本研究主要動機源自於觀察到國內可轉換公司債發行公司，多數視發行可轉債為現金增資的替代融資工具，且不論其宣告發行時短期股價表現，亦或是發行後長期營運績效皆有持續惡化的現象，顯示投資人視發行可轉換公司債為一不利訊息；另外由於可轉換公司債具有股票、債券雙重特性，不具管理公司之權力，且票面利息極低，對持有可轉債之債權人而言存在著一些代理問題，發行公司亦可能藉由這些代理問題而存在盈餘操弄或是利用發行可轉債進行套利的可能性，故利用公司治理變數檢視對宣告發行可轉換公司債的宣告效果與可轉債發行公司發行後長期營運績效改變之影響。 本研究以1997年至2008年曾向證期會申請發行可轉換公司債並核准發行之上市（櫃）公司為對象進行分析，並根據本研究目的及實證結果歸納以下結論： 1.利用事件研究法觀察發行可轉換公司債之宣告效果，發現宣告後發行公司股價有顯著負的累積異常報酬，累積至發行後30日仍持續下降，並無恢復至正常股價之趨勢；觀察長期營運績效變化，發現發行後當年度及後一年之績效表現皆持續惡化，與國內外實證結果一致。 2.利用多元迴歸分析檢視公司治理對長短期績效之影響，發現董監固定薪酬、董監持股比率以及席次控制權與直接持股偏離程度對可轉換公司債發行公司發行後之長期營運績效具顯著影響，對短期績效影響則不顯著。 3.進一步利用門檻回歸分析檢視是否公司治理惡化至某一程度時，對長短期績效才具有顯著影響，發現公司治理變數具門檻效果，自然人持股與董監席次對短期績效具顯著影響，董監固定薪酬、董監持股比率、以及席次控制權與直接持股偏離程度則對長期營運績效具顯著影響。 以上結論符合本研究假設，即在公司治理惡化至某一程度時，隨公司治理越差，代理問題越大之可轉債發行公司，其發行後長短期績效衰退情形亦越嚴重。

本文主要探討匯率的不確定性對貿易量的影響。利用門檻模型(Threshold model)來檢驗匯率的波動性對於美國和亞洲四小龍的雙邊貿易可能的門檻效果。利用格狀搜尋法(Grid-searching method)得到門檻點，接著運用時間序列計量方法來進行估計。資料樣本期間由1989年1月至2008年12月，由於考慮到亞洲金融風暴的影響會使模型的結果產生誤差，將1997年的資料屏除在外。相較於國內其他文獻，本文使用基本模型和門檻效應模型不僅考慮到匯率波動不對稱性的存在的問題，加強了實證結果的可信度；另外更進一步去探討門檻模型本身的假設，使得模型使用上的疑慮得以解決。實證結果顯示匯率波動的影響有著非線性的門檻效應的存在。在本文研究的國家中，在原樣本期間內，實質匯率波動對貿易量的影響在香港、南韓和新加坡有門檻效果；另外可以看出在1989年至1996年亞洲金融風暴前，當匯率波動超過某些門檻點時，會使得台灣對美國出口貿易量下降；最後台灣的SITC分類出口按原料區分的製造品產業廠商在實質匯率波動與貿易量的關係中也有門檻效應的存在，也值得再做延伸探討。 / This paper mainly probe to the relationship between exchange rate volatility and trade volume. Use a threshold model to examine a possible threshold model to examine a possible threshold effect in the impact of exchange rate volatility on trade volume for the bilateral trade volumes between the US and the Asian four tigers. A grid searching method is used to obtain the threshold points, and the time-series econometric techniques are applied to estimate. Sample period is from 1989:01 to 2008:12(deduct 1997 because of the Asia financial crisis). Compare to other domestic literature, this paper use basic model and threshold model considering the nonlinearity in the effect of exchange rate volatility to support the empirical result and the background of the threshold model. The results show the existence of nonlinearity in the effect of exchange volatility. The results show that Hong Kong、Singapore and Korea have the threshold effect in the impact of exchange rate volatility and the increasing exchange rate volatility would decrease the trade volume during the period before the Asian financial crisis in 1997.Last, Taiwan’s manufactured goods classified chiefly by material export classified by SITC also have threshold effect in the impact of exchange rate volatility on trade volume. Future research can extend on this field.

