Made available in DSpace on 2010-04-20T21:00:49Z (GMT). No. of bitstreams: 4 Claudio Silva Fernandes.pdf.jpg: 15531 bytes, checksum: 06624c6396692b27555a76bc097ad3c1 (MD5) Claudio Silva Fernandes.pdf.txt: 168107 bytes, checksum: b9af0f030138df1201e2fa9cb58af88d (MD5) Claudio Silva Fernandes.pdf: 1959114 bytes, checksum: 949b0ca856496444c59519b11fe20dea (MD5) license.txt: 4886 bytes, checksum: 42bde912d1e71b353a73ebd1e1e92eb2 (MD5) Previous issue date: 2009-02-03T00:00:00Z / The objective of this paper is to present a revision of the empirical literature of rational expectations and market efficiency of the foreign exchange market and to test this revision over the Brazilian foreign exchange market between 2002 and 2007 in three different forecast horizon, using (i) survey data of the Brazilian Central Bank to identify if predictable forward bias is due to the risk premium or the expectational errors, and (ii) the ordinary least square and vector autoregression. While in the short run, the market is efficient and irrational, in the long run, the forward in not related with the spot. In addition, we conclude that the heterogeneity of the market agents influence the foreign exchange variation in the short run, and the expectations are persistent after an shift in the regime. / O objetivo desse trabalho é apresentar revisão da literatura empírica sobre a racionalidade das expectativas e eficiência do mercado de câmbio e aplicar essa revisão sobre o mercado de câmbio brasileiro entre 2002 e 2007 em três horizontes distintos de tempo, utilizando-se (i) de dados da pesquisa Focus do Banco Central do Brasil para podermos identificar se o viés de predição do forward é devido ao prêmio de risco cambial ou a formação das expectativas e (ii) dos métodos dos mínimos quadrados ordinários e do vetor auto-regressivo. No curto prazo o mercado é eficiente e irracional, enquanto que, no longo prazo, o forward não está relacionado com o câmbio à vista. Além disso, constatamos que a heterogeneidade dos agentes nesse mercado influencia a variação cambial no curto prazo, e as expectativas possuem uma persistência após um choque estrutural.

The topic of this thesis is the evaluation of risk in enterprise. First section summarizes common knowledge related to investment process and states methods used for analysis of risk and investments efficiency. Second part evaluates economic efficiency and risk of a future investments in the particular enterprise. Projects are critical to the realization of performing organization's strategies. Each project contains some degree of risk and it is required to be aware of these risks and to develop the necessary responses to get the desired level of project success. Because projects' risks are multidimensional, they must be evaluated by using risk evaluation methods. The aim of this part is to provide an analytic tool to evaluate the project risks. At first the thesis analysis net present value and other investment criteria of the construction project without risk factors. Subsequently the projects' risks are are evaluated by using risk premium. To study of how projected performance varies along with changes in the key assumptions on which the projections are based is used the sensitivity analysis. The main sources for data was the enterprise environment.

Exchange rate economics has achieved substantial development in the past few decades. Despite extensive research, a large number of unresolved problems remain in the exchange rate debate. This dissertation studied three puzzling issues aiming to improve our understanding of exchange rate behavior. Chapter Two used advanced econometric techniques to model and forecast exchange rate dynamics. Chapter Three and Chapter Four studied issues related to exchange rates using the theory of New Open Economy Macroeconomics. Chapter Two empirically examined the short-run forecastability of nominal exchange rates. It analyzed important empirical regularities in daily exchange rates. Through a series of hypothesis tests, a best-fitting fractionally integrated GARCH model with skewed student-t error distribution was identified. The forecasting performance of the model was compared with that of a random walk model. Results supported the contention that nominal exchange rates seem to be unpredictable over the short run in the sense that the best-fitting model cannot beat the random walk model in forecasting exchange rate movements. Chapter Three assessed the ability of dynamic general-equilibrium sticky-price monetary models to generate volatile foreign exchange risk premia. It developed a tractable two-country model where agents face a cash-in-advance constraint and set prices to the local market; the exogenous money supply process exhibits time-varying volatility. The model yielded approximate closed form solutions for risk premia and real exchange rates. Numerical results provided quantitative evidence that volatile risk premia can endogenously arise in a new open economy macroeconomic model. Thus, the model had potential to rationalize the Uncovered Interest Parity Puzzle. Chapter Four sought to resolve the consumption-real exchange rate anomaly, which refers to the inability of most international macro models to generate negative cross-correlations between real exchange rates and relative consumption across two countries as observed in the data. While maintaining the assumption of complete asset markets, this chapter introduced endogenously segmented asset markets into a dynamic sticky-price monetary model. Simulation results showed that such a model could replicate the stylized fact that real exchange rates tend to move in an opposite direction with respect to relative consumption.

