在金融海嘯與次級房貸後，如何有效的進行風險管理已為金融服務業的重要課題。此外我國政府為與國際接軌，正逐步開放金融服務業對外投資的限制。然而對金融服務業而言，既要增加對外投資、又要有效的控制風險，並同時考慮不同國家之間的相關性是困難的。本研究的主要目的是針對我國金融業主要投資的貨幣，建立固定收益風險因子的隨機模型，進而產生隨機模擬情境，最後以該情境做一簡單的應用說明。透過此模擬情境與隨機模擬模型，風險管理者可以依情況需要計算各種所須要的風險指標與投資損益，進而評估避險投資組合整體的績效。 / Effectively controlling risk in investment has become an important issue since the impact of subprime mortgage crisis. On the other hand, government in Taiwan has reduced bundle of investment in foreign countries; however, it’s a tradeoff of financial services companies between increasing investment in foreign country and risk management. It’s also a hard work to concern the correlation between interest rate and foreign exchange rate in different country. In this research, we are trying to construct a risk factor model and generate simulation for currency in Euro, America, and Asia area. The simulation can provide financial services companies as a reference of risk management.

本研究主要在探討外匯市場中從1983年11月至2015年10月期間的利差交易策略是否存在超額報酬，並進一步解釋造成利差交易超額報酬的原因，使用61個國家之貨幣建構投資組合，從交易成本、景氣循環波動以及套利限制三個方面來解釋利差交易超額報酬的存在。實證結果發現，以較短月期的遠期外匯建構投資組合，這樣的利差交易策略可以得到較高的報酬，相反地，若以較長月期之遠期外匯建構投資組合，利差交易報酬較低，同時也發現利差交易的超額報酬可以被交易成本部分解釋，景氣循環變數亦可解釋利差交易超額報酬，逐步迴歸結果篩出之總體經濟變數與利差交易超額報酬呈現顯著結果，最後將套利限制加入考慮後，發現投資人在從事利差交易策略時並不會被套利限制所阻擋，貨幣之國家風險與異質性波動度皆不會影響投資人從事套利行為。

本研究探討盈餘品質、風險因子與權益資金成本之關係，主要研究盈餘品質是否會因為其他風險因子而降低對權益資金成本的影響。本研究之盈餘品質採用四種不同的衡量方式，先探討三種衡量盈餘品質的方式與風險因子對權益資金成本的影響，再將三種衡量盈餘品質的方式計算出一個綜合分數，探討綜合分數與風險因子對權益資金成本的影響，並將變數標準化來排序所有影響權益資金成本的因素。 實證結果顯示異常應計項目及盈餘品質綜合分數在其他風險因子納入模型後，仍然是權益資金成本的顯著影響因素。三種盈餘品質衡量方式與風險因子進行標準化後，對權益資金成本的影響順序，依序為淨值市值比、負債市值比、非系統風險、企業規模、股票週轉率、動能效果、系統性風險、異常應計項目及負債淨值比。而綜合分數與風險因子標準化之排序結果為負債市值比、非系統性風險、企業規模、股票週轉率、動能效果、淨值市值比、系統性風險、負債淨值比及綜合分數。統計上，即使考量了各種風險因子，盈餘品質仍是權益資金成本顯著的影響因子。 / This study investigates the relation among earnings quality, risk factors and cost of equity, especially, the existence of the effect of earnings quality on cost of equity while risk factors are considered, and the impact order of determinants of cost of equity. Fur measures of earnings quality are examined in the study of determinants of cost equity. We investigate how three individual measures of earnings quality and risk factors affect cost of equity. Then, we use the common factor score of these three individual measures of earnings quality as a composite of earnings quality to examine the impact of earnings quality and risk factors on cost of equity. Furthermore, we standardize variables to order the effects of determinants of cost of equity. The empirical result shows that both the absolute value of abnormal accruals and the composite factor score of earnings quality have positive effect on cost of equity. With three individual measures of earnings quality and risk factors as determinants of cost of equity, the effects in order the ratio of book value of equity to market value of equity, are the ratio of debt to market value of equity, unsystematic risk, firm size, shares turnover, momentum effect, systematic risk, absolute value of abnormal accruals and the ratio of debt to book value of equity. While with the composite common factor score and risk factors as determinants of cost of equity, the effect in order are the ratio of debt to market value of equity, unsystematic risk, firm size, shares turnover, momentum effect, the ratio of book value of equity to market value of equity, systematic risk, the ratio of debt to book value of equity and common factor. As a conclusion, the earnings quality is statistically a significant determinant of cost of equity after considering a variety of risk factors.

