過去研究多將焦點集中在增加高階經理人薪酬，將可促使高階經理人為公司股東的權益努力，為此探討提昇股東權益包含高階經理人獎酬與公司績效間的關聯，卻忽略了其與風險間的關係。高階經理人員可能因為獎酬的激勵，從事對公司有利且風險較低的計畫，也可能會為了提高自身的權利，將風險轉嫁給公司，因此激發出探討高階經理人員獎酬與公司風險間的關係的研究動機。 本研究以KMV模型之預期違約率作為公司風險之參數，探討高階經理人之 薪酬、自由現金流量、KMV信用風險之關係，同時瞭解公司規模是否影響高階 經理人薪酬、自由現金流量及公司績效與公司KMV信用風險間的關係。 研究結果顯示，公司高階經理人的薪酬與公司違約風險呈負相關，即高階經理人薪酬的提高，確能降低公司的違約風險，但此現象僅在大規模公司才能發現。此外，就自由現金流量而言，小規模公司之自由現金流量愈多，存在較高的風險，惟有提高公司營運績效，方能減緩公司風險的承擔。另一方面，對於高階經理人薪酬的提升，雖然在小規模公司並沒有效果，但係有助減緩自由現金流量帶來的負向衝擊。最後，前述小結僅存在於小規模公司群體，這可能是因為，大公司擁有較高的政治成本，因此為了避免社會的關注，大公司較小公司有較好的公司治理機制，因此管理當局較不可能基於自利的動機來影響公司的風險。 / Many past researches focused on senior manager will be able to work hard for raising shareholder’s equity because of higher compensation. Many researches of raising stakeholder’s equity explored the relation between senior manager compensation and financial performance, but ignored the relation with credit risk of company. Senior managers maybe perform lower or higher risk project for themselves benefit due to some higher compensation motivation. Thus this researching will refocus on exploring the relation between senior manager compensation and company credit risk. This study will discuss the relation among senior manager compensation, FCF and KMV company credit risk by EDF of KMV model as a parameter of company credit risk. And to understand the scale of company weather influence the relation among senior manager compensation, FCF and KMV company credit risk? The results of this research show that the senior manager compensation is negatively correlated with company credit default risk. On the other hand, higher senior manager compensation will reduce the risk of company credit default, but this phenomenon can be found only in lager companies. In addition, as far as small company's FCF, the more FCF, the more there is a higher risk. Increase company's operating performance, the company credit risk can be slow down. On the other hand, in small company there is no effect on raising senior manager compensation, but it will help mitigate the negative impact of FCF. Finally, the foregoing summary is just only in small company groups, may be because larger companies have higher political cost, so in order to avoid the concern of society, larger companies have better corporate governance than small companies, thus senior manager will not be able to influence the company’s credit risk for their self-interested motivation.

近年基金投資已然成為一般民眾重要的理財工具之一，而投資人最關注的顯然是基金績效的好壞，以及前績效好的基金在未來能否持續先前好的績效表現。因此本論文主要探討台灣的開放式股票型基金之績效、基金績效的持續性，以及投資人買賣基金的行為與基金績效之間的相互影響。論文第一部份是從隨機變數的觀點評估台灣的開放式股票型基金其夏普指標績效值，第二部份則以一般化的馬可夫模型－「漂移者—停駐者」模型評估基金績效持續性的動態行為，第三部份討論投資人的現金流量和基金績效之間的關聯性。 在第一部份的實證結果中，我們認為過去對夏普指標高的基金其績效較佳之想法必須修正，因為從隨機變數的觀點衡量基金的夏普指標值時，所有基金的績效均不顯著異於0。若與市場指數的夏普指標相比，並非所有基金經理人都能打敗市場，雖然以五年評估期間衡量基金績效時，有半數以上的基金其績效顯著優於市場指數，但在二年評估期間下只有極少數基金的績效顯著優於市場。第三，以拔靴法模擬基金的小樣本夏普指標分配時，仍然無法找到基金績效顯著大於零的證據。整體而言，本部份的研究認為從隨機變數的觀點衡量基金的夏普指標績效時，台灣的開放式股票型基金其績效超越市場的證據並不強。 第二部份以「漂移者—停駐者」模型衡量基金績效的動態持續性之實證結果，我們發現整體基金市場具有某種程度的績效持續性，但績效持續性的強弱程度隨著績效組別的不同而有差異，表現最佳與最差兩組基金的績效持續性高於績效中等基金，但整體基金的績效持續性並不很明顯。另外，績效最差組別的停駐基金比率為各組中最高，代表該組別基金的績效持續性較強。第二，基金績效持續性因績效指標的不同而有差異，主要差異反映在各績效組別裡停駐基金比率的估計。第三，「存活偏誤」的確對基金績效持續性的結果有影響，但主要影響反應在停駐基金比率的估計，而非績效漂移基金的轉換機率。第四，以概度比檢定驗證單純馬可夫鏈模型與「漂移者—停駐者」模型對資料的配適程度時，發現「漂移者—停駐者」模型較適合分析台灣開放式股票型基金的績效持續性。 就第三部份基金績效與投資人現金流量的討論，第一，實證結果支持台灣的開放式股票型基金其績效具有持續性，但整體市場的績效持續性並不顯著，其中季資料下基金績效的持續性證據最強，此部份與論文第二部份的結論一致。第二，前一季績效佳的基金在下一季能吸引投資人較多的現金流量，但是放入市場報酬率作為解釋因子後，我們發現投資人的現金流入隨著市場報酬率的上升而提高、隨著基金報酬率的增加而減少，因此投資人買賣基金的主要考量似乎是以市場整體走勢為主，而非基金前期績效。第三，投資人買賣基金的活動對基金後續績效並無影響，這可能是基金經理人的持股比率高於法令規定，或是投資人買入贖回基金的活動對績效的影響通常在數日內即已反應完畢。最後，討論經理人的流動性交易及訊息交易對基金後續績效的影響之前，我們發現基金前期績效的持續大約維持兩個月，但是加入流動性交易及訊息交易作為解釋變數後，基金績效的持續性減弱。 / Mutual funds have been a popular investment vehicle in recent years regardless of the growth of fund assets or numbers of beneficiaries. What investors mind are that whether mutual funds can provide higher return than others, star managers can persist previous dominant performance. For the reasons, we try to examine the performance of Taiwan mutual funds by Sharpe ratio index from new insights, and study mutual fund within best performance group can maintain antecedently superior performance. Finally, we attempt to investigate the relationship between fund performance and fund flows of open-ended stock fund in Taiwan. 1. We analysis the statistical distribution of the Sharpe ratio in Taiwan Mutual Funds developed by Lo(2002) and explore fund performance. First, we construct the confidence intervals of Sharpe ratio of Taiwan stock funds under different assumption for the return-generating process is independently and identically distributed returns (IID) and Non-IID but stationary, then, annualize Monthly Sharpe ratios by Time Aggregation technique. To avoid small sampling errors, we utilize bootstrap sampling conception to simulate the small sample distribution of Sharpe ratio of stock funds. We find that (1) there are not significant evidences that mutual funds in Taiwan have superior performance than riskless rate or market returns in several conditions. (2)By Bootstrapping sampling technique, we still cannot find stock funds have comparatively better performance than market indexes from empirical result. Accordingly, we believe that the usual methods about Sharpe ratios must be modified. That is, a mutual fund with higher Sharpe ratio is not necessarily a good performance, absolutely. Cause, Sharpe ratio index is not a constant, but a random variable, and we must build up its interval estimation and then test if there are significant differences between funds performance. Consequently, we argue it is relatively important to construct the performance-ranking system of mutual funds similar the bond credit-rating. 2. We employ the mover-stayer model to study the dynamics of performance persistence of mutual funds in Taiwan. This model provides us more detailed information about and help us further understand the nature of mutual fund performance persistence. We find (1) that there exists certain degree of persistence in mutual fund performance. Such persistence is, however, not very significant. It is because most funds are mover funds with unstable performance rather than stayer funds with consistence performance. More interestingly, funds within the best and the worst performance groups have more persistent performance than those within the middle performance group. It implies that in view of the previous mediocre performance, fund managers within the middle group have strong intention to improve their future performance. In addition, the fact that the worst performance group has the highest proportion of stayer funds implies that losers are more persistent than winners in Taiwan mutual fund industry. Overall, mutual funds in Taiwan have only weak performance persistence. (2) that consistent with the literature, the degree of persistence in performance is dependent on the performance evaluation criteria. It seems that this difference of degree of persistence is reflected in the estimation of stayer fund proportion, not in the estimation of the transition probability matrix of mover funds. (3) that there exists survivorship bias in our study. It mainly influences the estimation of stayer funds proportion, not that of the transition probability matrix of mover funds. Having said that , we believe that this bias will not alter the important conclusions of this article. 