本研究之模型乃採用Hansen於1999年提出之Panel Threshold Model，並針對全球23個不同國家中之23間證交所於1995~2006年間的資料，探討各類影響企業選擇跨國上市之因素，是否會因模型的門檻變數─經濟成長率的變動而對被解釋變數─跨國上市率出現結構改變的影響。實證的結果發現：各變數中唯有市場集中度此一變數具顯著的門檻效果，且在其兩個門檻值的分類中都和跨國上市率呈顯著正相關；這樣的結果除了符合Heiko (2001) 的研究之外，更近一步的我們還發現低於門檻值部分的樣本其對跨國上市率的影響大於高於門檻值部分的樣本。此外，本文的實證結果也指出：對跨國上市率有顯著正相關的因素分別為：本益比、通貨膨脹率及經濟成長率。而對跨國上市率有顯著負相關的因素則為：週轉率、利率和新上市籌資率。 / This paper adopts the Panel Threshold Model suggested by Hansen in 1999 as our main idea to make a study of contributors of cross-listing ratio of stock exchanges. In order to find out whether the explanatory variables will make cross-listing ratio occur structure change, we use GDP growth rate as our threshold variable and take 23 stock exchanges of 23 different countries as research samples. The results are as follows, we found that the only one variable that has threshold effect is the degree of market concentration, and in both regimes it has positive relations to the cross-listing ratio. The result not only supports the research of Heiko (2001), but also points out that the higher regime part has more powerful influence to the cross-listing ratio than the lower regime part. Besides, we still found that variables have positive relations to the cross-listing ratio are PE ratio, inflation rate and GDP growth rate. Furthermore, variables like turnover ratio, interest and capital raised by new shares ratio have negative relations to the cross-listing.

本論文主要包含二個主題，分別檢視公司治理對企業基本財務資訊與股票報酬關係的影響，以及公司治理對企業投資機會與股利政策關係的影響。首先，在探討公司治理是否影響基本財務資訊中，我們資料為台灣上市的 183 家製造業公司。當使用傳統線性模型時，我們發現存貨、銷貨毛利、備抵壞帳費用以及負債比率變化率的係數，出現符合預期的負向符號。但是研發費、管銷費用與員工生產力比率的係數，卻出現違反直覺的正向符號。而每股盈餘變化率、應收帳款、有效稅率以及會計師意見，則是對股票報酬沒有任何顯著的效果。然而，我們使用 Hu and Schiantarelli (1998) 內生性轉換模型(endogenous switching model, ESM) 的方法，而將樣本區分為好的公司治理與不好的公司治理二個區域時，實證結果發現先前違反直覺的係數，已轉變成與我們的預期相符合。 在探討公司治理是否影響企業投資機會與股利政策關係，我們資料為台灣上市的 268 家製造業公司，並參考La Porta et al. (2000) 所提出的「結果模型假說」 (outcome model hypotheses) 以及「替代模型假說」(substitution model hypotheses) 兩個假設。前者強調在好的公司治理區域時，投資機會與股利政策為負向的關係，而後者則是強調在不好的公司治理區域，投資機會與股利政策為正向的關係。為了探討這個議題，我們分別使用兩個轉換模型區分樣本：分別為Hansen (1999) 縱橫門檻模型 (panel threshold model) 以及Hu and Schiantarelli (1998) 內生性轉換模型。最後，經由不同公司治理變數的實證結果比較，發現在好公司治理區域時，高投資機會的公司可能會支付較少的股利政策，相反地，在不好的公司治理區域，股利政策則不受到公司治理的影響。因此本研究結果支持「結果模型假說」，而不是「替代模型假說」的假設。

本論文探討不同的物價環境對匯率轉嫁程度的影響。有別於既有文獻將通貨緊縮納入低通膨的區間一併討論，本論文特別區分通貨緊縮與低且正的通膨區間，估計不同物價環境下的匯率轉嫁效果。 利用門檻迴歸模型（threshold model）及台灣1981-2008年的資料，且區分能源價格及非能源價格，本文的實證結果顯示，通貨緊縮考慮與否將影響匯率轉嫁程度與通膨、通縮環境的關係。不同於既有文獻發現匯率轉嫁效果與通膨環境呈正相關，本文發現通貨緊縮環境下的匯率轉嫁效果會提高。此外，包含能源價格之匯率轉嫁效果隨物價環境變化的幅度較大，與既有文獻的看法一致。 因此，在匯率轉嫁效果與物價環境的分析上，明確區分通貨緊縮的情況有其必要性，否則可能形成偏誤之推論。 / This dissertation incorporates inflation and deflation in the analysis of exchange rate pass-through at different price levels. Because the existing literature generally consider deflation as part of low inflation, pass-through estimates tend to be considered the same for these two regimes. This study separates the effects of deflation and low positive inflation and estimates the pass-through for different price levels. This dissertation uses a nonlinear model with aggregate and disaggregate import prices data from 1981–2008 in Taiwan to first examine the pass-through for two regimes of high inflation and low inflation. The results confirm the notion in the literature that a positive relationship exists between pass-through and inflation. Then, this dissertation extends the model to a three-regime setting, including high inflation, low positive inflation, and deflation. When deflation is clearly defined in a three-regime model, the degree of exchange rate pass-through is found to be increasing in both high inflation and deflation. The positive relationship at all price levels is no longer valid while the effect of deflation is separated from that of low inflation. In Taiwan, the pass-through becomes inversely greater as the inflation rate falls into a deflationary regime. That the pass-through is higher in a deflationary regime became particularly obvious after the 1997 financial crisis. Contrary to the results predicted by the positive relationship, this analysis does not find an unlimited downward trend for the pass-through. A rebound occurs in the degree of pass-through once deflation is clearly identified, and this pattern is also found for half of the importing industries categorized using the Standard International Trade Classification (SITC). In addition, the results are consistent with the notion that oil prices usually fluctuate much more than the prices of other imports. The estimates show that the pass-through changes the most for fuels and related materials. Obviously, fluctuations in the price of oil influence the measurement of the pass-through. The increase in the pass-through found in a deflationary regime becomes smaller when oil prices are excluded.

