長期性資料(longitudinal data)的最主要特徵是為對多個被觀測個體在不同的時間點上重複測量一個或多個反應變數。而在分析長期性資料的方法中，Laird & Ware(1982)建議以線性混合效果模型(linear mixed effects model，LME)來進行估計分析，此模型方法中，資料可以允許遺失值，並可將受測個體間與個體內的變異分開說明。 另在配適最小平方法(OLS)的迴歸模型中，係數估計經常會受到異常值的影響，而Rousseeuw & Leroy(1987)提出最小消去平方法(least trimmed squares，LTS)的穩健迴歸模型，即是解決最小平方法中對於異常值敏感的問題。 本研究主要針對台灣股票預期報酬之三種模型：資本資產定價模型、特徵模型、因子模型分別以OLS、LTS、LME三種估計方法做配適，並比較配適模型之適當與否，樣本資料為民國七十年七月至九十年六月共252個月516家上市公司股票報酬。實證結果顯示，不論是採用OLS、LTS、LME的估計方法，股票報酬解釋變數：系統風險、公司規模、帳面權益對市值比、SMB、HML皆為股票報酬的顯著解釋因子；而在模型比較方面，不論是配適資本資產定價模型、特徵模型或因子模型，LME都較OLS為較適當配適模型。這顯示了在分析長期性資料時，LME的確是一個較佳的統計分析模型。

資本資產定價模型 (CAPM) 由Sharp (1964)、Lintner (1965)及Black (1972)發展出後，近年來已被廣泛的應用於衡量證券之預期報酬率與風險間之關係。一般而言，衡量結果之估計有兩個階段，首先由時間序列分析估計出貝它(beta)係數，然後再檢定廠商或投資組合之平均報酬率與貝它係數之關係。 Fama與MacBeth (1973)利用最小平方法估計貝它係數，再將由橫斷面迴歸方法所得出之斜率係數加以平均後，以統計t-test檢定之。然而以最小平方法估計係數，其估計值很容易受離群值之影響，因此本研究考慮以穩健估計 (robust estimator)來避免此一問題。另外，本研究亦將長期資料分析 (longitudinal data analysis) 引入CAPM裡，期望能檢定貝它係數是否能確實有效地衡量出系統性風險。 論文中以台灣股票市場電子業之實證分析來比較上述不同方法對CAPM的結果，資料蒐集期間為1998年9月至2001年12月之月資料。研究結果顯示出，穩健估計相對於最小平方法就CAPM有較佳的解釋力。而長期資料分析模型更用來衡量債券之超額報酬部分，是否會依上、中、下游或公司之不同而不同。 / The Capital Asset Pricing Model (CAPM) of Sharp (1964), Lintner (1965) and Black (1972) has been widely used in measuring the relationship between the expected return on a security and its risk in the recent years. It consists of two stages to estimate the relationship between risk and expected return. The first one is that betas are estimated from time series regressions, and the second is that the relationship between mean returns and betas is tested across firms or portfolios. Fama and MacBeth (1973) first used ordinary least squares (OLS) to estimate beta and took time series averages of the slope coefficients from monthly cross-sectional regressions in such studies. However it is well known that OLS is sensitive to outliers. Therefore, robust estimators are employed to avoid the problems. Furthermore, the longitudinal data analysis is applied to examine whether betas over time and securities are the valid measure of risk in the CAPM. An empirical study is carried out to present the different approaches. We use the data about the Information and Electronic industry in Taiwan stock market during the period from September 1998 to December 2001. For the time series regression analysis, the robust methods lead to more explanatory power than the OLS results. The linear mixed-effect model is used to examine the effects of different streams and companies for the security excess returns in these data.

