近年來，一方面由於台灣資本市場的發展日益蓬勃，另一方面則因台灣企業日趨大型化、國際化，相對於過去大都趨於現金增資、盈餘及資本公積轉增資等權益型態融資，現階段則更傾向多種融資管道及融資工具的交互運用，可轉換公司債市場發行者日益增加。 因此，本研究欲探討當公司選擇於國內融資，選擇現金增資與發行可轉換公司債之企業，兩者的財務特性是否具有差異；探討當公司選擇發行可轉換公司債，則發行國內可轉換公司債與發行海外可轉換公司債之企業，兩者的財務特性是否具有差異；探討台灣資訊電子業其從事籌資活動時之融資偏好概況。 本研究分別以Multinomial Logit模型以及Nested Logit模型分析民國89至93年間上市上櫃發行國內可轉換公司債、海外可轉換公司債或現金增資之資訊電子業公司，探究發行公司是否具備某種財務特性，而影響其融資選擇。研究結果發現： 1. 以Multinomial Logit模型分析時，選擇發行現金增資及國內可轉換公司債的融資選擇上，資產總額取對數值(表公司規模)、銷貨成長率(表成長性)愈小者，資產報酬率(表獲利能力)、負債比率(表財務風險)、營業利潤率標準差(表營運風險)、自由現金流量比率(表代理問題)愈高者，愈傾向發行國內可轉換公司債。選擇發行海外可轉換公司債及國內可轉換公司債的融資選擇上，資產總額取對數值(表公司規模)、銷貨成長率(表成長性)、營業利潤率標準差(表營運風險)、自由現金流量比率(表代理問題)愈小者，負債比率(表財務風險)、資產報酬率(表獲利能力)愈高者，愈傾向發行國內可轉換公司債。 2. 以Nested Logit模型分析時，選擇發行現金增資及國內可轉換公司債的融資選擇上，資產總額取對數值(表公司規模)及負債比率(表財務風險)愈高者，銷貨成長率(表成長性)、資產報酬率(表獲利能力)、營業利潤率標準差(表營運風險)、自由現金流量比率(表代理問題)愈低者，愈傾向發行國內可轉換公司債。選擇發行海外可轉換公司債及國內可轉換公司債的融資選擇上，資產總額取對數值(表公司規模)、銷貨成長率(表成長性)、營業利潤率標準差(表營運風險)、資產報酬率(表獲利能力)愈小者，負債比率(表財務風險)、自由現金流量比率(表代理問題)愈高者，愈傾向發行國內可轉換公司債。 3. 經由Hausman Test檢定其融資選擇之間的IIA條件之後，發現此三項融資選擇之間無任何相關性，因此可知其適用之模型為Multinomial Logit Model。 4. 對於台灣的資訊電子產業而言，就其財務特性中之公司規模、成長性、獲利能力、財務風險、營運風險以及自由現金流量比率看來，發行海外可轉換公司債均應至少屬其融資時的前二位選擇。 5. 影響企業傾向選擇發行海外可轉債的機率程度由大致小排列為：公司規模、獲利能力、財務風險、營運風險、成長性、自由現金流量比率。 / In recent years, more and more companies tend to finance with other instruments except for seasoned equity offerings. Therefore, my paper attempts to explore if there exists differences in the financial characteristics of the companies who finance with seasoned equity offerings or convertible bonds, and if there exists differences in the financial characteristics of the companies who finance with European convertible bonds or domestic convertible bonds. Besides, I try to find the general situation of the financing behavior in the information and electronic industry in Taiwan. The main empirical results show: 1. The financing behavior of information and electronic industry in Taiwan is suitable for the use of Multinomial Logit model. It means that three financing instruments, seasoned equity offering, European convertible bond, and domestic convertible bond, are independent with each other. 2. As for the information and electronic industry in Taiwan, issuing European convertible bonds is probably the first two choices when discussing the financial characteristics of the firm size, growth, profitability, financial risk, operational risk and the ratio free cash flow. 3. The most influential factor that causes companies to issue European convertible bonds instead of domestic convertible bonds is firm size. And the least influential factor that causes companies to issue European convertible bonds instead of domestic convertible bonds is the ratio of free cash flow.

