This thesis examines the impact of shocks in spot prices on long-term forward contracts in power markets. A unique comparison of efficiency of German and Hungarian power markets is provided. The risk premium on week-ahead forward contract is scrutinized by both data inspection and by unbiased forward rate hypothesis (UFRH) testing. Additionally, the ex-post market's prediction error for this product is explained by main drivers of spot electricity price, which are presented in section devoted to introduction to power markets. Expectedly, Hungarian forwards with longer time-to-delivery are found to react heavily on spot market shocks after controlling for changes in short-run marginal costs of conventional power plants. Such outcome applies both to intra-day and weekly time horizons. However, this evidence was not found for German market. These results point out to immaturity and the presence of inefficiencies in Hungarian power market. However, Hungarian risk premia on week-ahead and day-ahead forward products turn out to be considerably lower than for Germany. This was confirmed by UFRH tests on week-ahead forward contracts, where a significant risk premium was found in Germany as opposed to Hungarian risk premium. This finding is surprising since Hungarian spot prices are more prone to upward...

本文以1997年6月至2016年7月臺灣上櫃股票市場做為研究樣本，透過建立一Bivariate Diagonal BEKK GARCH (1,1)-in-mean模型，並以大盤週轉率形成之總合流動性指標與大盤超額報酬率之共變異數做為系統流動性風險之衡量指標，觀察系統流動性風險在臺灣上櫃股票市場是否有被訂價。結論除發現系統流動性風險有確實被訂價外，系統流動性風險溢價還兼具穩定性，且對市場超額報酬率有顯著的影響力。 / By constructing a bivariate diagonal BEKK Garch (1,1)-in-mean model and using the covariance between the excess market return and turnover rate as aggregate systematic liquidity proxy, the study tries to examine whether systematic liquidity risk was priced on Taiwan OTC stock market during the period of June 1997-July 2016. Based on monthly data, the findings suggest that not only the systematic liquidity risk was well priced on Taiwan OTC stock market, but the phenomenon also possessed stability and could have significant impact on stock returns.

Diploma Thesis focuses on Fed Model testing and its credibility on market data. The research is based on Gordon Model and Capital Asset Pricing Model (CAPM), it explains, what the basic features of the Fed Model are and describes its derivation from Gordon Model. The Thesis shows possible Fed Model limitation. It uses the US market, Great Britain and Germany 1979 -- 2011 data to demonstrate validity of the model. Eventually possible reasons of Fed Model development in period 2002 -- 2011 are presented.

[pt] Esta dissertação tem como objetivo buscar evidências de prêmio de risco a partir do mercado de opções e de futuro de dólar no Brasil. Para isso dois ensaios foram realizados: um que mede o prêmio de risco por volatilidade no mercado de opções e outro que mede o prêmio de risco cambial no mercado futuro. No primeiro caso, o prêmio é estimado como o excesso de retorno de um portfolio protegido. No segundo caso, o prêmio é estimado com base na Teoria da Paridade de Juros ajustada a risco pelo modelo CGARCH-M. Verificou-se evidências de forward bias puzzle e de prêmio de risco por volatilidade e cambial ambos negativos e variantes no tempo. O primeiro é responsável por aumento nos preços das opções de moeda enquanto o segundo é consistente com a teoria de média-variância, ou seja, o investidor avesso ao risco requer mais retorno com o aumento do risco. Além disso, choques não antecipados possuem influência na determinação do componente de longo prazo da volatilidade do prêmio de risco cambial. Em momentos de incerteza global no mercado e aumento nas restrições de liquidez a volatilidade de curto prazo se eleva. Entretanto somente com o prêmio de risco não é possível explicar os preços viesados. Portanto, são necessários estudos futuros que envolvam tanto custo de transação, quanto o desenvolvimento de modelo econômico mais tratável para determinação da taxa de câmbio. / [en] This work aims to seek evidence of risk premium in the option and future foreign exchange markets of dollar in Brazil. For that we used two essays: one that measures the premium for volatility risk in the option market and other which measures the currency risk premium in the future market. In the first case, the premium is estimated as excess return of hedge portfolio. In the second case, the premium is estimated based on risk-adjusted Interest Rate Parity Theory from a CGARCH-M model. There was evidence of forward bias puzzle and premium for volatility and for currency risk both negative and time-varying. The first is responsible for increasing currency option price, while the second is consistent with the mean-variance theory, so risk averse investors required more return when they face higher risk. In addition, unanticipated shocks have an influence in determining the long-term volatility component of currency risk premium. In times of global market uncertainty and increasing liquidity constraints the short-term volatility raises. But only the risk premium can not explain the price biased. So transaction cost and a more effective economic model must be including in futher studies about exchange rate discovering.