在全球化趨勢下，地方競爭將取代國家的競爭，地方是國家能否與全球競爭之關鍵，提高地方的競爭優勢與發展地方經濟是各國政府努力的目標。財政制度對長期地方發展扮演重要角色。透過政府間的權限與財源之劃分，一方面可使政府所提供之財貨和勞務適應不同地方人民偏好之制度效率目標，進而使所得成長；另方面可維持全國一致性和地方間的發展平衡，避免各地方所得分配過度懸殊的公平目標。良好的財政制度必須能提升各政府部門自我負責性及經濟效率，促進地方所得成長卻不會傷害地方間均衡發展之公平目標。本文以單根檢定法分析發現民國72年至93年間我國政府部門財政制度變遷，以及民國88年以後財政收支劃分法修正後財政制度調整，的確使政府間財政資源分配更趨向公平，但多個地方政府間財政自主程度並未提升且差異大。又透過民國79年至93年23個直轄市與縣市地方政府長期追蹤資料，分析發現我國財政制度在地方發展上扮演非常重要角色。財政分權制度與地方政府財政收支制度的確對各地方所得成長率與地方所得分配有顯著影響效果。但地方政府財政收支制度無法發揮效率，對地方發展有不利影響。88年財政制度調整後地方財政制度對地方發展之不利影響並未有所改善。本文根據研究結果提出制度建議，以作為未來制定地方財政制度與地方發展政策之參考。 / Local governments faced severe fiscal imbalance problems for a long time, caused in part by long-term structural imbalances between their spending and revenue requirements. May be financial structural has positive consequences on local economic development. The article examines the relationship between the fiscal structure of local government and local economic development. Although most prior empirical studies present inconsistent findings about the effects of local taxing and spending policies, but more empirical works conclude that local income growth relates negatively to tax increases if the revenue finances income redistribution, but not if the revenue finances public services. The study examines these issues with more recent panel data of Taiwan and with more careful attention the effects of fiscal decentralization. We conclude that local economic development relates negatively to local tax increases if the revenue finances local public service . Local Financial structural and fiscal decentralization have negative consequences on local economic development.

本研究探討長期投資人之最適資產配置問題，並著重於通貨膨脹風險之分析。第一部份討論確定提撥退休金制度下，機構投資人或高所得自然人如何擬定投資策略規避通貨膨脹風險，達到極大化期末財富效用期望值。此研究擴展Battocchio與Menoncin (2004)所建構資產模型，不僅探討市場風險，亦考量通貨膨脹不確定性與基金費用誘因、下方風險保護兩機制，研究對資產配置行為之影響，並依動態規劃方法求得投資策略公式解。第二部份則強調下方風險之重要性，檢視在最低保證收益下，長期投資人跨期資產配置之財富管理議題，並回顧Deelstra et al.(2003)之模型架構，依平賭方法求得投資策略公式解，研究結果顯示基金投資策略可表示為最適CRRA(γ,T)型態共同基金與最低收益避險之組合。另一方面，如何估計通貨膨脹風險亦為本文強調之重點。Campbell和Viceira (2001)首次納入通貨膨脹風險並探討跨期投資議題，結論市場缺乏通貨膨脹連動投資標的時，投資人將減碼長期債持有比例。Brennan和Xia (2002)假設通貨膨脹率服從Ornstein-Uhlenbeck過程，結論投資人之避險需求隨持有債券到期日與投資期限改變。但以上結論未將通貨膨脹學習機制納入模型，因此，在第三部份提出依學習機制修正之投資策略可顯著增加財富效用，並分析在不同參數設定下，學習機制對於期末財富效用之影響。 / In this study, we study three essays of asset allocation problem for long term investors, which means that in this discourse we emphasis the importance of inflation risk. In the first topic, we derive the dynamic optimal investment strategy of the defined contribution pension schemes which include two mechanisms of partial floor protection and incentive fees and their benchmarks. We find investors should hold high proportion of stock index fund to hedge the inflation risk; moreover, the ratio of incentive fees to the setting of benchmark will change the optimal investment trend of underlying assets. In the second topic, we introduce the optimal investment portfolio with minimum guarantees and show that the fund manager should adjust the optimal weights of underlying assets with the ratio of the guarantee fund's value to the value of fund. Finally, this work focuses on how to precisely predict the dynamics of inflation rate. We apply learning method to adjust the prediction of inflation process and we use numerical analysis to study the effect of learning mechanism under different parameter setting.