源於資訊量爆炸時代的來臨，企業面臨大量資料所帶來的挑戰：傳統關聯式資料庫無法負荷龐大資料所造成的效能及儲存設備升級等問題。為了解決大量資料所帶來的諸多問題，各界提出不同的理論，而其中最被廣為討論的就是雲端運算。時至今日，許多企業及個體用戶逐漸開始使用雲端運算中，目前最具代表性的分散式架構Hadoop上的資料庫代表－欄導向資料庫HBase來作為底層資料庫。故本研究提出一套傳統關聯式資料庫轉換至欄導向資料庫HBase之轉換機制，以台灣學術期刊搜尋引擎為例。

以往針對客戶流失與轉換行為所研究的對象，多偏重以消費品產業為主，較少探討工業品產業客戶流失對於企業經營所造成之影響。本研究針對工業品產業中之營建工具業，探討其客戶流失之原因及行為表現，並期望透過相關研究，使業者可預先發現可能流失之客戶，並做為後續發展客戶慰留專案之參考。 本研究可分為五部份，第一部份首先將回顧與本論文有關之文獻。第二部份則提出本研究之研究架構及研究方法。第三部份則以SPSS軟體進行實證研究，統計方法係利用敘述性統計分析、因素分析、信度分析、單因子變異數分析及區別分析等進行資料分析。第四部分為討論前述之研究發現，並將其與消費品市場之客戶流失行為模式相比較。最後則為結論與建議。 研究結果發現：1.流失原因可萃取出產品及服務因素及價格因素兩大構面。轉購原因可萃取出服務及品牌策略、產品策略及價格策略三大構面。2.流失行為係以降低購買頻率及轉換新的供應商兩種方式表現。3.營建工具業與服務業客戶轉換行為模式有明顯差異。4.購買持續時間較長之客戶，對於送貨時間太久之重要性認知程度與購買持續時間較短之客戶有明顯差異。產品價格太高及採購頻率兩項變數可作為判別流失客戶是否會轉換供應商之模式。但由於區別力不甚良好，故並不適合以此兩項變數作為判斷預測之基準。 / A great deal of effort has been made on the causes of customer churn in the consumer products industry. What seems to be lacking, however, is this subject in the industrial products industry. This study will focus the discussion on the causes of customer churn and customer switching behavior in the construction products supplier, in order to provide guidance for developing retention and loyalty programs. This study can be divided into five parts; the first part reviews the literature on this subject. The second part introduces the methodology to be utilized throughout the study, first with structural diagram of study followed by study methods, and object in study. The third part utilizes using SPSS for Windows as the tool to conduct statistical analysis, including description statistical analysis, reliability test, Discriminant Analysis, Factor Analysis, and One-way ANOVA. The fourth part discusses the experimental result of this study, and compares it with customer switching behavior in the consumer products industry. The last part is a conclusion of the thesis. The results of this study show as follows. 1. The main causes of customer churn are product and service oriented or price oriented. The main causes of customer switch are service and brand strategy, product strategy or price strategy. 2. Customer switching behavior includes decreasing purchased frequency and transferring to a new service provider. 3. Customer switching behavioral model in the service industry is different from the model in the construction products supplier. 4. The customers who have longer purchasing duration have higher recognition of importance for deliver time. Purchasing frequency and product price are not the best variables to predict if the customers would churn or not.