In context of the forthcoming Corporate Sustainability Reporting Directive, this study examines how scope 3 emissions and the reporting thereof affect the cost of debt. Further, it investigates how scope 1 emissions affect the cost of debt and how the two scopes differ in materiality. As a theoretical foundation, this thesis uses previous research on environmental risk management, carbon risk premium, scope 3 emissions and cost of capital. By collecting a sample of 1710 firm-year observations for publicly listed European companies during the period 2019-2022, this quantitative study utilizes fixed effect regression models to find the relationship between scope 3 emission and cost of debt. No evidence of a relationship between scope 3 emissions and cost of debt is found. When looking at scope 1 emissions, the results show that companies with lower scope 1 emissions are rewarded by creditors with a reduced cost of debt. Regarding reporting of scope 3 emissions, we find no evidence suggesting that scope 3 disclosure lowers the cost of debt.

No description available.

The aim of the work is to analyze the theoretical basis of determination of the market risk premium in conditions of the national market in the Czech Republic with CAPM and practical procedures of its determination using the market data provided by Bloomberg. The work addresses some open problems of practical determination of market risk premium as a choice between historical and implied risk premium, determination of credit spread as a representative of country risk and accurate determination of the equity and bond market volatility ratio. The thesis also contains research on the cost of equity and single-factor sensitivity analysis demonstrating the significant influence of a small change in one parameter entering the calculation of the discount rate on the resulting value.

