Submitted by Luiz Felipe Poli Guanais (fguanais@hotmail.com) on 2014-12-04T21:20:32Z No. of bitstreams: 1 Dissertação - Luiz Felipe Poli Guanais.pdf: 620638 bytes, checksum: 02d37cff8a2c05c0d78f721b513a6b18 (MD5) / Rejected by JOANA MARTORINI (joana.martorini@fgv.br), reason: Luiz, bom dia. Seu trabalho não está de acordo com as regras. Por gentileza entrar em contato no telefone 3799-7892. on 2014-12-05T11:28:59Z (GMT) / Submitted by Luiz Felipe Poli Guanais (fguanais@hotmail.com) on 2014-12-08T18:14:11Z No. of bitstreams: 1 Dissertação - Luiz Felipe Poli Guanais.pdf: 938612 bytes, checksum: 5e47fb061492e1f2070ebe6b698fa28f (MD5) / Approved for entry into archive by JOANA MARTORINI (joana.martorini@fgv.br) on 2014-12-08T19:02:27Z (GMT) No. of bitstreams: 1 Dissertação - Luiz Felipe Poli Guanais.pdf: 938612 bytes, checksum: 5e47fb061492e1f2070ebe6b698fa28f (MD5) / Made available in DSpace on 2014-12-08T19:03:48Z (GMT). No. of bitstreams: 1 Dissertação - Luiz Felipe Poli Guanais.pdf: 938612 bytes, checksum: 5e47fb061492e1f2070ebe6b698fa28f (MD5) Previous issue date: 2014-11-25 / O objetivo do presente trabalho foi, face ao grau de integração da economia brasileira, testar o poder explicativo do Modelo Goldman Sachs sobre os retornos esperados por um investidor estrangeiro no mercado nacional, ao longo do período 2004-2013. Em um primeiro momento, foi testado o grau de integração da economia brasileira para o período 2004-2013, buscando entender o contexto em que o Modelo Goldman Sachs foi empregado. Posteriormente, para o teste do modelo, calcularam-se os betas dos fatores de risco dos ativos analisados (risco de mercado e risco país) e procedeu-se à regressão com dados em painel dos retornos esperados sobre os betas desses ativos. Verificou-se que o risco país não se mostrou estatisticamente significante para a explicação dos retornos esperados, o que indica que é adicionado de maneira ad hoc pelos praticantes de mercado para o cálculo do custo de capital próprio de acordo com o Modelo Goldman Sachs. Assim, embora haja evidências de uma relação positiva e significante entre risco sistemático e retorno, os resultados para o risco país demonstram que o Modelo Goldman Sachs não se mostrou satisfatório para a explicação dos retornos esperados no mercado brasileiro ao longo dos últimos dez anos. / Considering the degree of integration of the Brazilian economy, this paper seeks to test the explanatory power of the Goldman Sachs Model for the expected returns by a foreign investor in the Brazilian market during the past ten years (2004-2013). It begins by testing the degree of integration of the Brazilian economy during this period, in an attempt to better understand the context in which the model has been used. In sequence, the risk factor betas (market risk and country risk) of the sample stocks were estimated and a panel regression of expected stock returns on these betas was performed. It was found that country risk is not a statistically significant explanation of expected returns, indicating that it has been added in an ad hoc fashion by market practitioners to cost of equity calculations. Thus, although there is evidence of a positive and significant relationship between systematic risk and return, the results for country risk demonstrate that the Goldman Sachs Model was not a satisfactory explanation of expected returns in the Brazilian market in the past ten years.

This thesis deals with motives of the South Africa's inclusion to BRIC countries and examines the impact of this inclusion on South Africa. It explores the question whether South Africa "deserves" the inclusion to BRIC countries and what characteristics connect it with these economies. The thesis also analyzes the BRICS bloc, the current situation in these economies, their cooperation and performing on the global scene.