Black and Scholes (1973)對於報酬率提出以B-S模型配適，但B-S模型無法有效解釋報酬率不對稱高狹峰、波動度微笑、波動度叢聚、長記憶性的性質。Merton (1976)認為不尋常的訊息來臨會影響股價不連續跳躍，因此發展B-S模型加入不連續跳躍風險項的跳躍擴散模型，該模型可同時描述報酬率不對稱高狹峰和波動度微笑兩性質。Charles, Fuh and Lin (2011)加以考慮市場狀態提出狀態轉換跳躍模型，除了保留跳躍擴散模型可描述報酬率不對稱高狹峰和波動度微笑，更可以敘述報酬率的波動度叢聚和長記憶性。本文進一步拓展狀態轉換跳躍模型，考慮不連續跳躍風險項的帄均數與市場狀態相關，提出狀態轉換跳躍相關模型。並以道瓊工業指數與S&P 500指數1999年至2010年股價指數資料，採用EM和SEM分別估計參數與估計參數共變異數矩陣。使用概似比檢定結果顯示狀態轉換跳躍相關模型比狀態轉換跳躍獨立模型更適合描述股價指數報酬率。並驗證狀態轉換跳躍相關模型也可同時描述報酬率不對稱高狹峰、波動度微笑、波動度叢聚、長記憶性。最後利用Esscher轉換法計算股價指數選擇權定價公式，以敏感度分析模型參數對於定價結果的影響，並且市場驗證顯示狀態轉換跳躍相關模型會有最小的定價誤差。 / Black and Scholes (1973) proposed B-S model to fit asset return, but B-S model can’t effectively explain some asset return properties, such as leptokurtic, volatility smile, volatility clustering and long memory. Merton (1976) develop jump diffusion model (JDM) that consider abnormal information of market will affect the stock price, and this model can explain leptokurtic and volatility smile of asset return at the same time. Charles, Fuh and Lin (2011) extended the JDM and proposed regime-switching jump independent model (RSJIM) that consider jump rate is related to market states. RSJIM not only retains JDM properties but describes volatility clustering and long memory. In this paper, we extend RSJIM to regime-switching jump dependent model (RSJDM) which consider jump size and jump rate are both related to market states. We use EM and SEM algorithm to estimate parameters and covariance matrix, and use LR test to compare RSJIM and RSJDM. By using 1999 to 2010 Dow-Jones industrial average index and S&P 500 index as empirical evidence, RSJDM can explain index return properties said before. Finally, we calculate index option price formulation by Esscher transformation and do sensitivity analysis and market validation which give the smallest error of option prices by RSJDM.

本論文著眼於「共時」與「歷時」兩個視角，並從方言、跨語言現象及歷史語料討論「喫」「吃」「乞」的相關議題，包括歷史音韻、方言語法、歷史語法。 根據我們的研究結果顯示，「喫」「吃」兩字來自於「齧」「齕」的部件取代，而「喫」「吃」混用的機制是聲符「乞」「契」的音同所致，最終「喫」「吃」形成異形同義字。另外，也針對表示飲食義的「喫」進行歷史音韻的推測，按照音變的規則「見」系「溪」母的「喫」在現代漢語應讀為顎化音，但在詞彙擴散的效應下部份的聲母，流入中古的「照」系，其他的例子像是「廈」「閘」也循此變化模式。 文獻指出元明以後「喫」「吃」「乞」三者都有當作被動標記的用例，並且相互的混用。透過閩方言的音韻資料顯示，「喫」「吃」「乞」表示被動的語義根源並不相同，三者的混用主要是在歷史音變中形成一組同音字。 閩方言中有一個單用的入聲「乞」兼表給予、使役、索取、被動。而在閩南地區被動用法則為「乞與」或以授予動詞「與」兼用。因此，我們建立了一個假設：閩方言內部的被動標記「乞」可能有不同的語義根源，一個是和授予動詞「與」複合的「乞與」朝向授予>使役>被動發展；一個是「乞」由索求到被動。為了論證這個觀點，本文從英語的“get”作為觀察，並討論了「與格轉換」、「詞義分解」、原型施事受事理論。 從方言語料顯示「乞」可以出現在動詞及與格標記的位置，形成S+乞+DO+乞+IO；以及雙賓結構「乞+IO+DO」。透過與格轉換理論，前者可以推導出後者，另外歷史上也見到「乞與+IO+DO」的雙賓句式，這兩種句式的存在就是為了辨義作用，如同漢語的「借」和「借給」。閩方言裡不使用「乞與+IO+DO」的雙賓句式，因此我們推測當「乞與」形成之初是一組反義並列，隨著「與」的共現和語法化「乞與」複合成使役動詞並列，並朝向被動標記發展。對照「乞與」的發展推測，單用的「乞」其來源就值得探究。 閩方言單用的被動標記「乞」基本上都必須帶有施事者，形成長被動「NP1+乞+NP2+V」，但有少數的用例顯示，仍可以接受不帶施事的短被動「NP1+乞+V」。動詞「乞」的語義本身就帶有下對上的位階關係，因此操控權並非只限於 「乞」的主語。據此，論文的最後一章推測短被動「乞」的形成有兩個重要條件：動詞作格化(被動化)、動作事件的發生是在非自願性(不幸說)。歷史上「乞+N」最早出現，但是因為名詞動詞的模糊性產生「乞+N」>「乞+V」如「乞降」。 而長被動「乞」的產生，透過其他被動式的觀察，其發展應和「NP1+被+V+於+NP2」這個結構有關，透過句法操作、句式趨向最終產生「NP1+乞+NP2+V」。 兩相對照，短被動是在「乞+V」中「乞」重新分析為一個次要動詞(副動詞)；而長被動是在句法操作生成。 關鍵字: 詞彙擴散 被動標記 與格轉換 作格化(被動化) / Abstract This paper is aimed at two perspectives, “synchronic time” and “diachronic time,” and explores issues relating to “喫” “吃,” and “乞” from dialect, cross-linguistic phenol, and historical corpus discussions, including historical phonology, dialectic grammar, and historical grammar. The results show that the two words “喫” and “吃” are replaced by the “齧” and “齕” parts, while the mixed mechanism of “喫” and “吃” is derived from the homophone of “乞 (beg)” and “契”(bond), thus leading to the synonyms “喫” and “吃” Additionally, targeting