The issue of depositary receipt gets more attention in investors in recent year because of the explosion of Taiwan Depositary Receipt (hereafter, TDR) in Taiwan. The depositary receipts should equal to the value of primary listing stocks because they are represent the same value to a company. Therefore, we would discuss the price relationship between TDR and the primary listing stock it represents at first. In addition, because all the TDRs in Taiwan have the price spread (i.e. the price difference between TDRs and the primary listing stocks) with its original stocks, we discuss what the reasons to cause the price spread from a point of market segment. And we find it is because of liquidity, demand, information asymmetry, and stock price manipulation to lead to the price spread. After we takes market emotion into account, the market index has significant influence on price spread and individual investors also have a large influence on price spread. Finally, we try to find that whether the market has the arbitrage opportunity from the price spread after we consider the transaction cost. And the result shows that when TDR is in discount, it really has the arbitrage opportunity in market after we use the close price as the transaction price. Furthermore, if we use the open price in the next day as the transaction price, it still has excess return in market, but the profit will be lower than the strategy using the close price as the transaction price.

隨著經濟環境的轉變以及法令對公司籌資管道逐漸鬆綁，使得公司有多種融資方式可以選擇，而特別股亦是公司的另一種選擇。本研究以民國74年至90年間在台灣證券交易所之特別股上市公司為樣本，藉由探討影響公司決定發行特別股之因素及影響普通股與特別股價差之因素，來觀察特別股融資方式適合於哪些公司，以及怎樣型態的特別股股價表現會較佳，實證結果可提供公司融資決策與投資人投資決策之參考。 　　研究結果顯示，在發行特別股的決定因素方面，公司的財務狀況、資本結構的確會影響公司是否發行特別股之決定。當公司財務狀況不佳時，為避免財務結構更形惡化，公司會傾向以特別股方式來籌資，且當公司債務比率已經高過產業平均債務水準時，公司較不會再以舉債的方式來籌資，以避免公司債務比率更高。至於租稅利益的考量上，卻無法獲得實證之支持。而於特別股與普通股的進一步分析中，實證結果顯示，當公司財務狀況不佳或是較具成長潛力的公司，越傾向發行特別股。 　　在影響普通股與特別股價差的因素方面，當特別股條款具有轉換權、無償配股權者，由於給予特別股股東額外權利，故該類特別股股價表現較佳。此外，當普通股的市場流動性與波動性相對較高時，該標的公司的特別股較不受投資大眾所關注，也因此使其股價表現較差。但在有同意權的特別股條款及普通股配股比率上，卻與本研究的預期相反，可能是因為同意權與特別股報酬率呈顯著正相關，故當特別股條款同意權愈低時，特別股報酬率也愈低，導致特別股股價表現較差。而當普通股配股率愈高時，可能由於特別股股價也隨著標的普通股股價而上漲，使得普通股配股率愈高，特別股股價反而愈高。 / With the change of economic environment and the loose regulation of law for financing ways, firms have many choices of financing, and preferred stock is an alternative. This study examines, during 1985-2001 for a sample of preferred stocks in Taiwan Stock Exchange, what firm is appropriate for issuing preferred stock and what type of preferred stock has higher value. By studying the factors that determine the issuance of preferred stock and that affect price spread between common stock and preferred stock, the empirical result could be used for decision-making of firms and investors. 　　In the factors of determining the issuance of preferred stock, we find that financial position and capital structure could indeed affect the firm's decision of whether to issue preferred stock or not. When firms are in weaker financial position, they are inclined to finance by issuing preferred stock to avoid worse financial structure. Besides, when firms that have debt ratio higher than the average levels of industry, they are not likely to finance by issuing additional debt to make the debt ratio even higher. On the other hand, empirical evidence does not support the tax benefit hypothesis. By the advanced analysis of preferred stock and common stock, the empirical result shows that firms with weaker financial position or with higher potential growth are more inclined to issue preferred stock. 　　As for the price spread between common stock and preferred stock, preferred stock with convertible right or stock dividend provisions, which give the preferred stockholders additional rights, tend to have higher stock price. In addition, when the market liquidity and the volatility of common stock returns are relatively higher, the preferred stock of the corresponding firms tends to have lower stock price. However, the coefficients of the variables about approval provision and dividend rate on common stock have signs contradictory to the prediction. The reasons may be that the approval provision (APR) and the return of preferred stock (RET_PS) are significantly positively correlated. Therefore, when APR is smaller, RET_PS is also lower, leading to worse preferred stock price. As for the stock dividend rate (ST_D), since the preferred stock price may have risen with the common stock price, higher ST_D may on the contrary leads to higher preferred stock price.