研發支出之會計處理，一直以來，因著研究發展之特性，始終有著相當分歧的看法。由於研究發展支出具有長期性及未來的經濟效益，有人主張將其以「資本化」方式處理；亦由於研究發展支出具有高度的風險與不確定性，有人主張將其以「費用化」方式處理。 Shi(2003)認為研究發展支出資本化與費用化之爭論，正反映了研發支出未來效益及其風險間之抵換關係(trade-off)，亦即，若研發支出之未來效益大於其風險，則較傾向將其資本化，其會計處理同於一般的無形資產；相反地，若研發之風險大於其未來效益，則較傾向將其以費用化方式處理，於發生當期即以費用入帳。 本研究以台灣債券市場為研究對象，探討研發支出未來效益與風險間之抵換關係，文中檢視「債券風險衡量因子」(bond risk measures)與「研究發展支出」之相關性，並以「債信評等等級」與「債券風險溢酬」為債券風險衡量因子，決定平均數效果(預期未來效益)與變異數效果(風險)於債券的評價上何者較為顯著。 一般而言，以債券投資者的角度觀之，若「債券風險衡量因子」與「研究發展支出」兩者呈現負相關，亦即平均數效果較強，則代表研究發展之未來預期效益大於研究發展之風險；若此兩者呈現正相關，亦即變異數效果較強，則代表研究發展之風險大於研究發展之未來預期效益。本研究之實證結果與發現如下： 1.對全體樣本而言，研發支出與債信評等等級呈顯著之正相關(本研究採用TCRI為債信評等衡量變數，等級愈高，風險愈大)，代表研發支出之風險大於其未來效益。然研發支出與債券風險溢酬之關係未達統計顯著水準，無法再次驗證上述結果。 2.對電子業樣本而言，與上述對全體樣本之結論相同。 3.對非電子業樣本而言，研發支出與債券風險溢酬為顯著之負相關，代表研發支出之未來效益大於其風險。然研發支出與債信評等等級之關係未達統計顯著水準，無法再次驗證上述結果。 4.在全體樣本、電子業樣本、及非電子業樣本中，將研發支出以費用化或資本化方式予以衡量，兩者之實證結果並無不同，顯示兩者對研發支出未來效益與風險間之抵換關係並無顯著差異存在。 5.電子業與非電子業所獲之結論不同，再次驗證產業別對於研發支出之效果確實有其差異性。 6.針對電子業而言，本研究之實證結果較傾向以費用化之方式處理其研發支出；然針對非電子業而言，較傾向以資本化之方式處理之。 / The debate about the alternative accounting treatments of R&D expenditures reflects trade-offs between the future benefits of R&D and its risk. In general, if the uncertainty regarding future benefits is not so high that it disqualifies the measurability criterion of asset recognition, then one may argue in favor of capitalizing R&D expenditures (as is typical for intangible investment). Conversely, if future outcomes are risky and unpredictable, the expensing treatment may be warranted. This is study examines the associations among bond risk measures (bond rating and risk premium) and R&D expenditures to determine whether their mean effect (expected future benefits) or their variance effect (risk) is more significant in pricing bonds. In general, from the perspective of bondholders, a negative correlation between bond risk parameter and R&D expenditures would indicate a stronger mean effect; that is, the expected future benefits of R&D expenditures are more than enough to compensate for the added risk of R&D. Conversely, a positive correlation would imply a stronger variance effect that swamps the mean effect of future benefits from R&D expenditures. The empirical results indicate follows: (1) For all samples, R&D expenditures are significantly positively associated with bond rating. The evidence suggests that, from the perspective of bondholders, the risk and uncertainties of R&D appear to dominate its expected future benefits. However, R&D expenditures have no significant effect on risk premium. (2) For electronic industry samples, the empirical results are the same with all samples. (3) For nonelectronic industry samples, R&D expenditures are significantly negatively associated with risk premium. The evidence suggests that, from the perspective of bondholders, the expected future benefits of R&D appear to dominate its risk. However R&D expenditures have no significant effect on bond rating. (4) The interpretation of this issue are not significant different through the expensing and capitalizing of R&D expenditures. (5) The industry effect is supported by the empirical results that show different effects of R&D on the bond risk measures between electronic industry and the nonelectronic industry. (6) The results indicate that it may be in favor of expensing R&D expenditures for electronic industry and capitalizing R&D expenditures for nonelectronic industry.

近年來的研究顯示英美兩國的無風險利率存在著星期效應，但其股市報酬率的星期效應卻逐漸消失、甚至有反轉，因此本研究想探討台灣加權股價指數報酬率與無風險利率，是否存在著星期效應，抑或跟隨英美兩國的腳步，星期效應不再。此外，本研究亦探討風險溢酬的星期效應，試圖從中解開風險溢酬之謎(Equity Risk Premium)。 行政院於1998年至2000年實施「公務人員每月二次週休二日實施計劃」，台灣股票市場因此實施隔週休二日的制度，這特別的休市制度正好提供本研究進行交割效應假說所需的特殊樣本。認售權證正式於2003年7月上市掛牌買賣，因此去年下半年開始發行的認售權證交易量，亦正好提供本研究檢定投機放空假說所需的樣本。 實證結果顯示，大盤指數報酬率與風險溢酬有顯著的星期效應與週末效應，一週之中每日的報酬率並不相等，其中以週五與週六為最高，有顯著為正的報酬。而週一與週二平均報酬率為負但不顯著。而無風險利率有顯著的星期效應，但週末效應卻不顯著，一週之中每日的利率雖不相等但均顯著異於零。 更進一步探究報酬率、風險溢酬之星期效應與週末效應的成因，發現此星期效應、週末效應支持資訊處理假說、正向回饋假說與投機放空假說；但是卻不支持交割效應假說淤測量錯誤假說。因此得知台灣股票市場報酬率與風險溢酬之星期效應與週末效應的成因，乃為投資人在工作日與非工作日資訊處理成本的差異而導致；此外，過多的融券交易量亦為造成星期效應與週末效應的成因之一。 關鍵詞：星期效應、週末效應、風險溢酬、TLS模型、Power Ratio