2007年是中華電信企業民營化的第二年，如同以往地在業務面及財務面締造了佳績。然而，在2007年9月時，中華電信與香港高盛簽下一紙長達10年期的外匯避險合約，使得中華電信在隔年第一季公佈高達新台幣40億元的未實現匯兌損失，引起市場一片譁然與投資人的輿論，認為此合約讓收入多以新台幣計價的中華電信陷入了不必要的衍生性商品陷阱之中。本個案讓閱讀者以當時中華電信財務長謝劍平的角度，帶領閱讀者解構、分析這個極具爭議的的結構型商品。過程中牽涉到避險決策、契約評價、代理問題、公司治理、外匯預測、市場效率性等議題。2008年10月契約觸及匯價32.7終止，中華電信最終獲利新台幣3010萬元出場，新台幣10多億的帳面損失也全數回沖。個案閱讀者能從中學習到重要的思考過程，並做出權衡之下對股東利益最好的決策，我們發現這個外匯避險契約本身並無絕對好壞，因為這是一個風險控管與節省成本的抵換關係，端看決策者的出發點、需求及風險偏好決定。 / 2007 was the second year after the privatization of Chunghwa Telecom, the financial performance was strong as usual. However, on September of the same year, Chunghwa Telecom had signed a 10-year currency hedging contract with Goldman Sachs, which leads to NTD 4 billion unrealized book losses in the first season of 2008. Investor and the public were shocked about it, because it was not compatible with the company’s corporate image, and the book losses was too huge. Many public opinion criticized that it was a big mistake for Chunghwa Telecom, which let them fall into the trap of financial derivatives. This case put students back to the scenario of September 2007, played the role as Chunghwa Telecom’s CFO, CP Shieh. The case will guide them understand how to decompose and analyze a tailor made structure product provided by investment bank. In the analyzing process, readers will involve many interesting issues, like hedging decision, contract valuation, agency problem, corporate governance, forex forecasting and market efficiency. October 2008, the contract knocked out by reaching NTDUSD quote 32.7. Chunghwa Telecom end up gained NTD 30.1 million from the contract and over NTD 1 billion unrealized book losses were also reversed. Case readers can acquire important intuition during the analyzing process and make decision based on the shareholder’s best interest. There is no absolute answer to dictate whether this hedging contract was good or not, because it was a tradeoff between risk control and cost saving. It depends on the decision maker’s point of view, demand and risk preference.

我國綜合券商近年來因為整體家數過多、全球景氣持續衰退、金控時代來臨等因素影響下，使得整體產業經營出現困難，極待政府與民間共思一個解決方案。為此，財政部與證期會共同協助我國綜合券商的轉型升級，希望透過政府相關法令政策的開放解套，推動獨立綜合券商轉型為投資銀行，解決目前綜合券商在經營上所面臨之困境。 本研究針對我國綜合券商轉型投資銀行的相關政策，進行可行性研究與個案分析，並以國外知名投資銀行成功案例進行個案分析，從中探討投資銀行產業的成功關鍵因素，以做為我國綜合券商轉型投資銀行的策略擬定依據。 根據本研究成果，提出以下幾點結論： 1.台灣綜合券商面臨生存與轉型之壓力 2.我國整體投資環境確實有發展投資銀行可能性存在 3.產品創新、資本規模、品牌知名度及全球佈局能力仍是關鍵 4.各券商必須依據自身核心優勢差異發展不同之轉型策略 5.政府法令開放程度影響投資銀行發展 除此之外，本研究亦提出以下幾點建議： 1.對政府與相關主管單位建議：(1)法令開放持續推動；(2)建立有效監理機制；(3)大陸市場審慎評估。 2.對整體證券產業建議：(1)適度整合市場競爭狀況；(2)提供建議與政府合作。 3.對於個案公司建議：建議個案公司仔細思考目前所面臨轉型挑戰，以及相關解決辦法，透過本身核心優勢維持與發揮，逐步轉型投資銀行以因應我國金融產業轉型與升級。

A stochastic differential equationdriven by a Brownian motion where the dispersion is determined by a parameter is considered. The parameter undergoes a change at a certain time point. Estimates of the time change point and the parameter, before and after that time, is considered.The estimates were presented in Lacus 2008. Two cases are considered: (1) the drift is known, (2) the drift is unknown and the dispersion space-independent. Applications to Dow-Jones index 1971-1974  and Goldmann-Sachs closings 2005-- May 2009 are given.

<p>A stochastic differential equationdriven by a Brownian motion where the dispersion is determined by a parameter is considered. The parameter undergoes a change at a certain time point. Estimates of the time change point and the parameter, before and after that time, is considered.The estimates were presented in Lacus 2008. Two cases are considered: (1) the drift is known, (2) the drift is unknown and the dispersion space-independent. Applications to Dow-Jones index 1971-1974  and Goldmann-Sachs closings 2005-- May 2009 are given.</p>