This study aims at analysing how African oil benchmarks within the OPEC Reference Basket relative to the WTI and Brent benchmarks which are considered as global pricing benchmarks for the period starting from 1997-2008. The Nigerian Bonny Light and Algerian Saharan blend were the two benchmarks used for this study. A time series analysis was applied to the weekly price data series set and with the aid of a breakpoint unit root test and Cusum of Squared test to determine if there was a change in the persistence of the spread of each African benchmark relative to the global benchmarks. The results for from the unit root test indicated the presence of a structural break in the price spread in 2004 for the Bonny Light benchmark and in 2005 for the Saharan blend relative to both global benchmarks. The Cusum Squared test for the four benchmark pairings indicated a change in persistence of the price spreads. The null hypothesis was rejected for the alternative hypothesis of the price spread process having a relatively high persistence value after a while. The Cusum Test results showed a change in persistence for both African benchmarks relative to the WTI benchmark and no change in persistence relative to the Brent benchmark. The results of from the Time series analysis indicated the competitive nature of African benchmarks relative to global benchmarks and this could benefit exporting countries by virtue of setting up derivative markets. The derivative markets would allow for the trade of benchmark spreads, futures contracts, options and other financial instruments for African oil producers.

近年來隨著金融市場的多元化，各公司企業莫不努力尋找一種成本較低、對投資者亦較有利的金融商品，兼具普通股與債券二種性質的特別股，由於具有高度設計彈性的優點，相信將是公司在進行理財活動所不可或缺的重要工具之一。 由於台灣特別股市場遠小於普通股，而市場中的特別股多數又屬於到期時強迫轉換的可轉換特別股，因此學術上以多以可轉換特別股作為研究標的，研究其市價與理論價格間的關係。本文在研究台灣證券市場中三家公司所發行的特別股，其權利義務條件幾乎與普通股無異，這樣一種「可說就是普通股」的特別股，甚至比普通股更好，對投資人更有保障。理論上這樣由同一公司所發行的二種條件相近的證券，應會反應相同資訊，而使二者價格維持著某種穩定的關係。但從歷史股價看出，特別股與普通股股價間似乎並未有一致的關係，本文即在討論是何種因素導致特別股與普通股股價間呈現如此差異。 實證結果發現，整體而言公司的基本面與交易面都會影響股價價差的改變，在單因子的檢定中，來自交易面的影響效果略顯著於基本面，可見市場交易狀況對股價有不容忽視的因重要性。但若以價差的大小作為分期基礎，將期間分為前後兩期，並以相同方法重新進行實證研究後發現，早期公司基本面對價差的改變並不顯著，影響方向也相當凌亂；但後期基本面因素則有逐漸重要之趨勢。此外，在考慮因素間的關係，選取相關係數較低的變數繼續進行多元複迴歸檢定，實證發現在同時考慮基本面與交易面時，基本面因素仍為價差改變的重要因素，來自交易面的影響力會減小。 此外本文亦對普通股及特別股進行績效評估，實證結果發現，三家公司六支股票的績效好壞各半，未有特別股的績效一定大於普通股或普通股的績效一定大於特別股的一致結論出現。 第一章 緒論1 第一節 研究動機與目的 1 第二節 論文架構 7 第二章 文獻探討 9 第一節 特別股發行之目的 9 第二節 特別股之事件研究 11 第三節 特別股的價格行為 13 第四節 二種相關證券收益率差異分析 15 第三章 公司介紹 17 第一節 國喬石油化學股份有限公司 17 第二節 華隆股份有限公司 26 第三節 中國鋼鐵股份有限公司 36 第四節 簡介台灣證券交易所上市之特別股 43 第四章 研究方法 47 第一節 研究範圍與資料來源 47 第二節 研究假說 48 第三節 變數的定義與分析 50 第四節 研究方法 54 第五章 實證結果分析 57 第一節 單因子迴歸模型檢定 57 第二節 多元迴歸模型檢定 64 第三節 特別股績效分析 68 第六章 結論與研究限制 71 參考文獻 附錄 表 目 錄 表1.1 三公司股價統計資料 4 表2.1 我國歷年企業發行特別股之目的與性質 11 表3.1 國喬石油化學公司上市前主要股東名單 19 表3.2 國喬石油化學公司上市時股權比例佔前十名之股東名稱 19 表3.3 國喬公司近年重大轉投資公司與其獲利狀況 23 