本論文共一冊，計八萬字，分五章十五節。 本研究主要目的有三：（一）探討國內股票市場是否符合半強強效率市場假設，（二 ）探討股票價格是否正確充分地反映國內油品價格調整之資訊，（三）了解油品價格 調整對各產業股票價格之影響程度。 本研究由台灣石油公司業務處取得（六十六年至七十五年）油品價格調整時期及調整 福度，並由證交資料及經濟日報、工商時報取得各產業（水泥窯製類、食品類、塑膠 化工類、紡織纖維類、機電類、造紙類及營造建材類）的股價指數及股市發行量加權 股價指數。採用市場模式研究，並以D－W檢定,Ｒ2值、t檢定、F檢定、Kolmogorov－ Simirnov D－Statisitic檢定及Tukey之Stem Leaf圖示、Box 圖示來確定模式。再以 殘差分析（包括平均殘差分析及累積平均殘差分析）及異常績效指標分析檢驗證半強 勢效率市場之假設。 本研究結果發現，在油品價格調整日之前有資訊效果，在調整日之後，市場顯現效率 性，總合來說，國內股市符合半強勢效率市場之假設。

本論文共一冊，約六萬字，分為五章。 本論文之主要目的有二：其一是探討利率變動對台灣股票市場是否具有「情報效果」 ，並進一步檢定台灣股票市場是否為一半強式的效率資本市場；其二是比較不同產業 的股票對利率風險的敏感性是否相同？ 研究期間自民國６５年起，至７４年止，共計９年。實證結果顯示，利率下降期間， 股票市場具有負的異常報酬。由此可知，利率變動的確含有「情報效果」。而且，利 率與股價二者之間為負相關，即利率下降對股票市場而言，為一「好消息」；反之， 利率上升則為「壞消息」。不過，雖然上述的結果成立，可是並未達統計上的顯著性 （異常報酬未顯著異於零）。其次，實證結果也顯示，不同產業的股票，對利率風險 的敏感生並沒有顯著的差異。

本論文共一冊，約四萬字，分為五章，十六節。 本論文主要在探討現金增資公告對股票價格的影響，以了解現金增資公告是否具有「 情報效果」，並進一步檢定台灣的股票市場是否符合「半強式效率市場假說」，亦即 是否目前的證券價格充分地反映了所有已經公開的情報。 本研究利用市場模式來估計個別證券的預期報酬率，而實際報酬率與預期報酬率的差 ，即表示消除了市場因素影響後，個別證券所持有的變動，再利用平均誤差及累積平 均誤差來顯示現金增資公告日前後四十一天內報酬率異常變動的情形，並使用幾種不 同的統計量來檢定這些異常報酬率是否具有統計上的顯著性。