the word “喫” that means diet, historic-phonology-related speculations were made. According to the sound shift rules, the word “喫” with “見” system and “溪” constituent should be pronounced as a palatalized sound (tilde) in the modern Chinese language. However, under the influence of lexical diffusion, some consonants fall under the “照” system. Other examples such as “廈” and “閘” also follow this pattern. According to literatures, there have been cases of “喫” “吃” and “乞” used as passive markers, which have been alternatively used. According to the phonological information of the Min dialect, it shows that the semantic roots of “喫” “吃” and “乞” are not the same and that the alternative use is mainly to form a set of homophones from the historical sound shifts. In the Min dialect, there is a single checked tone “乞” which means “give, causative, beg, supplicate, and passive.” In the Minnan region, the passive usage is “乞與” or the dative verb to be given “與.” Hence, the hypothesis is the passive marker “beg” in the Min dialect may have different semantic roots: one is the dative verb that compounds with “與” and “乞與” which are headed toward the direction of give>causative>passive; the other is the word “乞” that shifts from demand to passive. In order to demonstrate this point, the English word “get” was observed in this paper. The dative shift, lexical decomposition, and Porto agent Porto patient were explored. The dialectic corpus shows that “乞” can appear in the position of the verb and dative marker, thus forming S+乞+DO+乞+IO and the double object construction 乞+IO+DO. Through the dative shift theory, the latter can be deduced from the former. Additionally, the “乞與+IO+DO” double object construction has also been throughout history. The existence of the two sentence patterns plays the role of “to distinguish,” just like “borrowing” and “lending” in the Chinese language. In the Min dialect, the “乞與+IO+DO” double object construction is not used. Therefore, it is speculated that “乞與” was first formed as a set of opposite (meaning) antonym. With the collocation of “與” and the grammaticalization of “乞與” compounded to form and tie with the causative verb and head toward passive marker development. In conjunction with the development of “乞與” it is speculated that the source of the sole use of “乞” is worth exploring. Basically, the passive marker “乞” used in the Min dialect must have a causal agent, forming long passive construction “NP1+乞+NP2+V.” However, few cases show that short passive construction “NP1+乞+V” without a causative agent is still acceptable. The verb “乞” itself possesses the semantic bottom-to-top relationship. Thus, the control is not restricted to the “乞” subject. Accordingly, the last chapter in this paper covers two speculated important conditions that contribute to the formation of “乞”: ergativization/passivization and occurrences of actions that are involuntary (sad to say). In history, “乞+N” first appeared, but due to the ambiguity of the nouns and verbs, “乞+N” > “乞+V” such as “beg to surrender or got tamed” resulted. On the other hand, the generation of the long passive “乞,” as observed through other passives, is associated with the “NP1+被+V+於+NP2” structure. Through syntactic operations and sentential convergence, “NP1+乞+NP2+V” eventually resulted. In contrast of the two, short passive is the reanalysis of “乞” in “乞+V” to derive at a secondary verb (coverb), while long passive is generated through syntactic operation. Keywords: Lexical diffusion, Passive markers, Dative shift, Ergativization (passivization)

