大型股過去一直被認為平均報酬率低於小型股，但如果從個股來看，不少大型股的績效並不會比指數差。考慮到一般非專業投資人在投資股票時，選擇大型股還是比小型股容易，本論文試圖建構一套在實務上較可行的大型個股選股策略—選擇市值第二大的股票，並定期調整個股。我們以美股標準普爾500指數中前兩大市值的股票，分為兩種投資組合做比較，結果發現，市值最大的股票不容易創造超額報酬，市值第二大的股票，反而締造極佳的超額報酬，此現象在過去3年、5年、10年，尤其較過去20年更為明顯。原因在於市值排名第二的股票，多半屬於排名仍在持續上升的成長股，這些個股基本面尚未到達頂點，故股價還會反應一段時間的基本面利多，採取類似動能策略(Momentum Strategy)的方法，報酬率容易超越指數；市值最大者則因為基本面普遍伴隨市值排名已經到頂，加上投資人對於排名第一的股票，多半易產生定錨效應(Anchoring Effect)，即認為股價可能已經反應其該有的價值，較難創造超額報酬，傾向賣出。故同樣投資大型股，選擇市值第二名的股票會優於第一名。 / According to The Size Effect Theory, small cap securities generally generate greater returns than those of large cap companies. However, this trend has involved into the difficulties of stock picking due to the large number of small caps. In this paper I propose a strategy against the size effect theory, “Second is Better”, to pick the second largest market value security as the single stock investment. I examine the performances of the No.1 and the No.2 largest market cap stocks in the S&P500 and apply a 6-month rebalance to construct two different portfolios, which is similar to the concept of Momentum Strategy that buy the past winners and sell the past losers. I find the No.2 stock outperforms than No.1 stock and generate amazing excess returns in the near mid-to-long-term periods. Because No.1 stocks are more likely to experience Momentum Crash than No.2 stocks due to investor’s anchoring bias as they believe the No.1 stock might have been peaked. No.2 stocks are usually in the growing stages that many investors believe the 2nd largest caps still yet to peak during market value expansion.

外匯分離管理（Currency Overlay）概念係起源自80年代末期，泛指對國際投資組合的匯率風險管理，其目標包含降低匯率風險、賺取外匯報酬（currency return）、或兩者混合，通常係由外匯管理者視投資人需求訂定之，並據以決定採行不同類型的管理方式--消極型外匯分離管理（passive overlay）、積極型外匯分離管理（active overlay）或是純粹超額報酬管理（pure alpha programme）。其中積極型外匯分離管理與純粹超額報酬管理係利用外匯市場效率不足，進行積極操作，試圖賺取超額報酬。 本研究針對外匯分離管理中常所採用策略，包括PPP避險策略、遠期外匯溢價避險策略、移動平均避險策略，並另嘗試結合上述3種避險策略為一綜合避險策略，對8種主要貨幣與7種新興市場貨幣進行實証，研究期間由1999年初至2006年底，評估前述四種動態避險策略之避險績效是否優於完全未避險策略。實證結果發現，除了個別貨幣對美元呈現明顯貶值趨勢之期間外，動態避險策略之避險績效似乎未如預期中理想。其中PPP避險策略不論是對主要貨幣或是新興市場貨幣似無法發揮避險效益，顯示以相對購買力評價均衡匯價並不適用為避險指標。移動平均避險策略在外匯市場呈現明顯的趨勢時，尤其是出現大幅走貶時，避險績效較佳，惟在區間震盪或市場盤整的行情下，避險績效則未盡理想。受到近年來套利交易盛行，造成部份貨幣之遠期匯率偏誤現象明顯，因而使遠期外匯溢價避險策略具有不錯避險績效。至於綜合避險策略對主要貨幣之避險績效較佳，而對新興市場貨幣似無法發揮避險效益。 積極型外匯分離管理成功關鍵在於外匯管理者對外匯市場未來趨勢有準確的看法，俾以進行動態避險操作。然而，外匯市場的變動不易預測，故投資人欲透過積極型外匯分離管理，達到同時規避匯率風險、增加外匯報酬之目標，難度相對較消極型外匯分離管理為高，而且投資人得承擔外匯管理者操作不佳所衍生的損失與風險。因此，建議保守投資人仍應採用消極型外匯分離管理方式。