在高齡少子化的浪潮下，家庭照顧機能與國家公共長照服務體系之界限逐漸浮現，不論是採稅收制或是社會保險制的國家，均紛紛發動改革，發展新型的照顧服務體系，更有效率地結合社會中各種資源，並且透過報酬支付制度的設計，回應長期照顧需求的多元性，以達成充實長期照顧服務量能、發展創新並符合在地需求之照顧服務。本文以日本介護保險制度自2000年創設以來，在服務供給體系與支付制度上之轉變作為比較對象，觀察其社會價值理念的變遷如何反應到法制設計層面，同時報酬支付制度是如何回應社會現實的需求與政策方向；擬自日本介護保險經驗中萃取值得我國參考借鑑之處，減少台灣長期照顧體系發展過程中可能產生的試誤成本。 本文首先對我國長期照顧服務提供體系之法制發展進行分析，包括釐清長照服務提供之法律關係、長照服務供給體系之構造，以及在長照十年計畫下，政府與民間服務提供者合作模式之建構等；並具體地以數份國內地方政府公布之服務提供契約範本為例，嘗試勾勒出台灣長照服務體系公私協力法律關係之圖像，同時探討我國長照服務提供體系與報酬支付制度現存之問題。 在日本介護保險制度部分，本文歸整介護保險法之制定和改革歷程及其基本構造、初探日本介護保險制度與其他社會保障制度之連動性，並集中分析其服務提供者指定制度之法制設計與問題。接著本文將對比台灣長照體系之發展軌跡與挑戰，分析台日兩國公共長照服務供給體系的幾個議題，包括：總體面的公共長照體系理念變遷、國家資源的公平分配、服務品質之管理等。最末於結論歸納日本介護保險經驗值得我國借鏡或反思之處，並簡評目前我國長期照顧服務法修正，以及長期照顧十年計畫2.0之內涵，是否足以回應社會中的長期照顧需求，並有助於實現在地老化之理想。

當資料屬於類別型的長期追蹤資料（Longitudinal categorical data）時，除了可以透過廣義估計方程式（General estimate equation, GEE）來求解模型參數估計值外，潛在移轉分析（Latent transition analysis, LTA）法也是一種可行的資料分析方法。若資料的期數不多，也可以選擇將資料適度分群後使用羅吉斯迴歸分析（Logistic regression）法。當探討的反應變數為二元（Binary）型態，且觀察對象於每一期提供多個測量變數值的情況之下，廣義估計方程式與羅吉斯迴歸分析法的使用，文獻上常見先將所有的測量變數值加總後，以「中位數」作為分類的切割點。不同於以上兩種方法，潛在移轉分析法則是直接使用原始資料來取得觀察對象的潛在狀態相關訊息，因此與前二者的作法不同，可能導致後續的各項分析結果有所差異存在。 為了能夠了解造成中位數分類法與移轉分析法差異的可能因素，我們架構在潛在移轉分析法的模型下，以不同的參數設定來進行電腦模擬，比較各參數條件下的兩分類方法差異。結果發現各潛在狀態下的測量變數反應機率形式、第一期潛在狀態的組成比例等皆會對兩分類方法是否具有相同分類有所影響。另外，透過分析「青少年媒體使用與健康生活調查」的實際資料得知，潛在移轉分析會將大部分的觀察對象歸屬於「網路成癮」，而中位數分類法則是將大部分的觀察對象歸屬於「無網路成癮」。此外，可以注意到「沮喪」、「線上情色每星期平均使用天數」、及「父母相處狀況」這幾個控制變數與各分組結果的關聯性，於上述三種資料分析方法中有所不同。 / Several methods can be used to analyze longitudinal categorical data, as among them Latent Transition Analysis (LTA), and Generalized Linear Models estimated by Generalized Estimating Equations (GEE) probably the most popular. In addition, if the number of periods is two, then with certain grouping of data, the Logistic Regression can also be applied to perform the analyses. When there are more than one manifest response variable for each study subject, LTA is able to classify the subjects in terms of the original manifest response variables and proceeds with necessary analyses. On the other hand, GEE method and Logistic Regression lack the flexibility, and require certain transformation to transform the manifest response variables into a categorical response variable first. One common way to form a binary response is to sum all manifest variables, and then taking median as a cut-point. In this study, we explore the differences of the classification resulted from LTA directly and using median as a cut-point through simulations. An empirical study is also provided to illustrate the classification differences, and the differences on the subsequent analyses using LTA, GEE method, and Logistic Regression approach.

