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The work presented in this dissertation can be grouped around three major themes. The first theme relates to risk, the second theme relates to asset pricing, whereas the third theme relates to serial correlation of asset returns. The three chapters of this dissertation investigate these themes Chapter Two analyses the behavior over time of market risk, aggregate idiosyncratic risk and correlations in portfolio of Taiwan listing stocks and studied pattern of aggregate correlation between the 3 most important Taiwan stock index and Taiwan value-weighted index. We find (1) Idiosyncratic risk is trended upwards; (2) The conditional stock returns correlation process is asymmetric. The implication of our finding is (1) It takes more stocks to achieve a given level of diversification; (2) Diversification strategies perform poorly in bear markets. Chapter Three investigates the role of the asset co-skewness and conditioning information in asset pricing. First, I estimate long-run predictive regressions of asset returns to test whether aggregate idiosyncratic risk is a price factor of industrial returns. Then I use data on Taiwan 19 industry portfolios to fit various assets pricing models. I find (1) the cross-sectional ctional correlation between 2 i £] (the gamma coefficient from the 3M-CAPM equation) and 3 i ϕ (the interaction coefficient from the CCAPM equation) is positive and fairly large. (2) The firm-level volatility is a good proxy for cay as conditioning information variable. (3) The gamma coefficient can pick up the extent of beta co-vary with the market wide excess-return over the business cycle. (4)among 19 industrial returns, the 2 industrial returns can be explained by 3M-CAPM; the 7 industrial returns can be explained by CCAPM; the 5 industrial returns can be explained by 3M-CAPM+CCAPM, Others can¡¦t be explained by either of three models. Chapter Four examines the impact of positive feedback trading behavior of the investors on the short-term dynamics of return for four Taiwan index futures contracts by utilizing the framework of the model developed by Sentana & Wadhwani(1992). Use of the Asymmetric Nonlinear Smooth Transition GARCH Model demonstrates that positive feedback trading of investors is the main determinant of short-term dynamics of return for Taiwan index futures contracts. Moreover, it shows that positive trading is more intense during market declines than it is during market advances due to extensive use of spot-loss trading for investors. Finally it is shown that the sophisticated professional investors intend to take positive feedback trades wave so that they lead to increase positive feedback trading in Taiwan index futures since the government opened the enterprises for managed futures.

This thesis is to explore the associations between two major factors and the pricing policy of the Depositary Receipt (DR) from the past experiences of Taiwanese listed companies. We first apply regression models to investigate the relationship between the first factor, the percentage change of the stock prices in that year of Taiwan Stock Exchange (TWSE) and the premium/discount in pricing DR. Then, we examine the connection between the second factor, the percentage change of the issuing companies¡¦ stock prices within the past 180 calendar days in TWSE prior to the offering of DR and it¡¦ final pricing. We also interviewed several financial experts to collect the industry norms on the pricing strategies of DR in order to help the future issuers meet their expectations. We have concluded the following: 1. With the significance level of 95%, there is no linear relationship between the final pricing of DR and the percentage change of the stock prices of TWSE. 2. With the significance level of 95%, there is also no linear relationship between the final pricing of DR and the percentage change of the issuer¡¦s stock prices for the past 180 days. 3. With the significance level of 95%, there exists very significant negative linear relationship between the final pricing of DR and the percentage change of the issuer¡¦s stock prices for the past 180 days, if we exclude all the cases of enjoying premium in DR pricing and all the stock prices that have a percentage increase over 170% prior to the offering of DR. 4. The best pricing policy for a company to issue a DR is to sign a contract with the bookrunner in which the limited discount percentage of DR¡¦s offering is guaranteed.

Evaluation of the real price for financial assets has been an important issue. This thesis used four approaches, namely free cash flow method, dividend discount method, C.R.R Binomial Numerical Analysis of real-option theory and capital-budgeting techniques, to evaluate the real value of REITs in Taiwan. Fubon No.1, Cathy No.1, Shin Kong No.1 are chosen as cases to study in this thesis. This thesis analyzes their financial statements and historical data to estimate the parameters in those models and compute the real price of REITs. Our empirical results show that the real prices estimated from the free cash flow approach are higher than market prices by 30%. The real prices from the dividend discount method are higher than average market price by 300%.The real prices from the third approach, present value method, are higher than market prices by 10%. After considering the opportunities managers hold by the real-option approach, the real prices are higher than the market value by 200%. These results suggested the current prices of REITs in Taiwan are undervalued. It appears that anchoring tendency might be an explanation that prices of REITs in Taiwan are fixed in certain levels.