傳統的保險人在面對保險契約所承保的風險時，常會藉由國際上的再保險市場來分散其保險風險。由於所承保險事件的不確定性，保險人需要謹慎小心評估其保險風險並將承保風險轉移至再保險人。再保險有兩種主要的保險型式，可區分成比例再保契約及超額損失再保契約，保險人將利用這些再保險契約來分散求償給付時的損失，加強保險人本身的財務清償能力。 本研究，主要在於建構未來損失求償幅度或頻率的預測分佈並模擬未來支付求償的損失。簡單重點重複抽樣法是一種從危險參數的驗後分佈中抽樣的抽樣方法。然而，蒙地卡羅模擬是一種利用大量電腦運算計算近似預測分佈的逼近方法。利用被選取危險參數的驗前分佈來模擬其驗後分佈，並建構可能的承保危險參數結構，將基於馬可夫鏈蒙地卡羅理論的吉普生抽樣方法決定最適自留額，同時運用於再保險合約決策擬定過程。 最後，考慮於不同的再保險契約下來衡量再保險人的自負財務風險。基本上我們研究的對象是針對保險人所承保的風險，再藉由上述的方法來模擬、近似以量化所衍生的財務風險。這將有助於保險人清楚地瞭解其承保的風險，並對其承保業務做妥善的財務風險管理。本研究提供保險人具體的模型建構方法並對此建構技巧做詳細說明及實證分析。 / Insurers traditionally transfer their insurance risk through the international reinsurance market. Due to the uncertainty of these insured risks, the primary insurer need to carefully evaluate the insured risk and further transfer these risks to his ceding reinsurers. There are two major types of reinsurance, i.e. pro rata treaty and excess of loss treaty, used in protecting the claim losses. In this article, the predictive distribution of the claim size is constructed to monitor the future claim underwriting losses based on the reinsurance agreement. Simple Importance Resampling (SIR) are employed in sampling the posterior distribution of risk parameters. Then Monte Carlo simulations are used to approximate the predictive distribution. Plausible prior distributions of these risk parameters are chosen in simulation its posterior distribution. Markov chain Monte Carlo (MCMC) method using Gibbs sampling scheme is also performed based on possible parametric structures. Both the pro rata and excess of loss treaties are investigated to quantify the retention risks of the ceding reinsurers. The insurance risks are focused in our model. Through the implemented model and simulation techniques, it is beneficial for the primary insurer in projecting his underwriting risks. The results show a significant advantage and flexibility using this approach in risk management. This article outlines the procedure of building the model. Finally a practical case study is performed for numerical illustrated.

本文主要探討新股初次上市(櫃)前後期間的股價反應，並藉由觀察準上市(櫃)公司正式上市(櫃)前於興櫃市場交易的股價反應，來驗證興櫃市場的價發現機能。實證結果顯示，上市(櫃)申請日起至興櫃市場最後交易日止期間平均持有報酬47.01%、上市(櫃)首日異常報酬為58.37%、正式掛牌上市(櫃)第二交易日起至一年後的報酬表現，新上櫃股票報酬為14.01%普遍優於新上市的-1.23%。 興櫃市場的價格發現機能相關研究方面，興櫃市場的價格發現機能相關研究的結論為:IPO首日超額報酬在興櫃市場就已經能率先適當反應，興櫃市場是有價格發現機能的，IPO首日超額報酬存在，很有可能是因為承銷價低估。 / This research aims to investigate the performance of IPO stocks during their offering. Our sample consists of IPO announced from March 1, 2005 to February 28, 2010 drawn from the Taiwan Economic Journal. The empirical results show that (1) the return from the day applying to TWSE or OTC to the last trading day on emerging stock market is 47.01%. (2)The IPOs market adjusted return on the first trading day is 58.37%. (3) The performance of IPO stocks listed on OTC is better than stocks listed on TWSE after their offering. We also observed the stock price before listing to test price discovery function of emerging stock market. Our research show that stocks price on emerging stock market has appropriately reacted before listing. Emerging stock market has price discovery mechanism.