本文援引Hahn and Lee(2006)所制定出來的模型及概念，探討Fama and French(1993)中的市值因子與市淨比因子能否以違約利差及期間利差替代作為投資機會的預測變數，並以經濟意涵試圖去解釋風險與報酬之間的關聯。本文使用的總體經濟變數以及公司基本面因素包括：公司規模因子(SMB)、淨值市價比因子(HML)、市場風險因子(market risk factor)、違約利差(default spread)、期間利差(term spread)。除此之外，本文亦從時間序列到橫斷面股價報酬採相似無關回歸法(SUR)探討規模因子與淨價市值因子對股價報酬的影響，觀察總體經濟變數能否替代公司特徵因子對股票超額報酬產生解釋能力。 本研究以台灣股票市場為研究樣本，資料期間為2006年1月至2014年12月，並排除掉2008和2009年金融海嘯的影響，共84個月的月報酬資料，以上市上櫃公司共752家為研究對象。實證結果可發現：(1)時間序列分析下，本研究的價值型股票(value stock)具有較高的風險溢酬，成長型股票(growth stock)具有較低的風險溢酬，高市淨比的公司因財務困境風險其報酬會比低市淨比的公司來的高；而台灣上市上櫃公司也存在顯著規模效果，小市值公司因違約風險具有較高的風險溢酬，大市值公司擁有較低的風險溢酬。(2)從橫斷面分析，在FF3模型下，市價淨值比因子(HML)與股票報酬呈現正相關，公司規模因子(SMB)及市場風險與股票報酬負相關。在Hahn and Lee(2006)的替代模型下，違約利差、期間利差皆與股票報酬呈正相關卻不顯著，市場投資組合R_m則與個股報酬負相關，與過去研究相反。

