風險及績效。 本研究以民國八十年至民國八十八年為研究期間，首先分析銀行業是否有延遲認列損益之行為，接著從股權結構面（包含公、民營銀行及董監事持股比率）探討我國銀行業之盈餘管理行為，藉以瞭解銀行在受政府法規高度管制之情況下，是否會因股權結構之不同而有不同之盈餘管理行為。其次，本研究亦從資本市場誘因之觀點，探析國內新上市銀行於上市前為符合上市條件，而上市後為避免更新已公開之財務預測，是否會造成盈餘管理行為有所差異。 實證結果顯示：（1）我國銀行業之損益操弄項目普遍存在季別差異之現象，除了有延後認列損益操弄項目至第四季外，同時也發現銀行第二季損益操弄項目有高於第一、三季之情形，似有半年報之效果呈現；（2）民營銀行之第四季處分資產損失、壞帳費用及提列其他損失準備佔全年比例顯著高於公營銀行，顯示民營銀行在第四季認列費用或損失之動機強於公營銀行；（3）銀行董監事持股比率會對第四季損益操弄項目佔全年比例有所影響之假說未獲得支持；（4）銀行上市前二年之營業利益及稅前純益佔實收資本比率之平均數，皆達10%獲利水準門檻，且皆顯著高於上市後第二年，據此間接證明銀行上市前之盈餘管理目標係在維持獲利水準達到10%之門檻；（5）達成財務預測之銀行會傾向於在第四季多認列壞帳費用，至於利益操弄項目，則並無第四季佔全年比例顯著高於前三季之情形。 / Banking industry in Taiwan is highly regulated and scrutinized by the banking law and government. Regulators of banking industry require that banks must satisfy certain capital adequacy ratio that is explicitly tied to accounting numbers. The regulating bodies have authority in inspecting banks' businesses and examining their financial reports periodically to evaluate their underlying performance. Based on a cost-benefit consideration and availability of information, the investors also analyze the performance of banks using their public available financial statements. The earnings behavior of firms in the banking industry is therefore essential for both regulators and investors in procuring the knowledge about the operating risk and performance of banking firms. Focused on the firms in the banking industry over the period of 1991 to 1999, this thesis first investigates whether the sample firm is subject to an earnings behavior of delayed recognition of their income and losses. The thesis also examines the influence of ownership structure on banks’earnings management behavior through the analysis of income manipulation ratios. Furthermore, in view of capital market incentives, this thesis studies whether going listed in Taiwan Stock Exchange would cast impacts on banks'earnings management behavior as banks are subject to different earnings management objectives (targets). The empirical results document that the fourth quarter ratios of the interim income manipulation items are larger and more variable than those of the other three quarters. This suggests that banks tend to delay their recognition of income manipulation items till the fourth quarter. The empirical findings reveal that the propensity for manipulating the fourth quarter expense/loss items is significantly greater for private banks than for state-owned banks. However, the empirical results cannot support the hypothesis that management ownership (the holdings of the directors and supervisors) will affect the magnitude of earnings management. With respect to capital market incentive issues, the empirical evidence indicates that for newly listed banks, both the two-year average operating income to capital ratio and income before tax to capital ratio before listing reach and not greatly exceed the 10% threshold. The evidence shows that these two ratios decline significantly in the second year after listing. The findings also suggest that listed banks which achieve their financial forecasts tend to recognize more bad debt expenses for the fourth quarter, while the pattern cannot manifest itself in the gain manipulation items.

國內將企業的員工分紅列為盈餘分配項目，在以自由現金流量折現法做為企業評價的模式時，若未將員工的現金分紅自本期的現金流入中扣除，將使股東角度的自由現金流量虛增，從而高估其股價。另一方面，員工的股票分紅使股東的股權逐期稀釋，若不考慮此種稀釋情形，而將未來各期現金流量的折現值全數分配於現有股東，同樣會造成股價高估。 本研究探討自由現金流量折現法應如何調整員工分紅因素，並針對選擇後的國內377家上市公司，以民國86年底的角度分別評估其考慮員工分紅與不考慮員工分紅的每股價值，同時以民國86年底實際股價分別檢測各理論股價的評價效度。 研究結果發現： 1.稀釋比率低者(股權稀釋較嚴重)其評價傾向高估。 2.高股票紅利者多為高ROIC之公司，以致股權稀釋較嚴重者有伴隨高持股報酬率的現象。 3.股權稀釋比率高低、成長型或價值型、股價高低以及產業別均會使評價效度有差異。 4.P/B高低，其評價效度則無顯著差異。 5.現金分紅率在1%至2%間之公司比2%以上之公司分配較高的員工股票紅利，股東持股報酬率也最佳；而現金分紅率1%以下大於0%以上之公司，其股東持股報酬率則最低。