3. This part studies three important issues including the performance persistence of mutual funds, the relationship between mutual fund performance and investor fund flows, and the influence of investor fund flows on the performance of mutual funds. Our analyses are based on the data of mutual funds in Taiwan with three different frequencies that include monthly, quarterly, and yearly data. The methods we utilize to perform the analyses are those from Gruber (1996) and Edelen (1999). There are three main findings in this article: (1)During the sample period from 1996 to 2004, the evidence on the performance persistence of mutual funds in Taiwan is at best weak regardless of various risk-adjusted models and data frequencies. In sum, mutual funds in Taiwan do not perform persistently no matter how their performance is measured. (2)We are not able to discover a significant relationship between mutual fund performance and investor fund flows based on monthly data. This result is not consistent with that of Gruber (1996). However, this relationship becomes stronger if we look at quarterly data. In addition, the most interesting thing is that it seems that it is the quarterly stock market return that derives most of investor fund flows rather than the quarterly mutual fund performance itself. This result implies that the key factor for investors to decide whether to invest more capital into mutual funds is the overall market performance. In other words, the market sentiment may be the most importance factor that induces investors to purchase or sell mutual funds. (3) In contrast to the results of Edelen (1999), the liquidity-trading of fund managers induced by investor fund flows does not have a significant adverse effect on fund performance. Interestingly, the contemporaneous information-trading of fund managers has significant negative impact on fund performance while that in the previous month actually improves fund performance. Furthermore, the performance persistence normally lasts for two months but it diminishes when we incorporate both the liquidity-trading and information-trading of fund managers into the regressions.

本研究旨在探討台灣十四家金融控股上市(櫃)公司，其公司治理機制為董監事持股、持股質押、控制權與現金流量偏離度、機構投資人的持股比率，本文並加入考慮質押影響的董監事淨持股比率、調整後控制權與現金流量偏離度及合理的控制權與現金流量偏離度。針對2001年至2006年9月進行研究，為得出公司治理對績效影響與最適的公司治理使績效達最佳狀態。 吾人採用迴歸分析實證發現：董監事持股質押與公司經營績效具顯著關聯性，且得出使公司績效達最佳之最適持股質押比率為不超過56.50%之結果；董監事持股比率與公司經營績效具顯著正向關係，且其支持利益收斂推測；而在考慮董監事持股質押後之董監事淨持股比率，其亦支持利益收斂推測，但考慮了質押後的董監事淨持股對報酬率增加的幅度較小；機構投資人持股比率與公司績效多呈正向關係，但結果並不顯著；控制權與現金流量偏離度、考慮控制股東之持股質押後的調整後及合理的控制權與現金流量偏離度，其與公司經營績效多呈負向顯著關係，且辦理股票質押確實會使股權更加的偏離，並對於公司績效產生較負面的影響。

本研究以財報重編為財報品質之代理變數，探討自由現金流量是否對內部股權結構與財報品質的關係具有調節效果，期望藉助對於自由現金流量調節效果之了解，以利報表閱讀者更適當地解讀財報訊息，瞭解財報之品質。 實證結果顯示，自由現金流量對內部股權結構與財報品質間確實具有顯著的調節效果，尤其是董、監持股率與董事兼任經理人這兩項因素對於財報品質之關係，很受到自由現金流量之影響。自由現金流量本身與財報重編呈顯著負相關，自由現金流量愈高，財報重編的可能性愈低。但自由現金流量所引發的代理問題，反而可能對董、監持股率、董事兼任經理人與財報品質間的關係產生負面的調節效果，即財報重編的可能性顯著提高。但自由現金流量對於經理人持股率與財報品質間的關係不具有顯著的調節效果。 / This study examines whether free cash flow has the moderating effect on the relation between ownership structure and financial reporting quality, using financial restatements as a proxy for financial reporting quality. This study tries to interpret earnings information more appropriately through more understanding on the moderating effect of free cash flow. The study shows that free cash flow exactly has the moderating effect on the relation between ownership structure and financial reporting quality, especially for stocks holding ratio by directors and supervisors and CEO duality. Firms having more free cash flow are less likely to restate statements. However, free cash flow might trigger agency problem, which might having negative moderating effects, causing higher possibilities to restate statements. Otherwise, the finding of this study shows that there is no significantly moderating effect on the relation between managerial ownership and financial reporting quality.