本文實證探討黃金期貨報酬率的特性並在標的黃金期貨價格遵循狀態轉換跳躍擴散過程時實現美式選擇權之評價。在這樣的動態過程下，跳躍事件被一個複合普瓦松過程與對數常態跳躍振幅所描述，以及狀態轉換到達強度是由一個其狀態代表經濟狀態的隱藏馬可夫鏈所捕捉。考量不同的跳躍風險假設，我們使用Merton測度與Esscher轉換推導出在一個不完全市場設定下的風險中立黃金期貨價格動態過程。為了達到所需的精確度，最小平方蒙地卡羅法被用來近似美式黃金期貨選擇權的價值。基於實際市場資料，我們提供實證與數值結果來說明這個動態模型的優點。 / This dissertation empirically investigates the characteristics of gold futures returns and achieves the valuation of American-style options when the underlying gold futures price follows a regime-switching jump-diffusion process. Under such dynamics, the jump events are described as a compound Poisson process with a log-normal jump amplitude, and the regime-switching arrival intensity is captured by a hidden Markov chain whose states represent the economic states. Considering the different jump risk assumptions, we use the Merton measure and Esscher transform to derive risk-neutral gold futures price dynamics under an incomplete market setting. To achieve a desired accuracy level, the least-squares Monte Carlo method is used to approximate the values of American gold futures options. Our empirical and numerical results based on actual market data are provided to illustrate the advantages of this dynamic model.

本文使用Esscher轉換法推導狀態轉換模型、跳躍獨立風險下狀狀態轉換模型及跳躍相關風險下狀態轉換模型的選擇權定價公式。藉由1999年至2011年道瓊工業指數真實市場資料使用EM演算法估計模型參數並使用概似比檢定得到跳躍相關風險下狀態轉換模型最適合描述報酬率資料。接著進行敏感度分析得知，高波動狀態的機率、報酬率的整體波動度及跳躍頻率三者與買權呈現正相關。最後由市場驗證可知，跳躍相關風險下狀態轉換模型在價平及價外的定價誤差皆是最小，在價平的定價誤差則略高於跳躍獨立風險下狀態轉換模型。 / In this paper, we derive regime switching model, regime switching model with independent jump and regime switching model with dependent jump by Esscher transformation. We use the data from 1999 to 2011 Dow-Jones industrial average index market price to estimate the parameter by EM algorithm. Then we use likelihood ratio test to obtain that regime switching model with dependent jump is the best model to depict return data. Moreover, we do sensitivity analysis and find the result that the probability of the higher volatility state , the overall volatility of rate of return , and the jump frequency are positively correlated with call option value. Finally, we enhance the empirical value of regime switching model with dependent jump by means of calculating the price error.

本文研究美國退休福利保險公司(PBGC)保險價值的計算,延伸 Marcus (1987)模型,提出狀態轉換過程保險價值模型計算,也就是將市場分為兩種情況,正成長率視為正常狀態,負成長率為衰退狀態,利用狀態轉換過程評價 PBGC 契約在經濟困難而終止和介入終止下合理的保險價值。在參數估計方面,本文以 S&P500股價指數和一年期國庫券資料參數估計值及Marcus(1987)和Pennacchi and Lewis(1994)的方式給定參數,以 EM-PSO-Gradient 延伸 EM-Gradient 方法並以最大概似函數值、AIC 準則和 BIC 準則比較估計結果。最後固定其他參數, 探討狀態轉換過程保險價值模型對參數調整後保險價值的影響之敏感度分析。 / In this paper, we evaluate Pension Benefit Guaranty Corporation insurance values through regime switching models, which is the extension of the models of Marcus (1987). That is, we can separate periods of economy with faster growth from those with slower growth when observing long-term trends in economy and calculate the reasonable PBGC insurance values under distress termination and intervention termination by regime switching processes. We set parameters by estimating S&P 500 index and 1-year treasury bills by EM-PSO-Gradient, which is the extensive method of EM-Gradient and refer the methods of setting parameters from Marcus (1987) and Pennacchi and Lewis (1994). After that, we compare the maximum likelihood estimates, AIC and BIC of the estimative results. Finally, we do sensitivity analysis through given the other parameters and look into what would impact on our models of insurance values when adjusting one parameter.