隨著工業發展而產生的環境污染問題，促成了綠色供應鏈管理的提倡，尤其歐盟公佈危害物質禁用指令 (RoHS) 和廢電機廢電子設備指令 (WEEE) 的法令，讓企業對於環境保護的責任要盡更多心力。在現有供應鏈上加入綠色的考量，對於公司而言勢必是一種新的挑戰與壓力，這中間存在著許多的不確定性，風險也變得越來越複雜，在經營的過程中不可能完全去除風險，一個不利事件的發生會使得企業在營運、績效表現、成本、品質上，造成負面影響及損失，因此對於風險更應該站在事先預防的角度來管理它。如果能適當地評估，依據風險對於公司的重要性、潛在反應及其嚴重性，得知風險控管的優先順序，才不會將資源浪費在發生機率很小、影響程度不大的風險因子上。 綠色供應鏈的實施會關係到上下游廠商，是一種整合、全面性的作業活動，從上游的採購原料、製造過程、到下游的回收動作，都必須要有綠色的考量，需要彼此互相整合才能成功實施，這當中也會產生許多的問題。由於危害物質限用指令 (RoHS) 有規定八大類的電子電機產品限制使用鎘、鉛、汞、六價鉻等物質，會影響到採購和製造階段；而廢電子電機設備指令 (WEEE) 有規定回收率和與回收再利用率，會影響到企業的回收階段。因此從不同角度出發，找出企業在綠色採購、綠色製造、回收當中，不同階段中可能衍生出的風險因子，如此才能做到完整的考量。 本研究建立整體的綠色供應鏈風險評估模式，探討企業在實施綠色供應鏈可能所衍生的風險，找出影響的風險因子，並透過失效模式與效應分析(FMEA)，加入模糊語意概念、灰關聯分析的方式，針對風險因子可能所帶來的嚴重性、發生度、難檢度進行分析評估，藉由計算出的風險值，可以排列出風險因子的風險大小，讓企業能知道控管的優先順序。 / Along with the industrial development has brought the environmental pollution question. Therefore green supply chain management was promoted. European Union announces the WEEE directive (Waste Electrical & Electronic Equipment) and RoHS directive (The Restriction of the use of Certain Hazardous Substances in Electrical and Electronic Equipment). These regulations make manufactures & retailers take charge of environment protection. The green consideration will be subsumed into the supply chain. It’s a new challenge and pressure for company. Because green supply chain management implies uncertainty, the risk will be become more and more complex. The company couldn’t remove risk. The occurrence of harmful event may cause cost, quality, performance negative affection and financial failure. The company should manage risk in advance. If the company can appropriately assess risk, according to the importance, severity, occurrence of risk, the company will get the priority of risk control, we won’t waste our resources on the risk that the occurrence probability is very small and influences degree is not very great. To implement the green supply chain will influence supplier, manufacturer, recycler and Name Brand Vendor. It’s a conformability and comprehensive activity. From supplier purchase raw material to Name Brand Vendor recycle the product, they all need a green consideration. They need the mutual conformity, so they can successfully implement the green supply chain. The RoHS has already ruled the restriction that Electrical and Electronic Equipment are limited to use Lead, Cadmium, Mercury, Hexavalent Chromium, Polybrominated Biphenyls, etc, and therefore will influence the purchase stage of business and the manufacturing stage of business. The WEEE regulation include recovery rate and recue/recycling rate, so will influence the return stage of business. We should assess risk from the different viewpoint, and find out risk factor of the purchase stage, the manufacturing stage of business, and therefore we can have a complete consideration. This research constructs the risk assessment model for green supply chain, and probes into influential risk factors when the company implements the green supply chain. This study based on Failure Mode and Effects Analysis (FMEA) that combine fuzzy set theory and grey theory, to analyze severity, occurrence, detection of risk factor. Results of this study show that risk value of risk factor, the arrangement of risk factors and the priority of risk control.

未拋補利率平價說的不成立，衍伸出平均報酬大於零的利差交易(carry trades)。 過去基於風險解釋的文獻，提出各種風險因子欲歸因此套利策略的不尋常超額報酬，實為承擔不同風險的額外補償，亦即風險溢酬(risk premium)。 不同的風險因子可略分為兩派：一為有經濟理論根據，卻在實證上未獲支持的「消費成長因子」；二為在實證上具顯著解釋力的「外匯相關因子」， 卻無理論依據而難以賦予利差交易報酬經濟意義。 本文主張以無風險實質利率作為風險因子。此想法源於隨機貼現因子(stochastic discount factor)之定義式以及現實環境中的觀察。 我們的實證發現，實質化的美國公債利率對於利差交易的報酬有顯著的定價能力。 本文更進一步驗證，本因子甚至比起文獻上的外匯波動度因子，更具顯著的定價能力。另外，本因子亦能解釋動能利差交易之報酬，此為高減低因子所不能定價的報酬。

目前國內銀行針對無擔保消費金融業務，不再僅是重視放款量，控制申請人的信用風險、提高授信品質，更是不能等閒以對的重點。如何建構信用評分機制，降低呆帳率和授信逾放比，以減少銀行損失、增加實質獲利，已成為國內銀行共同關切與努力的課題。本研究擬藉由對無擔保消費金融商品之研究，瞭解該類借款人之信用風險，透過建置信用評分模型，做為銀行決策之參考。 國內銀行在審核無擔保消費金融貸款時，因貸款件數多，大都使用信用風險評分模型評估借款人風險。但實務上常發生借款人無JCIC資料，可評估其違約風險。目前可查到的建立信用風險模型研究中並沒有針對無JCIC資料借款人之研究。如何強化信用風險模型對於此客群之評估為本研究的目的。最後，本研究亦提出了一些重要的未來研究建議，以供後續的研究作為參考。