過去文獻研究對於各國的指數衍生性商品與現貨市場間之關係，多數專注在其交易成本、放空限制等因素對資訊傳遞與價格發現功能的影響；本研究以台指期貨與現貨價格間的共整合關係與領先落後關係為出發，加入以台指選擇權波動率指數的變動為投資人情緒指標，檢視在投資人情緒為恐慌及樂觀兩種極端情緒情形下，是否因情緒波動影響投資策略、進而對台指期貨與現貨的關係造成影響，並且在兩種極端的情緒下受到的影響是否對稱、與一般情形時的台指期貨與現貨間關係又是否一致。 研究方法以誤差修正模型為基礎，探討台指期貨與現貨價格間的共整合與價格發現功能，並且應用Tsay(1998)提出的非線性多變量門檻模型，以台指選擇權波動率指數的變動為門檻變數，依模型設定選擇最適的門檻值，將兩市場的價格資料依投資人情緒為恐慌、樂觀或無明顯差異作分類，在各個狀態下以誤差修正模型作迴歸，檢視投資人情緒對台指期貨與現貨價格間關係的影響。 實證結果顯示台指期貨與現貨價格間存在共整合關係，並且主要由台指現貨往長期均衡價格修正，台指期貨平均約領先現貨反應資訊達15~20分鐘，而現貨則無明顯領先期貨的情形；另一方面，在投資人情緒為恐慌或樂觀的極端情緒下，台指期貨與現貨間關係存在對稱性，台指期貨與現貨均會往長期均衡價格修正，當投資人有恐慌情緒，價格將往負向修正，當投資人有樂觀情緒時則往正向修正，若投資人在普通情緒下則不存在一致性的修正趨勢，由此可知市場對未來股市的預期影響投資人情緒，進而其投資操作策略發生變化，對台指期貨與現貨市場間的關係有顯著的影響。

本研究提出一個四階段的消費者重購承諾心理評價程序模式，認為消費者將依據知覺品質和期望品質的比較形成品質失驗，然後藉由內在的價值函數將品質失驗轉換成為同樣是失驗觀點的個別交易滿意度（滿意度失驗）。在形成個別交易滿意度之後，消費者將依循累積滿意度基礎的個別交易滿意度邊際微調模型來形成當期的累積滿意度，並且依據當期的累積滿意度和當期的忠誠門檻值比較的結果，進而產生品牌忠誠或品牌轉換的行為意圖。 整體而言，失驗觀點的個別交易滿意度（滿意度失驗）和品質失驗之間的關係大致服膺期望理論價值函數的特性。此外，本研究提出的累積滿意度基礎的個別交易滿意度邊際微調模型也獲得支持，並進一步確定累積滿意度的調整過程主要是採行性線的調整模式。最後，本研究提出的累積滿意度忠誠門檻模型亦獲得實證證據的充分支持。因此，一旦當期的累積滿意度決定之後，消費者將以他心目中對競爭品牌的累積滿意度做為比較的基礎、當作忠誠門檻值，進行焦點品牌累積滿意度和競爭品牌累積滿意度的比較，並且依據比較的結果形成品牌忠誠或品牌轉換的行為意圖。 / This study proposes a four-stage model about the process of consumers’ repurchase commitment. The model postulates that consumers would result in quality disconfirmation based on the result of comparison between perceived quality and expected quality, then transform it through intrinsic value function into transaction-specific satisfaction which is defined as satisfaction disconfirmation. Once transaction-specific satisfaction is formed, consumers would result in current cumulative satisfaction according to cumulative satisfaction-based transaction-specific satisfaction marginally adjusting model that depicts current cumulative satisfaction as a function of previous cumulative satisfaction and current transaction-specific satisfaction. And finally, according to loyal threshold model of cumulative satisfaction, intention to repurchase or switch buying would be formed based on the relative magnitude between cumulative satisfaction and loyal threshold which is defined as cumulative satisfaction towards a main competing brand. Overall speaking, the relation function between quality disconfirmation and transaction-specific satisfaction exhibits most traits of value function depicted in the prospect theory. Furthermore, the cumulative satisfaction-based transaction-specific satisfaction marginally adjusting model proposed by this study was supported by experimental data, and the result shows that the adjusting process of cumulative satisfaction complies mainly with linear adjusting model. And finally, the loyal threshold model of cumulative satisfaction was fully supported by experimental data, and the result implies that consumers would take the cumulative satisfaction towards a main competing brand as the comparing basis, i.e., loyal threshold, and then compare cumulative satisfaction towards a focal brand with this comparing basis to decide whether to repurchase the products of the focal brand or instead switching to buy the goods of the competing brand.