已實現投資報酬率與無風險利率之差、被稱為超額報酬，而股票的預期報酬率超過無風險利率的部份則為股票風險溢酬，是許多資產評價模型的重要依據，例如資本資產定價模型。有不同的理論架構解釋說明風險溢酬值，例如；股票風險溢酬的迷思、短期損失的憎惡、生還存留因素和回歸與偏離平均值等等。 研究台灣股市的超額報酬與股票風險溢酬，有助投資大眾和企業理性面對股市的預期報酬和風險，對台股才有合理的期望報酬值。分析1967年迄2003年的台灣金融市場，計算過去37年長期的幾何平均年報酬率，以臺灣證券交易所發行量加權股價指數為台股市場報酬率，已實現台股實質年報酬率為6.71%。無風險報酬率使用第一銀行的一年期定期存款利率，實質台幣存款年利率為3.07%，消費者物價指數年增率則為4.80%。以年資料計算的台股實質超額報酬，算術和幾何值分別為12.48%和3.63%(年)，計算月資料算術平均和幾何平均值分別為0.77%和0.25%(月)。過去37年長期的台股超額報酬現象未較歐美市場的情況更加明顯，也比一般市場的預期報酬率低。 因資料取得的限制、台股的理論超額報酬方面，1991年迄2003年的近十三年來，經固定股利成長模式和盈餘成長模式的兩種計算方式，台股的實質超額報酬分別為 0.6%和-4.3%，此時期台股的投資報酬率比起台幣存款並不突出、且是低超額報酬。同期的已實現的實質超額報酬值；算術平均1.69%和幾何平均-3.35%。評估目前台股風險溢酬，將十分接近過去37年長期歷史資料得到的超額報酬數值，算術年均值為12.48%(年)和0.77%(月)，幾何平均分別為3.63%(年)和0.25%(月)，低風險溢酬是當前台灣股票市場的一般現象。 / The difference between the observed historical investment return and the risk-free interest rate is the excess return. The equity risk premium, ERP is the expected rate of return on the aggregate stock market in excess of the rate of risk-free security. ERP is one of important factor of many asset-pricing models, including Capital Asset Pricing Model, CAPM. There were many theories and factors to explain the equity risk premium; equity premium puzzle, myopic loss aversion, survivorship bias, mean reversion & aversion and etc. Studying the value of Taiwan equity excess return and risk premium is fundamental for investors and institutions evaluating the expected market investment return and risk. Analyzing the data from year 1967 to 2003 for thirty-seven years long holding period, Taiwan Stock Exchange Capitalization Weighted Stock Index as Taiwan stock market return, the realized real return was 6.71%. One-year bank time deposit rate as NT dollars risk-free asset rate and real interest rate was 3.07% and consumer price index, CPI annual growth rate was 4.80%. The historical real yearly excess return was 12.45% for arithmetic mean and 3.63% geometric mean; the historical real monthly excess return was 0.77% for arithmetic mean and 0.25% geometric mean. Taiwan realized equity excess returns were not higher than the returns in the developed countries and were also lower than the market's expectation. Due to the limits of available data, the theoretical equity excess returns that were calculated on two theoretical models; Constant Growth Dividend Discount Model (dividend yield model) and earnings yield model were 0.6% and -4.3% from year 1991 to year 2003. Comparing the same period of historical realized excess returns of 1.69% for arithmetic mean and -3.35% geometric mean, Taiwan stock market returns were not spectacular. The current equity risk premium of Taiwan stock market is low and should be near the level of the long historical realized equity excess return.

我國考察先進國家之金融體系架構，發現外國非銀行業務（Non－bank business）已行之有年、蓬勃發展。是以開放融資公司設立，為民國八十四年亞太營運中心計畫（金融中心部分）執行事項之一，嗣於八十七年因受亞洲金融風暴之影響而暫緩辦理。九十一年間考量國內外經濟環境之變化，為使企業與個人融資管道多元化，並發展國內非銀行業務等因素，爰再研究開放融資公司設立相關事宜。經建會乃透過二階段之委託研究，邀請專家、業者，與經濟部、財政部等相關機關研擬後，於九十三年五月間完成「融資公司法」草案之確定版本，六月十四日經行政院經建會第1178次委員會議討論通過，八月十九日於行政院院會完成初審，而九十四年三月三十一日經濟部修正後再送行政院，俟行政院最後審議。 融資公司法制對法律人而言，係一全新之領域，本文乃係探討融資公司法制之理論體系，釐清相關規範之基本內涵與概念，以提供後續學理討論及與本議題相關之專業人士參考。又他山之石，可以攻錯，故本文整理分析外國立法例，尤其是日本法，以做為我國融資公司法草案之借鏡，俾利提出最適於我國情狀以及需求的法解釋論與立法論，亦可成為訂立相關法規及面對實務問題之酌參。在比較法例上觀察鄰近我國的日本，因其「非銀行（Non-bank）業」（稱「貸金業」）發展歷史已有相當時日，故對之制訂有所謂的「貸金三法」。該等法律因應著日本貸金業制度陸續產生的社會、法律問題，屢屢增加規範密度，此應可對我國尚在法制化過程的融資公司法草案帶來許多啟發。至於我國融資公司法草案興利防弊之立法芻議，本文將由淺而深的參酌日本法與我國相關財經法律以對照表形式廣為比較說明。並就融資公司制度實務，不僅針對融資公司法架構下之融資業務，甚至是雖非受融資公司法草案規範，惟咸信為將來主要業務者之經營型態及法律關係做研究分析，藉以理出一套最適於我國國情之融資公司法制。最後點出將來制度調整之方向及展望。 綜觀民國八十四年討論融資公司相關議題至今業已十個年頭的法制化過程，隨時空環境之轉換下，融資公司法草案內容迭有變遷。惟檢視目前經濟部融資公司法草案，似仍有未臻完善、尚須補足之處。諸如融資公司法草案第三、第十二條「融資性交易」之定義是否妥適？相關配套措施能否與實務運作情形配合？現行實際經營融資業務之公司改制為融資公司誘因為何？主管機關依融資公司法草案所採之管理模式是否適宜？對金融秩序之建構又有無正面之效應？凡此種種，除於經濟層次上有其重要性外，法律層面上之探究即為本文觀察建議重點所在。