表3.4 國喬公司財務分析 25 表3.5 民國58年至民國60年華隆公司生產狀況 26 表3.6 華隆公司主要業務內容與經營比重 30 表3.7 華隆公司轉投資事業概況 32 表3.8 中鋼歷年擴建表 36 表3.9 中鋼六次釋股彙總表 37 表3.10 中鋼公司主要產品及用途表 38 表3.11 中鋼擴建工程資金來源表 42 表3.12 中鋼公司財務結構 42 表3.13 上市公司增資發行特別股計畫一覽表 46 表5.1 單因子迴歸模型檢定結果 58 表5.2 國喬公司財務指標相關係數矩陣 65 表5.3 華隆公司財務指標相關係數矩陣 66 表5.4 中鋼公司財務指標相關係數矩陣 67 表5.5 多元迴歸模型變數 68 表5.6 多元迴歸模型檢定結果 69 表5.7 特別股與普通股之持有之績效表 68 圖 目 錄 圖1.1 國喬石油化學股份有限公司股價圖 5 圖1.2 華隆股份有限公司股價圖 5 圖1.3 中國鋼鐵股份有限公司股價圖 6 圖3.1 石化產業關連簡圖 21 附 錄 附錄一 特別股權利義務一覽表 I 附錄二 特別股發行程序 XIX 附錄三 台灣證券交易所股份有限公司有價證券上市審查準則歷史沿革摘錄 XX 附錄四 國喬石油化學股份有限公司大事紀要 XXIV 附錄五 華隆股份有限公司大事紀要 XXVIII 附錄六 中國鋼鐵股份有限公司大事紀要 XXXIII

Commonly, the day-ahead and intraday market on the electricity exchange are treated separately in academia. However, a model that forecasts the direction of the price spread between these two markets creates an opportunity for a market participant to leverage the price spread. In the neighbouring domain, electricity price forecasting, deep learning has proven to excel. Therefore, it is hypothesised that it will do so in directional price spread forecasting as well. A quantitative case study was performed to investigate how accurately a deep learning approach could be in directional electricity price spread forecasting. The case study was conducted on the Nordic electricity exchange Nord Pool in the SE3 region. The deep learning approach was compared with previously suggested machine learning models and a naive heuristic. The results show no statistical difference in error rate between the deep learning model and the machine learning model or naive heuristic. The results suggest that deep learning might not be a suitable approach to the task or that the implementation did not fully exhaust the potential of deep learning. / Vanligtvis behandlas marknaden för day-ahead och intraday på elbörsen separat i den akademiska litteraturen. En modell som prognostiserar riktningen för prisskillnaden mellan dessa två marknader skapar dock en möjlighet för en marknadsaktör att utnyttja prisskillnaden. I grannområdet elprisprognoser har djupinlärning visat sig överträffa andra typer av modeller. Därför antas det att djupinlärning även kommer göra det i riktade prisskillnadsprognoser. En kvantitativ fallstudie utfördes för att undersöka hur precis en djupinlärningsmetod kan vara i prognos för riktad elprisskillnad. Fallstudien genomfördes på den nordiska elbörsen Nord Pool i SE3-regionen. Djupinlärningsmetoden jämfördes med tidigare föreslagna maskininlärningsmodeller och en naiv heuristik. Resultaten visar ingen statistisk skillnad i fel-andel mellan djupinlärningsmodellen och maskininlärningsmodellen eller naiv heuristik. Resultaten antyder att djupinlärning kanske inte är ett lämpligt tillvägagångssätt för uppgiften eller att implementeringen inte helt utnyttjar potentialen för djupinlärning.