此篇論文利用馬可夫狀態轉換模型實證出在歐元區的股票市場中，以規模溢酬、價值溢酬以及市場溢酬建構的投資組合存在兩個不同的情境狀態。以歐元區市場溢酬和規模溢酬建構的投資組合(SMB portfolios)在牛市存在較高的平均報酬，另一方面以價值溢酬建構的投資組合(HML portfolios)則在熊市有較高的平均報酬。而以規模溢酬、價值溢酬以及歐元區市場溢酬建構的投資組合，其報酬率變異數在熊市皆比牛市來得高。由於此篇論文實證出不論在樣本內或樣本外的測試中，以規模溢酬以及價值溢酬建構的投資組合，其特色反轉投資策略皆優於買入並持有的投資策略，因此本篇論文建議，在歐元區以規模因素（size factor）及帳面價值與市價比因素（book-to-market factor）為考量建構投資組合時，考慮規模溢酬以及價值溢酬在不同情境狀態下的反轉異常現象是重要且不可忽視的課題。 / This paper documents the presence of two regimes in the joint distribution of stock returns on European market premium portfolio and portfolios tracking size- and value effects in the Euro area. The mean returns of the EMU market portfolio and SMB portfolios are higher in the bull state while the mean return of the HML portfolio is larger in the bear state. Volatilities of the EMU market portfolio, SMB portfolio and the HML portfolio are all larger in the bear state compared to the bull state. This paper uses the Markov regime-switching model to generate the switching signal of market, size and value portfolios in the stock market and reallocates the market, size and value portfolios in the stock market by the mean-variance approach. Since both in the in-sample and out-sample test, the performance of the style rotation strategy outperforms style consistent strategy of the SMB portfolio and HML portfolio, this paper proposes that when analyzing investments in returns of size and value portfolios in the European market, it is important for us to account for anomalies for size and value effects in European market under different regimes. In the regime-switching VAR(1) model to account for the net capital flow predictability on the stock returns of EMU market, SMB and HML portfolios and the interrelationships among these variables. The result shows that adding the European Union net capital flow in relation to the economy's size as the predictor variable to the regime switching VAR(1) model, it improves the asset allocation outcomes both in the in-sample and out-sample test. Furthermore, this paper has found that both in the bull and bear states, the impulse response function shows that a shock of one standard deviation of net capital inflows last month will reduce the EMU market return up to near three months. Besides, the net capital inflow shock in European stock market will generates appreciation of companies with low book-to-market ratios (growth stocks) and large-sized firms in the bull state, while it generates appreciation of companies with high book-to-market ratios (value stocks) in the bear state.

我國目前的證券市場過份偏重於股票市場，忽略了債券市場，使得市場上彌漫著投機 氧氣，養成社會大眾不勞而獲的心理，為了改正這種氣習，需要加強債券市場的發展 ，使股票市場與債券市場齊頭并進。 而我國一般民眾對債券市場并不熟悉及熱衷，為了發展債券市場及吸引投資人的注意 ，可引進一新工具，那就是可轉換公司債。所謂可轉換公司債為一公司債訂有一轉換 比率，使得可轉換公司債之擁有者可將其債券轉換成該公司的股票。 由於轉換公司債的特殊性質，同時兼顧了債券與股票的雙重特性，使得其成為證券市 場上極具吸引力的一項商品，可抓住投資人的興趣，使得投資人逐步邁進債券市場。 由於可轉換公司債的特殊性質，使得判斷其價格是否合理，較判斷股票及公司債困難 許多。因為其較一般公司債多了一轉換權利而增加了資本利得的機會，也較股票多了 一最低保值額，所以可轉換公司債的訂價方式也就顯得較復雜，而不易判斷其價值。 本文除了介紹可轉換公司債的基本性質之外，還特別著重於可轉換公司債的訂價研究 ，希望藉此研究，可得出一結論對於投資大眾及發行公司都有所助益。