過去關於父母參與效果的研究發現：父母參與有助於提升子女的學習成就。由於父母參與被視為一種社會資本或文化資本的延伸，父母參與的愈多，其子女學習效果也愈好。有鑑於此，本研究主要在探討父母參與在家庭社經地位和子女學習成就之間所扮演的角色，並將研究目的細分為三個研究議題。首先，根據智力發展理論與認知能力成長曲線相關研究，第一個議題探討臺灣青少年學生學習成長軌跡的發展與變化情形為何？接著，運用 Bourdieu 的文化資本與 Coleman 的社會資本的概念說明父母參與的重要性，其它兩個議題則探討家庭社經地位對子女學習成長軌跡的影響歷程中，父母參與扮演著中介效果還是交互作用效果？ 原始資料來源取自臺灣教育長期追蹤資料庫（Taiwan Education Panel Survey）公共使用版中的第一波到第四波國中長期追蹤樣本，使用潛在成長曲線模型進行次級資料分析。研究結果發現：1.就整體學習發展型態來看，臺灣青少年學生學習成長軌跡的發展是一種非線性遞增減速的成長曲線，年級愈高，學習成長速率愈慢；2.就個別學習成長軌跡而言，學生間起始狀態與成長速率有個別差異現象，進一步透過潛在成長混合模型的分析，發現學生學習成長軌跡的發展型態並無類別上的差異；3.學生的起始能力會影響學習成長速率的變化而產生馬太效應；4.隨著時間的遞移，高起始能力組的學生，其學習成長速率高於低起始能力組的學生，兩者的學習成就間差距會逐漸擴大而產生扇形擴散效應；5.父母參與對子女學習成就表現有顯著正向的短期立即效果與長期延宕效果，但波段與波段之間的延宕效果則沒有顯著差異；6.在家庭社經地位對子女學習成長軌跡的影響歷程中，父母參與扮演著部份中介而不調節的影響效果。 最後，依據上述研究發現，就研究結果與研究方法兩方面，將提出相關研究建議以供實務參考及後續研究之用。 / The previous research has shown that parental involvement produces measurable gains in student achievement. Since parental involvement is seen as a form of social capital and cultural capital, it is possible that the more a student owns parental involvement, the bigger the effect is. Thus, this study explores what role parental involvement plays between parents’ social-economic status and their children’s academic performance. The major purpose is further categorized into three specific questions. Based on the intelligence developmental theory and growth curve analyses of cognitive ability, the first is to inquire what patterns the development and change of academic growth trajectories of Taiwanese teenager’s academic performance are. Using the concepts of Bourdieu’s cultural capital and Coleman’s social capital to explain the importance of parental involvement, the other two purposes are to explore whether the effects of parental involvement on adolescent academic growth trajectories are mediated or moderated by family socioeconomic status. Using the data from the public released core panel data of the Taiwan Education Panel Survey (TEPS) in 2001, 2003, 2005, and 2007, this study employs the method of the latent growth curve modeling to address research questions. The results are the following: (1) Academic growth trajectory of Taiwan adolescence’s achievement reveals a nonlinear de-accelerating growth curve; (2) There are significant individual differences in both the initial status and growth rate of achievement among students, but further employing different latent growth mixture models shows no individual differences in the patterns of academic growth trajectories; (3) The Matthew Effects occur in the academic growth trajectories of Taiwanese teenagers; (4) Students with lower initial status learn more slowly over time than those with higher initial status do, and the “fan-spread” effect is found; (5) There are positive short-term and longer term effects of parental involvement on the Taiwanese adolescents’ academic achievement performance, but no significant difference among patterns of longer term effects over 6 years; (6) The effects of parental involvement are partially mediated, but not moderated by family SES. Finally, the study discusses the implications of parental involvement and suggests directions for future research.