鋼鐵產業因其基礎工業的特性，而成為衡量一國工業生產的指標，與衡量國力強弱的一種象徵。因此，各國政府或多或少都對國內鋼鐵產業採取保護政策，而對市場的供需平衡造成影響，使鋼品價位易起伏不定，增加鋼鐵業者經營的困難度。本論文希望能找出業內廠商之合理股價區間，提供投資大眾與後續研究者一些參考。 鋼鐵產業依照產品處於供應鏈之不同位置與產品特性，可細分為棒線盤元、板鋼、型鋼、冷熱軋鋼捲等子產業。為便於論文中之產業分析與企業策略之分析，同時考慮各子產業上市、櫃公司之數量、年度，以及公司資料的可得性，故選擇棒線盤元產業之廠商，分別為燁興、春雨、嘉益、佳大、三星等五家公司，作為本論文研究之對象。以個案公司2000年至2004年之財務資料，作為推估未來評價數據之依據。並以現金流量折現評價模式之銷售導向與盈餘導向兩種方式，對個案公司未來股價進行樂觀、最可能、悲觀等三種情境，進行評價分析，找出合理股價區間，再透過敏感性分析以及龍捲風圖，找出影響股價變動的關鍵因子。最後推算出當前股價背後隱含的銷售成長率、邊際利潤率、投資率以及盈餘成長率，與實際財務數據比較，以瞭解公司目前股價是否有被高估或低估的情形。 實證結果顯示，燁興、春雨、嘉益、佳大與三星等公司之合理股價區間分別為5.34~12.7元、10.83~17.15元、8.99~12.68元、5.01~13.52元、30.93~37.17元。敏感性分析顯示，五家個案公司影響股價變動之關鍵因子皆為邊際利潤率，當邊際利潤率變動1%，股價變動幅度從7%~37%不等，春雨之股價為最不易受影響者，而燁興的股價則為最敏感者。而由目前股價推算重要評價變數之數據，並與實際財務數據比較結果發現，除了燁興股價有被高估情形之外，春雨、嘉益與三星則是有被低估的情形。

在物競天擇，適者生存的定律之下，可預見金融機構將會為各種不同的目的，如擴大營業規模、提升獲利能力、吸納專業經理人才、獲取新種業務或防止經營危機等等，積極從事合併行為。綜觀國內的金融機構間合併案例過去多為處理問題基層金融機構而採行之概括承受；或為兩情相悅的善意併購，如台新銀行併大安銀行、國泰銀行併世華銀行等；或為惡意併購，如開發金控併大華證券。除了民國93年中信集團惡意購併開發金控為國內首例金控之間的合併案之外，多為大型金控公司合併其他金融機構的案例。 既然企業合併的動機是為了獲得綜效利益，就必須產生兩個基本的效果，一為擴充營業額，不是一加一等於二，而是要大於二；再來是要降低成本，包括合併後削減兩家公司的共同成本，如辦公設備、中高階幹部等。但是一般評估合併案成功與否多以市值變化為標準，如兩家公司合併，市場若不看好，雙方股價就會下跌；如果只有某一方股價漲，則表示這家公司在合併案中佔了便宜；若是兩家同漲，則表示市場肯定此合併案。但是如何評估合理的換股比例範圍，以及此合併價格是否對合併雙方的股東權益公平，是個值得深入研究的問題。 由於開發金三合一案（大華證券、中信證券和統一證券）為國內首宗證券三合一案，此合併案若通過，將取代元大證券成為國內證券業的龍頭；因此，本研究針對此三合一案，探討其換股比率。本研究另一個案，台北富邦合併案，由於富邦集團近年來與花旗集團策略聯盟，之後成立金控公司，購倂北銀，前進香港倂港基銀行，又跨足電信產業、購物頻道，可謂台灣金融業每個關鍵的發展點，富邦都掌握到了。故本研究也針對台北富邦合併案，探討其換股比率。 本研究將焦點放在合併議題中有關換股比率的決定進行實證研究。對於換股比率的探討，Kermit D. Larson and Nicholas J. Gonedes（1969）所提出的換股比率模型（以下簡稱L-G模型）算是首開先例的研究，之後亦陸續有學者針對此模型進行實證研究。因此本研究除了採用L-G模型作為實證研究的理論依據之外，還使用現金流量折現法、淨值法與市價法，提供換股比率實證研究更紮實的理論基礎。

智慧財產證券化係近年來智慧財產領域發展的重點。智慧財產證券化涉及到財務、會計、賦稅、法律、技術等跨領域的專業知識。本研究主要探討如何採用專案組合證劵化模式，發行專案組合擔保債券，並結合專案融資（Project Financing）、投資組合(Portfolios)、現金流量分析(Cash Flow Analysis)、風險管理(Risk Management)等投資分析工具，在智慧財產證劵化的應用。 本研究首先初步介紹證劵化的基本概念。如果能夠對證劵化的基本概念有初步認識，有利於對智慧財產證劵化的理解。其次，本研究介紹證券化的可行性研究及風險分析與評估。只有對投資專案風險做出正確的分析與評估，才能找出解決風險的方法及途徑，設計出可行的且風險能為投資人所接受的專案組合證券化架構及信用增強機制。專案組合證劵化架構的核心，係為SPV與專案公司之間的擔保貸款合約。該擔保貸款合約在本質上係智慧財產能夠從資本市場取得資金的橋樑。最後，本研究以流行音樂證券化為案例，說明如何將專案組合證券化模式應用於流行音樂證券化。 / The recent trends and developments of intellectual property focus on the securitization of intellectual property. Intellectual property securitization involves a variety of expertise such as finance, accounting, taxation, technical, etc. Intellectual property securitization is better to be defined as portfolio-backed securitization which should include a comprehensive business plan. This thesis is to study how to apply the proposed portfolio-backed securitization together with project financing, investment portfolio, cash flow analysis, and risk management to intellectual property securitization. This thesis starts with the introduction of basic concepts of securitization. Prior to entering into a specific discussion relating to intellectual property securitization, it is helpful to understand the fundamentals of securitization generally. This thesis also introduces the feasibility study and risk evaluation of intellectual property securitization. The risks for intellectual property securitization can be managed and the securitization structure and credit enhancements be accepted by investors only if the project risks have been properly evaluated. The core of portfolio-backed securitization is the secured loan agreement which bridges the project company’s income to the debt service by the SPV to investors. A hypothetical example of popular music securitization is illustrated to best explain the use of the proposed techniques. Keywords: Portfolio-backed Securitization, Intellectual Property, Portfolio, Cash Flow, Credit Enhancement, Security Interest, Popular Music

本文旨在探討台灣流動性交易需求對於股票報酬之波動性（變異數）與共移性（共變異數）的解釋能力。我們仿照Greenwood and Thesmar (2011) 的作法，完全利用共同基金的資料來近似股票的流動性交易需求（共同基金增加或減少其持有某支股票的部位）以及股權分佈，並據以推導出股票的脆弱性以及共脆弱性來預測股票報酬的變異數以及股票間的股票報酬共變異數。根據這個理論模型，當股票投資者面臨流動性衝擊，如果股權高度集中，或是散戶投資者間的流動性交易需求具有高度相關（即同時買進或同時賣出）時，流動性交易需求對股票報酬變異數以及股票間的股票報酬共變異數會產生顯著的影響。本文利用台灣2002年至2011年50家共同基金的資料，得到以下的結果：一、由股票流動性交易需求所推導出來的股票報酬波動（即股票之脆弱性）與利用股價所計算出的股票報酬變異數有明顯的正相關。二、股票的共脆弱性以及股票之間的共移性呈明顯正相關。三、小公司股、成長股、歷史表現好的股票均具有高脆弱性。以上實證結果指出，流動性交易需求對股票報酬有顯著的影響力，因此可利用股票之脆弱性預測股票報酬之波動。