本研究主要探討生技產業公開說明書之風險因子揭露對首次公開發行公司5年內的獲利能力做研究，想得知風險因子的揭露是否會影響公司獲利時間的長短。本研究以美國生技產業首次公開發行公司為研究對象，樣本期間為1997年至2012年。 許多文獻指出越來越多公司在尚未獲利前即先行上市，但公司未來的前景及獲利能力卻充滿高度的不確定性，而透過資訊的揭露可使該不確定性下降，因透過揭露，投資者可以了解公司營運狀況及表現，對公司價值能做較正確之判斷， 此時願意提供資金給公司營運，充足的資金使公司未來獲利機會上升。 本研究參考過去文獻，建立資訊揭露的四級指標加上風險因子所揭露的項目多寡，系統性地衡量生技公司公開說明書之風險因子，並以存活分析檢測假說。實證結果顯示：風險因子的內容描述越著重在某些特定資訊，例如：顧客資訊、重要員工資訊、量化資訊的表達、公司未來不確定性、財務需求時，公司未來獲利能力機會大增，而當更進一步的探究時，又發現對顧客資訊和量化資訊的表達越具體，越詳細時，也會使公司未來獲利機會上升。 / This study investigates whether disclosure of risk factors in the prospectus will influence the probability of the biotech firms to attain profitability. Data is collected for biotech companies of U.S IPOs issued from1997 to2012 as the research sample. Many extant empirical evidences indicate that the proportion of firms going public prior to achieving profitability has been increasing over time. There is considerable uncertainty regarding the long-term economic viability of these firms at the time of going public. Disclosures in the prospector may mitigate the effects of ex-ante uncertainty about firm’s value, and disclosures are potentially important means for management to communicate firm performance and governance to outside investors. Therefore, firms can raise more money by disclosing more information in IPO prospectors, because more information reperesent lower uncertainty between investors and firms.This study uses risk factors in the prospectus as concern issue and expects that the quantity of risk factors and the content or description of risk factors will influence the uncertainty and would mitigate investors’ concern. Referring to past literature, this study builds four-class index for disclosure score and uses two classifications of risk factors to systematically measure risk factors in the prospectus. The empirical results show that a biotech IPO with more information or some specific information of risk factors, like disclosures of main customers and key employees, will experience good performance after IPO. In addition, more detail descriptions in quantitative risk factors and customers’ information contributed to better performance in the future. In conclusion, disclosure of risk factors in the prospectus are related to firms’ probability of profitability after IPO as expected.

本研究旨在利用風險管控的方式，來協助電子製造業建立一套可有效的維持產品的綠色品質並降低產品的綠色風險的綠色品質風險管控模型，使得企業不致因產品在出貨後，被檢測出違反RoHS指令而使企業被罰以巨額款項並損失商譽。 回顧1997年12月聯合國氣候變化框架公約(UNFCCC)參加國第三次會議在日本京都舉行，並簽定了[京都議定書]之後，各國陸續制定出其各自的環保法令，其中又以歐盟於2003年2月通過並於2006年7月1日起實施限制鉛，鎘，汞，六價鉻，多溴聯苯，多溴聯苯醚等六項有害物質的RoHS指令的影響範圍最大且最為直接的影響到我國的產業，從而引發起了本研究的動機。 本研究透過與訪談個案的合作，實際從分析個案的產品研發生產的作業中，由影響RoHS的角度從作業一直剖析到管控內容，進而找到會影響RoHS品質不良的16個風險因子，並透過建立的監控系統來進行風險因子的資料採樣，最後經由羅吉斯迴歸模型，建立出一套風險計算模型，以連接RoHS風險因子的監控系統而成為一套綠色品質風險管控模型。 / The objective of this research is to help electronic manufacturers to establish a Green Quality Risk Management Model, which can effectively keep green quality and decrease green quality risk of products. Consequently, companies can prevent huge amount of fine and goodwill impairment caused by RoHS violation of their shipments. After the participants of UNFCCC held the third meeting in Kyoto, Japan and ratified the Kyoto Protocol in December 1997, every country created its environmental regulations in secession. Among those regulations, the RoHS directive, which prohibits the usage of Lead, Mercury, Cadmium, Hexavalent chromium (Cr6+), Polybrominated biphenyls (PBB)and Polybrominated diphenyl ether (PBDE), adopted in February 2003 and activated in January 2006 by the European Union resulted in most pervasive and direct impact on Taiwanese industry, consequently creating the incentive for this research. By the cooperation of case interview, this research analyze the research and development operations of interviewees with the perspectives from primary operations to floor control in order to identify sixteen risk factors of RoHS quality, and sample the data of risk factors with established control system. Finally, a green quality risk management model was created by the establishment of a risk computation model in connection with RoHS risk factor control system was established using Logistic Regression model.