Abstract Divident discount model found further expected dividend discounting to some fix period. The dividends are determined from the the core of company and relates retain earning. In Taiwan stock market, divedneds are not paid per season. So, I adept earning per share to proxy variable and employ market value weight to conduct dividends for Taiwan stock idnex. The next step, investgate the relationship between price index and diviednds using the econometric model was created by Kapetanios et al. (2006). Consequencely, the relationship are fitted discribtion by ESTR cointegration rather than linear cointegration.

Thesis (Ed.D.)--University of West Florida, 2009. / Submitted to the Dept of Professional and Community Leadership. Title from title page of source document. Document formatted into pages; contains 176 pages. Includes bibliographical references.

Η εργασία αναφέρεται στις καταναλωτικές συνήθειες των Ελλήνων σε σχέση με τα εκπτωτικά καταστήματα. Το συμπέρασμα από την έρευνα αγοράς είναι ότι ο Έλληνας ψάχνει την καλύτερη ποιότητα στην χαμηλότερη τιμή, ανεξαρτήτου φύλου, ηλικίας και μορφωτικού επιπέδου. / -

Transportation is important in making supply chain decisions. With the careful consideration of transportation expenses, the performance of each supply chain member, as well as the entire supply chain, could be improved significantly. The purpose of this research is: 1) to explore and identify the various situations that relate to replenishment and transportation activities; and 2) to reveal the strength of the connection between purchase quantity and transportation discounts, and integrate the two discounts to enhance supply-chain coordination. The problem is analyzed and categorized into four representative cases, depending on transportation. To aid the supplier or the carrier to determine the discount that should be offered, in light of the buyer's reaction to that discount, decision models are proposed under three different circumstances. First, assuming a single product, we investigate the quantity discounts from the supplier's perspective, via a noncooperative game-theoretical approach and also a joint decision model. Taking into account the price elasticity of demand, this analysis aids a sole supplier in establishing an all-unit quantity discount policy in light of the buyer's best reaction. The Stackelberg equilibrium and the Pareto-optimal solution set are derived for the noncooperative and joint-decision cases, respectively. Our research indicates that channel efficiency can be improved significantly if the quantity discount decision is made jointly rather than noncooperatively. Moreover, we extend our model in several directions: (a) the product is transported by a private fleet; (b) the buyer may choose to offer her customers a different percentage discount than that she obtained from the supplier; and (c) the case of multiple (heterogeneous) buyers. Numerical examples are employed, here and throughout the thesis, to illustrate the practical applications of the models presented and the sensitivity to model parameters. Secondly, we consider a situation with a family of SKUs for which the supplier will offer a quantity discount, according to the aggregate purchases of the product group. Management of those items is based on the modified periodic policy. From the supplier's point of view, what are the optimal parameters (breakpoint and discount percentage)? For deterministic demand, we discuss the cases in which demand is both constant and price-sensitive. First as a noncooperative Stackelberg game, and then when the two parties make the discount and replenishment decisions jointly, we illustrate the impact of price-sensitivity and joint decision making on the supplier's discount policy. The third approach studies the case in which transportation of the goods by a common carrier (a public, for-hire trucking company) is integrated in the quantity discount decisions. In reality, it is quite difficult for the carrier to determine the proper transportation discount, especially in the case of LTL (less-than-truckload) trucking. This is not only because of the "phantom freight" phenomenon, caused by possible over-declaration of the weight by the shipper, but also due to the fact that the discount relates to both transportation and inventory issues. In this research, we study the problem of coordinating the transportation and quantity discount decisions from the perspectives of the parties who offer the discounts, rather than the ones that take them. By comparison of the noncooperative and cooperative models, we show that cooperation provides better overall results, not only to each party, but also to the entire supply chain. To divide the extra payoffs gained from that cooperation, we further conduct a coalition analysis, based upon the concept of "Shapley Value." A detailed algorithm and numerical examples are provided to illustrate the solution procedure. Finally, the thesis concludes with comprehensive remarks. We summarize the contributions of this thesis, show the overall results obtained here, and present the directions that our research may take in the future.

Thesis (MPhil) -- AUT University, 2009. / Includes bibliographical references. Also held in print (180 leaves : ill. ; 30 cm.) in the Archive at the City Campus (T 381.10993488 STO)

Diss. Univ. St. Gallen, 2003.