[pt] O Prêmio de Risco do mercado acionário, infelizmente, não possui uma definição universalmente aceita. O material já publicado sobre o tema Prêmio de Risco do mercado acionário é muito vasto e abrangente, abordando desde análises ex- post sobre dados históricos (com diversos períodos amostrais, intervalos de observação, fatores de ajuste e em diversos países) até estimativas do prêmio ex-ante através dos mais variados modelos baseados em variáveis tais como aversão a risco, crescimento do consumo, dados contábeis e dividend yield, entre outros. O objetivo desta dissertação será analisarmos uma condensação das várias abordagens utilizadas, seus resultados e contribuições. Frente as significativas diferenças encontradas ao se computar o prêmio de risco, é fundamental o usuário da estimativa do prêmio de risco saber claramente qual a definição usada na estimativa e por que tal definição seria apropriada para seu propósito particular. No final dessa dissertação realizaremos uma estimativa do prêmio de risco no Brasil com base em um estudo de 1993 realizado pela McKinsey e Company, Inc. / [en] Unfortunately, there is no universally accepted definition of the Equity Risk Premium. Available material on the theme are very broad and deep, ranging from ex-post analysis on historical data -with distinct samples in different time periods- to ex-ante estimates of the equity premium making use of several models based in variables such as risk aversion, consumption growth, accounting data and dividend yield, among others. The objective of this paper will be to analyze a compilation of several approaches taken, their results and contributions. In face of the significant differences presented when computing the equity premium, it is key for the investor who will make use of the equity premium estimate to know clearly which definition of the premium he will be using and why is that definition appropriate for his particular purpose. In the final chapter we will estimate the equity risk premium in Brazil based on a study developed in 1993 by McKinsey and Company, Inc.

När propositionen för ett reformerat studiestödssystem lades 1999 poängterades det att studiestödssystemet skulle bära sina egna kostnader. Trots det skrivs stora belopp av. Både Riksrevisionen och Riksgälden har visat att CSN inte använder vedertagna metoder vid beräkningen av det som förväntas gå förlorat på grund av misskötta betalningar. Uppsatsens syfte har varit att skatta vad misskötta betalningar väntas kosta staten i form av framtida avskrivningar samt beräkna vad det skulle innebära för individen att istället bära kostnaden. Som en del i det arbetet har även faktorer som påverkar sannolikheten för misskötta betalningar av studielån identifierats. Resultaten av denna uppsats har bland annat visat att sannolikheten för misskötta betalningar är lägre för individer med eftergymnasial utbildning, hög skuld och låg ålder. Statens kreditförluster på studielån för till exempel individer som blev återbetalningsskyldiga under 2012 förväntas bli mellan 100 och 338 miljoner kronor. Om denna kostnad istället skulle bäras av årskullen innebär det en kostnadsökning på 2,2-7,8 procent för en individ med genomsnittlig skuld.

本研究兩個研究主題(1)在不同景氣變動狀態下，殖利率曲線變動與動態避險策略的選擇；(2)不同景氣循環下，債券風險貼水的變動情形。景氣領先指標是一簡單明確訊號，其對於債市參與者改善投資、避險決策之效度應是有趣課題。景氣變動程度不同時，殖利率曲線變動情形亦有所不同；投資人需視殖利率曲線變動情形，選擇不同動態避險策略。當景氣上升時，殖利率曲線短期利率波動幅度大於長期利率波動幅度，以Khang(1979)模式建構動態避險策略；景氣波動程度不大，長短期利率波動方向不一，以多因子模式建構動態避險策略；而當景氣大幅度下降，短期利率下降幅度小於長期利率下降幅度，建議以Bierwag(1977)模式建構動態避險策略。國內動態避險實證分析上，黃慶堂與王芳妮（民80）以Macaulay(1938)、Bierwag(1979)、Khang(1979)與Chambers et al.(1988)模式作分析，Chambers et al.(1988)表現較傳統Macaulay(1938)模式優；史綱與丁子雲(民80)發現以Macaulay1938)模式建構動態避險策略，與長期持有公債收益率無顯著差異。所以Macaulay(1938)模式無法應付國內債券市場的需求，機構投資人應該因應殖利率曲線隨景氣變動情形，選擇較佳動態避險策略規避風險。 　　隨著發行與交易規模的快速成長，以及景氣狀況遞移，我國債市各工具殖利率結構在未來勢必會改變，景氣狀況變化之可能影響，是本研究試圖勾勒的要項；市場結構改變，會造成未來殖利率曲線大幅變化。本文只是推介數種存續期間模式，並討論如何增加嚴謹度。 　　不同景氣循環下，時間風險貼水隨景氣繁榮而擴大，使得公債市場上多為附買回保證金交易形式，投資期長多為固定（附買回契約的期長），投資人所賺取的多為長短期利差；而景氣衰退時，利率相對較低，債券價格高漲，投資人所賺取的多為債券價差，投資期長較不一定；信用風險貼水則因台電公司債稀釋效果、流動性貼水的變動以及信用風險貼水看法不一，而無法確定其與景氣循環的關係；而交易成本貼水方面，證交稅及交易規範形成進入公司債市場的障礙，景氣衰退時，由股市釋出資金，大多進入公債市場，形成短期避險資金，所以當股市出現轉機時，資金轉入股票市場；所以當景氣衰退，公債與公司債殖利率的差距會擴大。本研究副產品是發現公司債稀釋效果顯著，一般公司債發行金額均為五千萬元左右，而台電在四次發行公司債時，金額在五億上下，當台電公司債增加發行量時，台電公司債整體價格下降，殖利率上升，使得一般公司債與台電債券間殖利率差距縮小。銀行擔保效果方面，雖然發行公司會考慮到本身市場評價，選擇公民營銀行作擔保機構，讓其公司債信用等級與其他公司債的信用等級一致，但是公營銀行擔保的公司債殖利率較無擔保公司債低，民營銀行擔保效果亦為統計顯著，而且公民營銀行擔保效果有顯著的差異。

