The Financial Services Modernization Act, also known as the Gramm-Leach-Bliley Act (GLBA), of 1999 has permitted U.S. bank holding companies (BHCs) to operate in non-banking activities that are financial in nature. This dissertation addresses the impact of this across-activity diversification within the U.S. financial services industry on the profitability and the risk-adjusted performance of bank holding companies. Using a variety of diversification measures, the study analyzes the relationship between corporate diversification and the financial performance of BHCs pre- and post-GLBA, from 1990 to 2011. The analysis of the profitability-diversification relationship provides evidence that the negative impact of revenue diversification on the profitability of banking firms that exists in the literature is mainly due to measurement and model specification issues. Failure to differentiate between interest-versus-noninterest and banking-versus-nonbanking types of revenue diversification has resulted in using measures of the first type of diversification to study the second, leading to inaccurate results. Moreover, introducing nonlinearity to the relationship between revenue diversification and profitability provides evidence that this relationship is negative only at relatively low levels of diversification but positive if the level of diversification is sufficiently high. Controlling for these measurement and model specification issues results in profitability premium, rather than discount, that is associated with higher levels of revenue diversification. The study also employs an event study methodology to measure how stock markets respond to mergers and acquisitions (M&As) in which BHCs acquire other banking and nonbanking financial targets. The cumulative abnormal returns (CARs) to acquirers and targets show that M&A that are either non-diversifying or diversifying within closely-related credit intermediation activities increase the value of merged firms. The effect of M&As that combine less-related financial activities on firm value is either negative or insignificant. This implies that market participants have better expectations of the future performance of less diversified firms in managing the risk-return trade-off. Comparing the average CARs of the pre- and post-GLBA eras supports this conclusion.

【第一篇論文中文摘要】 本文檢測公司負債合約中的利差是否可被最終的違約後償還率所解釋。透過1962年至2007年間在美國金融市場上發行但最後卻違約的負債合約資料來進行實證，發現違約後償還率的確有反映在發行時的利差上，且此關聯性會隨著美國開放商業銀行進行證券承銷業務後隨之更加顯著。我們並且進一步發現此償還率的資訊能更加有效反映原因與發行公司的資訊不對稱程度降低有關。此外，我們同時又發現此負債合約中的利差與違約後償還率的關聯性對於公司治理較差、以及非投資等級的發行公司會更為顯著。最後，我們的實證結果在考量內生問題、潛在可能遺漏解釋變數、以及其他模型設定後，仍同樣具有堅實性。 【第二篇論文中文摘要】 本文使用臺指選擇權的日內資料來探討選擇權提前交易期間是否具有資訊內涵與價格發現的功能。就作者所知，我們是第一篇透過選擇權資料探討提前交易期間資訊內涵的研究。首先，我們分別透過價、量、與高階動差三類資訊變數指標來衡量提前交易期間的資訊內涵。實證結果顯示：選擇權提前交易期間不只能有效反映隔夜資訊 (公開資訊)，且具有預測當日現貨指數開盤後5分鐘內股價指數移動的能力 (反應私有資訊)，說明提前交易期間的確具有資訊內涵與價格發現的功能。此外，我們進一步發現價平選擇權包含最強的資訊內涵，此應與投資人尋求交易流動性最高的價平選擇權來迅速實現其利潤以反映其資訊有關。最後，本研究亦發現前一日海外市場 (美國) 投資人情緒傳染效果的強度會影響提前交易期間選擇權的資訊內涵，而前一日是否交易 (週末效果與假日效果)則不會影響此資訊內涵。 / 【第一篇論文英文摘要】 We investigate whether the spread of corporate debt contacts can be explained by their ultimate recovery rates. Using the actual realized recovery rates of defaulted debt instruments issued in the U.S. from 1962 to 2007, we find that recovery rate is reflected in the spread at issuance, and that this relationship has become more significant since commercial banks were allowed to underwrite corporate securities. Our further investigation indicates that the enhanced informativeness of recovery rate can be attributed to the lowering of information asymmetry of individual firms. Besides, the relation between the spread at issuance and the recovery rate is stronger for weak corporate governance and non-investment grade issuers. Our conclusions are found to be robust to endogeneity issues, potentially omitted variables and alternative model specifications. 【第二篇論文英文摘要】 This study uses tick-by-tick data to examine the information content and price discovery of TAIEX option trading during the pre-opening period. To the best of our knowledge, this is the first study that focuses on the options market. We construct three groups of information variables to measure the information content of the pre-opening period, including the price, volume, and high moment information variables. We find that option trading during the pre-opening period not only can reflect the overnight information (public information) but also predict the 5-minute intraday returns after the opening of spot market (private information), showing the information content and price discovery of option trading during the pre-opening period. We also find that at-the-money options contain the strongest richness of information content, which may result from its highest liquidity. Finally, we also find that the empirical results would be stronger depending on the intensity of investor sentiment from overseas (U.S. market) of last day but not the length of hours without trading (weekend and holiday effect).