個人學習動機向來被認為是影響學習成就的重要因素，但是家庭也對學生的學習提供特定的脈絡條件。因此，在探討學生學習成就與時間發展效應之時，若能同時納入個人與家庭因素，並探討其間的交互作用，將能對於兩者的影響力進行客觀的檢驗。本研究的目的主要在探討臺灣青少年學習成就的成長軌跡變化型態，以及家庭文化資本與個人學習動機對於學習成就成長軌跡的影響機制。其中學生的文化資本是來自家庭父母所傳遞下來的先天條件，係屬於一種結構因素；而學生的學習動機則是來自個人後天的努力與學習的正向動力，係屬於一種個人因素。具體而言，本研究目的分為三個主要的研究議題，首先，根據Bourdieu（1977）的文化資本概念，以及Bandura（1977, 1986, 1997）與McInerney和McInerney（1994）的學習動機觀點，探討這兩個重要解釋變數對於各波學生學習成就的影響情形；再者，根據Sternberg（1985, 1986, 1988）的智力三元論觀點探討學生學習成就的成長變化情形；最後，探討文化資本與學習動機對於學生學習成就成長軌跡的交互作用效果。 研究資料取自臺灣教育長期追蹤資料庫（Taiwan Educational Panel Survey）的四波追蹤樣本，以潛在成長曲線模式進行次級資料分析。研究結果發現：1.臺灣青少年的學習成就成長軌跡呈現非線性的遞增漸緩的成長曲線；學生在學習成就的起始能力與成長速率存在個別差異，且學生的起始能力與成長速率具有正向的關係，顯示隨著時間的遞移，起始能力高與低的學生，其能力的差距會逐漸擴大。2.文化資本與學習動機對於學習成就成長軌跡的影響未具交互作用，顯示個人的學習動機並不能減緩或反轉文化資本對於學生學習成就的影響。3.文化資本與學習動機對於學生學習成就的主要效果，在學習的早期階段，存在正向的影響效果，但影響力會隨著時間而逐漸降低。4.文化資本係影響學生學習成就成長軌跡的重要因素，文化資本的豐富與不足會加劇學生學習成就的差距，因而造成強者恆強、弱者恆弱的「馬太效應」現象。最後，依據上述的研究發現，分別提出教育實務上、未來研究與對資料庫研究的建議，以供相關教育人員與研究者參考。 / Individual motivation has always been recognized as the key factor for influencing the students’ learning achievement. However, the family of the students is also considered as an important contextual determinant. As a result, in order to analyze the students’ learning achievement against the temporal effect of time, it is imperative that the factor of family background should be included for understanding the interaction of the factors on the learning achievement. The primary goal of this study is to inquiry the patterns the development and change of learning achievement growth trajectory of the Taiwan adolescent. Particularly, this study explores the effects of family cultural capital and learning motivation on adolescent learning achievement growth trajectory. By definition, family cultural capital which is a structural factor refers to the inherent characteristics that are passed down from the students’ parents. On the other hand, the students’ learning motivation which is a personal factor refers to the extrinsic factor that arises from later days’ hard work and positive learning efforts. In terms of research objectives, this study tries to integrate the Bourdieu’s (1977) perspective of cultural capital, and Bandura’s (1977, 1986, 1997) as well as McInerney and McInerney’s (1994) concept of learning motivation into a framework for examining the effects of the learning growth of different waves of students. Secondly, by applying the Sternberg’s (1985, 1986, 1988) triarchic theory of intelligence to examine the changes of the students’ learning growth trajectory. Finally, to analyze the interaction between the students’ cultural capital and learning motivation on their learning achievement trajectory. The data using in this study was selected from the longitudinal database Taiwan Educational Panel Survey (TEPS). A total of four waves of students’ data were downloaded and analyzed as secondary data using the latent growth curve modeling (LGCM). Major results of the study were followed: First, the learning achievement trajectory of Taiwan adolescents’ seemed to be gradually growing in a non-linear incremental curve; it also shown that at the beginning the students’ learning achievement displayed significant individual differences. Likewise results also revealed a positive relationship between the students’ initial status and growth rate of learning achievement. That is, as the passing of time, the initial status of learning achievement affected the growth of disparity among the students. Second, there were no significant interaction effect between the students’ cultural capital and learning motivation on the learning achievement growth trajectory. This means that the students’ learning motivation cannot moderate the effects of cultural capital towards the learning achievement. Third, results revealed that the main effects of the students’ cultural capital and learning motivation on the learning achievement were occurred on the early stages of learning. A significant positive effect was found in these stages, however, the positive effect gradually decreased along with the passing of time. Fourth, it was found that the minimal effect of students’ cultural capital on their learning achievement growth trajectory was determined by the abundance or deficiency of the former. The amount of cultural capital also determined the distance of the students’ gap. In other words, a phenomenon of the Mathew effect was supported; wherein the students who are in a strong stand will get stronger later on, while the weak shall get weaker. Besides the findings mentioned above, recommendations for further study and limitations of the present study were given at the end.