本文主要針對台幣兌換美元的匯價，採用移動平均法則給定的交易訊號模擬交易，透過模擬交易得到顯著異於零的超額報酬，試著利用條件資本資產定價模型解釋超額報酬與風險之間的關係。實證結果顯示：在傳統資本資產定價模型下，超額報酬無法透過承擔風險所獲得風險貼水來解釋，但加入金融危機事件的影響後，發現在金融危機期間，市場風險係數下降，異常報酬增加，表示在此期間，即使市場大盤表現不佳，技術分析仍能成功捕捉台幣兌換美元的匯價變動趨勢，使金融危機期間的技術交易報酬平均高於金融危機前後。

Die Arbeit ANLEIHERATING UND BONITÄTSRISIKO untersucht die Zusammenhänge zwischen dem Rating von Anleihen, dem Risiko dieser Anleihen sowie ihren Risikoprämien (Spreads). Dazu wird in einem ersten Schritt - auf analytischer Ebene - untersucht, wie Ratings vergeben werden und welchen Einschränkungen sie unterliegen. Die wichtigsten Einschränkungen für den Kapitalmarkt hinsichtlich der Ableitung von quantitativen Risikogrößen (Ausfallwahrscheinlichkeit und ggf. Ausfallschwere) sind: Ordinalität und Relativität der verwendeten Skalen; die Zeitverzögerungen bei Ratingänderungen; die Intransparenz, Subjektivität und Urteilsunabhängigkeit des Ratingverfahrens bzw. der Ratingagenturen; die Erstellung von auftragslosen Ratings; die mangelnde Vergleichbarkeit von Ratings (zeitlich, zwischen Emissionen und zwischen Agenturen); die fehlende Äquidistanz von Ratings; das Risiko fehlerhafter Ratings. In einem zweiten Schritt wird empirisch untersucht, in welcher Höhe vom Markt Spreads (Überrenditen gegenüber den als risikolos geltenden Bundesanleihen) - je nach Rating - für bestimmte Anleihen gefordert werden. Datenbasis sind Kupon-Anleihen (ohne Sonderrechte) des DM-Euromarktes mit täglichen Kursen im Zeitraum Januar 1990 bis Dezember 1995. Die Untersuchungen bestätigen die Relativität: Ratings definieren nur im langfristigen Durchschnitt die Renditeabstände zwischen den verschiedenen Klassen. Kurzfristige Veränderungen der Spreads hingegen hängen von Veränderungen des allgemeinen Zinsniveaus und dem Verlauf der Zinsstrukturkurve ab. Diese beiden Größen weisen dabei einen negativen Einfluß auf, d.h. Zinserhöhungen führen zu Verringerungen der Spreads. Grundsätzlich gilt dabei aber, dass diese Effekte umso stärker ausfallen, je geringer die Bonität der Anleihen ist. Zusätzlich hängen die Spreadänderungen auch (positiv) von Veränderungen der Spreads der jeweils anderen Klassen ab. Als mögliche Erklärungsansätze bieten sich für diese Beobachtung auch an, dass der Markt Schwankungen der erwarteten Ausfallwahrscheinlichkeiten antizipiert und/oder Veränderungen der allgemeinen Risikoeinstellung vorliegen.

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