本研究主要探討生技產業公開說明書之風險因子揭露以及首次公開發行(IPO, initial public offering)前之策略聯盟關係對首次公開發行折價所產生之影響。本研究以美國生技產業首次公開發行公司為研究對象，樣本期間為1997年至2012年。 許多文獻指出當初級市場認購人間資訊不對稱程度越大時，IPO價值之事前不確定性(ex ante uncertainty)越高，因此以事前不確定性的概念來衡量資訊不對稱程度，並透過公開說明書中資訊之揭露作為事前不確定性的代理變數以探討其與IPO折價現象之關聯。本研究即利用公開說明書之風險因子揭露作為事前不確定性的代理變數，並預期揭露的數量多寡與內容描述將影響IPO折價。另外，由於文獻指出策略聯盟所傳達的正面訊號，可能有助於生技公司減少因產業特性所造成的不確定性，因此本研究預期生技公司於IPO前擁有策略聯盟關係將影響IPO折價。 本研究參考過去文獻，建立資訊揭露的四級指標加上風險因子所揭露的項目多寡，系統性地衡量生技公司公開說明書之風險因子，並以多元迴歸分析檢測假說。實證結果顯示：風險因子的內容描述越具量化或越具體，IPO折價越大，並且發現大公司之風險因子揭露數量與IPO折價具正向關係，而生技公司於IPO前擁有策略聯盟關係對IPO折價幅度具有顯著負向關係。研究結果顯示公開說明書之風險因子揭露及策略聯盟與事前不確定性所產生之IPO折價現象之關聯性。 / This study investigates whether disclosure of risk factors in the prospectus and the effect of strategic alliances before IPO date will influence underpricing of the biotech firms. Data is collected for biotech companies of U.S IPOs issued from 1997 to 2012 as the research sample. Much literature indicates that the greater is the information asymmetry between different investors, the higher is the ex ante uncertainty about an initial public offering’s value. Hence, the ex ante uncertainty is measured as the degree of asymmetric information. And there are a number of studies that use different measurement as a proxy for ex-ante uncertainty including disclosures in the prospectus to examine its relation to underpricing. This study uses risk factors in the prospectus as a proxy for ex-ante uncertainty and expects that the quantity of risk factors and the content or description of risk factors will influence underpricing. Furthermore, since previous studies consider that strategy alliances convey a positive signal to investors which would reduce the uncertainty from the industrial characteristics of the biotech industry and would mitigate investors’ concern, this study expects that a biotech IPO with strategic alliances before IPO date will affect underpricing. Referring to past literature, this study builds four-class index for disclosure score and uses the number of risk factors to systematically measure risk factors in the prospectus. The empirical results show that a biotech IPO with more quantitative information or some specific information of risk factors will experience higher underpricing. In addition, in larger firms the greater are risk factors disclosed no matter the quantity or the content and its description, the higher is underpricing. And there is a significantly negative relation between strategic alliances before IPO date and underpricing. In conclusion, disclosure of risk factors in the prospectus and the effect of strategic alliances are related to underpricing as expected.