自2007年金融海嘯爆發以來，至目前2012年的歐債危機，銀行部門就不斷成為風暴的中心。雖然金融危機並非金融海嘯或歐債危機的起因，但卻像是一種經濟衰退放大的機制。如何針對銀行部門進行有效的監管，自上世紀末90年代就已經開始進行討論。然而，經過十年來的發展，仍然發生雷曼兄弟倒閉等事件的金融危機。除了銀行的表現之外，是否仍有其他因素會影響銀行的經營績效？因此，本文欲探討：銀行的控制股東，是否會影響銀行經營決策的方向，進而產生不同的營運表現。 本文先分析集團內部股份盈餘比差異，分析集團內部是否存在剝奪的動機。其中，相較於目前計算金字塔結構的現金流量權的方法，本文發展馬可夫鍊計算現金流量權(盈餘分配權)。除了金字塔結構之外，本方法亦可精確地計算交叉持股或者較複雜的股權結構的現金流量權。本文並利用簡單回歸，分析集團持股銀行的比例，是否會對銀行績效產生影響，藉此觀察其中產生的剝奪問題。本文進一步分析，當控制股東進入董事會之後，其董事會代表持股銀行比例，是否也會對銀行績效產生影響，產生剝奪問題。最後，本文歸納出可能發生的剝奪機制：控制股東利用放款的途徑，因而導致逾期放款比例的增加，降低銀行營運表現，進而達到剝奪的效果。

因應全球化時代之來臨，為提升會計資訊的透明度及跨國間之可比較性，國際財務報導準則(IFRS)已然成為全球資本市場共通的會計語言。我國為提升企業與資本市場國際競爭力及降低企業赴海外籌資成本，將自2013年起分階段直接採用（Adoption）IFRS。 針對無活絡市場公開報價之權益商品公允價值衡量議題，本研究目的擬以投資者的立場，透過IFRS與我國現行財務會計準則間之主要會計原則差異，探討對自由現金流量折現法評價模型及評價步驟之影響，以提供未來投資者於應用自由現金流量折現法進行企業評價時之參考。 本研究顯示在IFRS與我國現行財務會計準則並存適用下，不論於進行同公司跨期間或不同公司同期間之分析比較時，需先辨識重大會計差異所帶來之潛在影響，並掌握因衡量方法的改變、IFRS 1各項豁免選擇、抑或表達上的重分類等，對財務報表資訊內涵所產生之影響，進而衡酌對自由現金流量評價模式的參數設定調整，以及可能改變對未來現金流量金額、時點及不確定性之預期，如此，方能獲致IFRS所帶來之提升財務資訊可比較性及高透明度等效益。 / With economic globalization, International Financial Reporting Standards(IFRS) is becoming the single set of globally accepted accounting principles to increase the transparency and comparative of financial statements. In keeping with international trends and to increase competitiveness, companies as the 1st phase in Taiwan will adopt IFRS in 2013. In this study, from the investor point of view, discussed the major differences between IFRS and ROC GAAP, which impact on the discounted free cash flow model and the evaluation steps. To provide the reference for investors when evaluating the company with the discounted free cash flow model. This study shows that under IFRS and ROC GAAP coexist, it must recognize the potential impact of the significant accounting differences firstly whether in the analysis of the inter-period of the same company or different companies during the same period. Due to control the impact of the information content of financial statements from the change of measurement、how to use exemptions provided by IFRS1 or expression on the re-classification, in consideration of adjusting the parameters of the discounted free cash flow model, and may change the expected amount of future cash flows , point and uncertainties. And then, we will attain the benefit such as enhance comparative and transparency of financial information from adopting IFRS.