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The purpose of this paper is to explore the relationship between the returns of momentum strategies and macroeconomic factors. The empirical results indicate that the phenomenon of underreaction is found in Taiwan stock market in the short term, and adoption of momentum strategies can slightly result in significant positive abnormal returns, while no phenomenon of overreaction is found in the long term, and no significant positive abnormal returns are gained if the contrarian strategies are applied. After dividing the market status into bull market and bear market, we find that the underreaction phenomenon appears in the bull market in the short term, and significant positive returns may be gained if the momentum strategies are used; on the other hand, the overreaction phenomenon appears in the bear market in the long term, and the adoption of contrarian strategies may offer significantly positive returns. In addition, either positive or negative excess returns of momentum strategies are found in the bull and bear markets. The value of (alpha) of the returns mostly exceeds zero after the adjustment of Fama and French three-factor model. Finally, the predictive value of macroeconomic analysis and the analysis of returns of momentum strategies reveal that the rate of return of momentum strategies is higher when the expected rate of return of macro economy in the bull market is getting lower, and the rate of return of momentum strategies is lower while the expected rate of return of macro economy in the bear market is high. We conclude that macroeconomic factors are unrelated to the returns of momentum strategies, regardless of bull market or bear market.

This purpose behind this study is to develop a model for forecasting the performance of the Taiwanese economy based on monthly time series data. We first extract the useful factors through factor analysis. Next, we rank the factor scores according to the rules of the trend and interpret the scores as signals to buy or sell appropriately. Our main result is that the Sharpe ratio of out-of-sample back-testing from January 2007 to December 2010 is 0.48, indicating an ability to forecast financial crises. In addition, a Sharpe ratio of 0.95 during the 2008 financial crisis suggests that our model may have been effective in predicting this crisis. Moreover, the macroeconomic factor model can provide better forecasting skills during financial crises. To conclude, this research may be of importance in explaining the relationship between macroeconomic variables and the business cycle, as well as in providing investors with better forecasting signals of the stock market in Taiwan.

本論文是從外部環境的觀點，探討金融環境與總體經濟因素對企業長期融資的影響。鑑於近年來國際化、自由化的腳步不斷加快，國內金融環境產生了相當大的變遷，企業最常使用的長期融資方式，不外乎股票增資、發行公司債及銀行中長期借款三種，因此本論文先整理三種長期融資方式的特性，並就個別發行成長率和佔相對融資比例加以分析，且採股票增資成長率、發行公司債成長率及銀行中長期借款成長率為因變數，利用多元迴規模型，分別以「全部選取法」及「逐步選取法」為三種長期融資方式建立多元迴歸模型，並經由檢定結果找出具顯著影響的金融環境與總體經濟因素。 實證結果發現：股價指數報酬率對企業股票增資成長率具顯著正向關係之解釋能力；民國八十四年起債券型基金的蓬勃發展對企業發行公司債成長率具顯著正向關係之解釋能力；而基本放款利率、逾放比率以及民國八十一年起銀行法修正後新銀行紛紛開業的競爭狀況皆對企業中長期借款成長率具顯著負向關係之解釋能力。 研究發現外部金融環境與總體經濟因素的確對企業長期融資有著不可輕忽的影響力，因此也建議政府應研擬適宜、有效的相關政策並修改法令創造一個健全、多元的資金籌措環境；另由於金融逆中介情況逐漸深化，亦建議銀行可逐漸從事投資銀行路線，積極參與證券市場；而企業從事融資決策時，則應多考慮外在金融環境的變遷，瞭解各種融資工具特性並妥善運用。 / Abstract The purpose of the thesis is to state the effect of finance and macroeconomic factors on long-term financing and analyze the cause and factor for three funding methods. The source of fund empirically is defined by Bank Acceptance, Corporate Bond , and Stock Issue . Dividing them into stock quantities and flow quantities and estimitating by normal and stepwise OLS is to analyze the reason of the low increasing rate by loan and rapid growth by bond or stock in recent years. Empirical Results predict high over loan rate and some revolution in external Financial environment. Despite the ex-post analysis of thesis is consistent with financial situations well but there are some biases in source of data. In addition, result also tell what should commercial bank go and the best financing tools of enterprise.

Submitted by Roberta Lorenzon (roberta.lorenzon@fgv.br) on 2011-05-30T14:26:15Z No. of bitstreams: 1 63080100015.pdf: 781749 bytes, checksum: 32dd660d87d63789ab4a0ee0600ce50d (MD5) / Approved for entry into archive by Gisele Isaura Hannickel(gisele.hannickel@fgv.br) on 2011-05-30T14:47:36Z (GMT) No. of bitstreams: 1 63080100015.pdf: 781749 bytes, checksum: 32dd660d87d63789ab4a0ee0600ce50d (MD5) / Approved for entry into archive by Gisele Isaura Hannickel(gisele.hannickel@fgv.br) on 2011-05-30T14:48:59Z (GMT) No. of bitstreams: 1 63080100015.pdf: 781749 bytes, checksum: 32dd660d87d63789ab4a0ee0600ce50d (MD5) / Made available in DSpace on 2011-05-31T15:39:00Z (GMT). No. of bitstreams: 1 63080100015.pdf: 781749 bytes, checksum: 32dd660d87d63789ab4a0ee0600ce50d (MD5) Previous issue date: 2010-05-28 / The present work aims to study the macroeconomic factors influence in credit risk for installment autoloans operations. The study is based on 4.887 credit operations surveyed in the Credit Risk Information System (SCR) hold by the Brazilian Central Bank. Using Survival Analysis applied to interval censured data, we achieved a model to estimate the hazard function and we propose a method for calculating the probability of default in a twelve month period. Our results indicate a strong time dependence for the hazard function by a polynomial approximation in all estimated models. The model with the best Akaike Information Criteria estimate a positive effect of 0,07% for males over de basic hazard function, and 0,011% for the increasing of ten base points on the operation annual interest rate, toward, for each R$ 1.000,00 on the installment, the hazard function suffer a negative effect of 0,28% , and an estimated elevation of 0,0069% for the same amount added to operation contracted value. For de macroeconomics factors, we find statistically significant effects for the unemployment rate (-0,12%) , for the one lag of the unemployment rate (0,12%), for the first difference of the industrial product index(-0,008%), for one lag of inflation rate (-0,13%) and for the exchange rate (-0,23%). We do not find statistic significant results for all other tested variables. / The present work aims to study the macroeconomic factors influence in credit risk for installment autoloans operations. The study is based on 4.887 credit operations surveyed in the Credit Risk Information System (SCR) hold by the Brazilian Central Bank. Using Survival Analysis applied to interval censured data, we achieved a model to estimate the hazard function and we propose a method for calculating the probability of default in a twelve month period. Our results indicate a strong time dependence for the hazard function by a polynomial approximation in all estimated models. The model with the best Akaike Information Criteria estimate a positive effect of 0,07% for males over de basic hazard function, and 0,011% for the increasing of ten base points on the operation annual interest rate, toward, for each R$ 1.000,00 on the installment, the hazard function suffer a negative effect of 0,28% , and an estimated elevation of 0,0069% for the same amount added to operation contracted value. For de macroeconomics factors, we find statistically significant effects for the unemployment rate (-0,12%) , for the one lag of the unemployment rate (0,12%), for the first difference of the industrial product index(-0,008%), for one lag of inflation rate (-0,13%) and for the exchange rate (-0,23%). We do not find statistic significant results for all other tested variables.