我國加入WTO之後，為因應先進國家自由化、國際化的潮流和趨勢，以及追求我國保險制度的健全發展，保險主管機關乃決定將過去長期採用的規章費率改為自由費率。而為了避免對保險業的衝擊過大，乃將整個費率自由化的時程分成三個階段實施，以達到逐步開放產險市場的目標。費率自由化的目的主要是希望能藉此廢除不合理干預市場機制的法規，並建立合理的競爭環境，以及保護消費者的權益等。事實上，費率自由化並不是盲目的開放市場，而是藉由有制度的監理，確保保險業有足夠的清償能力，並且維護市場秩序和紀律。 從歐、美及日本等國在費率自由化的發展趨勢及經驗來看，費率自由化的實施已成為一種不可抵擋的趨勢，而保險業者為了能在競爭的市場中生存，都會積極的推出新產品、新通路，並提出各項經營策略以為因應，因為也唯有如此才能立足於保險市場，也不會在這股洪流中被淹沒。 就我國的現況來看，民國91年開放的第一階段費率自由化，主要是以放寬「附加費用率」為主，就「危險保費」部分得讓業者做有限度的偏離，則在第二階段始予以開放，惟保險公司必須依規定檢具各項資料先行向主管機關申請。至於最後一個階段除了強制保險外，其餘之商品均得由業者自行釐定費率，簡單的說，從第三階段開始費率就全面自由化了。 本篇論文主要目的係探討費率自由化之相關議題。首先介紹費率自由化之意義與實施源由，接著將闡述各歐美先進國家之發展狀況與衝擊，最後，則根據各國實施費率自由化的經驗，以及我國汽車保險市場的實際情況，提出實施費率自由化後的趨勢分析，而面對未來車險市場的變革，也提出個人幾點因應之道，期望所有的保險業者都能藉由努力提昇獲利力，在競爭的車險市場中各占有一席之地，並且也期盼本文對於日後在費率自由化的研究上，能提供業者作為參考。 / After Taiwan’s entrance into WTO, insurance authorities decide to follow the trend of internationalization and liberalization and adopt rate deregulation, for soundness development of insurance market. To avoid heavy impact on insurance companies, authorities divide the plan of rate deregulation into three phases, in order to open the property/casualty market gradually. The objective of deregulation is to eliminate the improper control, and to establish a rational competition environment for protecting consumers’ rights. In fact, the main purpose of rate deregulation is to ensure insurers’ solvency and to maintain the discipline of the insurance market. The implementation of rate deregulation is an inevitable trend in the world, many insurers make a great deal of efforts to develop the various products and channels to increase market share. From the prospective of Taiwan’s condition, the first stage of rate deregulation focuses on releasing the restrictions of “loading expenses” and making “risk premium” relax limited. The main purpose of the second stage is to deregulate “risk premium” completely, but insurers should report the relevant information and files to authorities concerned in advanced. In the last stage, insurers can rate all products individually other than compulsory insurance. That is, it will be a fully liberalization stage. The purpose of the study aims to clarify several issues. First, the study introduces the reasons of the implementation of the rate deregulation. Second, the study elaborates the background and influence of the experience of rate deregulation in every developed country as well. Meanwhile, the study makes descriptions of the current situation of Taiwan. Finally, according to the experience of rate deregulation of every country and the condition of Taiwan, the study analyzes the trend of implementation of rate deregulation and suggests several strategies to deal with the potential influence which may be helpful to insurers in Taiwan.

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