本篇文章將採用長期記憶模型之一的HYGARCH模型，搭配1985年廣場協議後的日圓匯率期貨資料來估計日圓期貨匯率買入和放空部位的日報酬風險值，探討控管日圓匯率期貨在使用上的風險。為了更準確地計算風險值，本文採用常態分配、學生t分配以及偏態學生t分配來作模型估計以及風險值之計算。 本文實證的結果將有兩方面的貢獻：首先，實證結果顯示當我們採用厚尾分配估計風險值時，樣本內風險值的估計誤差會與信賴水準的高低呈正比的現象，證明在極端的風險值估計上，厚尾分配均有較佳的表現。其次，與其他使用HYGARCH模型研究日圓匯率的文章相較，本文在風險控管層面上所提供的偏態學生t分配，於估計風險值時，比起只考慮厚尾的對稱學生t分配將來得更為有效，其不但在估計誤差上較小，而且根據Kupiec檢定法，其在樣本內的風險值估計也有較好的表現。此外，本文也將多方證明此資料的偏態分配屬於右偏。 / In order to manage the exposure of the dollar/yen futures returns with regarding the long memory behavior in volatility, we use the HYGARCH(1,d,1) model with the data after the Plaza Accord to compute daily Value-at-Risk (VaR) of long and short trading positions. To take into account the fat-tail situation in financial time series, we estimate the model under the normal, Student-t, and skewed Student-t distributions. The contribution of this article is twofold. First, the empirical results show that the bias of in-sample VaR increases as the confidence level increases when VaR is calculated with a fat-tail distribution. Second, we provide a better distribution, the skewed Student-t innovation, for estimating the HYGARCH model for the Japanese yen in respect of risk management because the bias under the skewed Student-t innovation is smaller than that under the Student-t distribution, and in-sample VaR of the models with a skewed Student-t distribution outperforms based on Kupiec test. In addition, we get the innovation skewed to the right through the in-sample VaR analysis.

本研究透過台灣創投基金的聲譽、國際化和政治連結等信號(Signal)，探討創投基金對於新創公司初次公開發行後的長期表現的影響。本研究之實證結果發現，創投基金的聲譽越高以及國際化程度越高，對於新創公司的長期表現有正向影響，但是創投基金與國發基金的政治連結卻產生非單一面向的結果，政治連結僅對於新創公司的長期研發投入具有正面顯著影響。政治連結會帶來負向的效果可能由於國發基金所推行的政策影響，或者是其中具有裙帶資本主義的干擾，導致受到國發基金所投資的創投基金對於新創公司的長期表現帶來負面影響。由本研究的結果我們可知若新創公司得到具有高聲譽或國際化的創投投資是對於其未來發展是有所幫助，所以新創公司在尋找創投基金合作時，可以以此作為考量的標準。 / In this research, venture capital reputation, degrees of internationalization, and the political links formed by venture capitals and Taiwanese National Development Fund are hypothesized to influence the long-run performance of start-ups. By utilizing a unique dataset of venture capital investment, we could investigate the sources of higher long-run performance of venture capital teams. Besides, we also inquire the impact of internationalization and political links of venture capitals on the performance of stat-up business. The results show that venture capitals with higher reputation or degrees of internalization impacts positively on long-term performance of start-ups. However, the political links formed between venture capitals and Taiwanese National Development Fund only affects business innovation measures positively. The policy focused or the crony capitalism long existing between Taiwanese National Development Fund and venture capitals can both be the major reasons to trigger the mixed investment influence. Thus, this research can shed some light on the intrinsic factors driving positive investment results other than the venture capital reputations.