面對市場未來趨勢的不確定性，投資者可以運用「投資組合保險」的概念，既能保障原本所投資的資產價值，又可以參與市場上漲時的獲利。本研究以類神經網路來研究證券市場的現象，一方面是已經有許多類神經網路在財務分析上的研究成果，另一方面是其具有學習以及預測的能力。 本研究首先探討投資組合保險策略，接著再比較投資組合保險策略在不同市況下的績效表現，隨後提出兩個階段的研究架構，經過設計與建置，以類神經網路模型進行對大盤未來漲跌型態的模擬預測，並利用預測的結果，輔助投資組合保險策略的決策，最後並將研究結果與大盤績效做綜合分析比較。 本研究的資料採取自台灣證券集中交易市場，期間為1991年1月3日至2002年12月31日，共3306個交易日，取大盤每日交易之歷史資料，經過處理後建立資料庫。類神經網路模型具有預測未來大盤漲跌區間的能力，在本研究所提出的漲跌區間劃分方式上，其預測正確率達到55%，預測的結果與實際漲跌完全相反的比例僅10%，其餘的35%為相鄰區間的預測誤差，其預測能力有助於投資組合保險策略的進行。 經過類神經網路模型輔助而進行的停損策略（SL），其年報酬率以及Sharpe Ratio，在大盤下跌的期間，兩個績效指標衡量結果皆為正值（21.125%＞0以及980.493＞0），充分發揮保險功能；而在大盤上漲的期間，兩個績效指標衡量結果皆優於大盤（46.544%＞17.137%以及393.808＞110.069）。 在年報酬率與Sharpe Ratio之間，本研究主張在探討投資組合保險時應著重風險的衡量，因此經過類神經網路模型輔助而進行的固定比例投資組合策略（CPPI），搭配槓桿乘數M值的調整，在大盤下跌的期間，其Sharpe Ratio依然可以維持正值，達到保險的效果，保護投資人的資產免於損失；而在大盤上漲的期間，其Sharpe Ratio更是高於大盤，可以享受資產價值提昇的獲利。 / Facing the uncertainty of the market trend, an investor can use the concept of “ Portfolio Insurance ” to protect the value of his portfolio in bear market and earn the benefit from bull market. There have been many researches about applying Neural Network in the financial analysis and Neural Network has the abilities to learn and forecast. This research evaluates the performances of the portfolio insurance strategies in different market trends. Then two-stage research structure has been designed and built. The first stage is forecasting the up-and-down trends of the equity market index by Neural network model. The second stage is using the forecasted results assisting the portfolio insurance decisions. Finally, the results of this research have been analyzed and compared with the benchmark. The Neural Network is able to forecast the future up-and-down trends. The accurate rate is 55%. During the bear market（2002）, the annual rate of return and Sharpe Ratio of the stop loss（SL） strategy which is assisted by NN are both positive（21.125%＞0 and 980.493＞0）. During the bull market（2001）, they both outperform the benchmark（46.544%＞17.137% and 393.808＞110.069）. The annual rate of return is more important than Sharpe Ratio because the risk measurement is an important factor in portfolio insurance strategy. Sharpe Ratios of the CPPI strategy which is assisted by NN outperform the benchmark in both above mentioned bear and bull market. In short, the SL and CPPI strategy assisted by NN not only protect the value of the portfolio from losing in bear market but also gain profit in bull market, so they are the ideal portfolio insurance strategies.

無 / This study establishes a model of the stock market involving the rational speculators to investigate whether the imposition of tax on capital gains can reduce the market volatility. The finding is that the effect of tax on the stock price volatility varies according to the types of shocks hitting the market. In the cases of the issuing shock and the dividend shock, raising the tax rate could be a way to stabilize the stock market. On the contrary, when the margin-rate shock occurs, it tends to magnify the effect of the shock and therefore increases the market volatility. Thus, it could be concluded that an increase in the tax rate may increase or decrease the stock price volatility depending on the type of unexpected shocks.

隨著所有權與經營權日益分離因而引發代理問題，由於所有者與經營者之間存在著資訊不對稱(Information Asymmetry)，而引發監督等代理成本。本研究探討股權結構與公司價值之間的關係，究竟是支持「利益收斂假說」或是「利益衝突假說」，並探討公司內部人、機構法人是否能發揮監督功效，而提升公司價值，反應在股價是否為正向關係。而公司內部人若能適當監督產生正面效益，能使公司價值提升。機構法人為理性投資者，由於有專業團隊蒐集資訊進行投資分析，因此機構法人持股比例的高低具參考價值，對於公司股價具有影響力，故機構法人持股可視為另一股監督力量。 本研究採用2001年至2007年台灣TFT－LCD產業的追蹤資料，搭配固定效果模型，以股價為公司價值之代理變數，並將股權結構視為其他資訊之代理變數，來探討股權結構對於股價是否具有顯著解釋力。根據實證結果顯示，機構投資持股與公司價值呈顯著且正向關係，結果支持「效率監督假說」。其次，內部人持股比例對股價的造成的影響呈顯著且正向關係，研究結果與「利益收斂假說」吻合。並發現投信持股比例雖低，但其對股價的影響力較外資及內部人來的大。 / The increasing demand for the separation of ownership and management control has led to concerns on agency problems. The existence of information asymmetry between the owner and the management team has resulted in various agency costs, including supervision-related expenses, etc. In this dissertation, we try to study the relationship between ownership structure and corporate value, so as to determine whether the Convergence of interest Hypothesis or the Conflict of interest Hypothesis should be supported. We also try to probe whether the insiders of a company or the institutional investors are able to fully play their supervisory roles to increase the value of the company, and whether these roles have positive correlation with the company’s stock price. The supervisory functions of a company’s insiders, when properly fulfilled, will create positive effects and increase the value of the company. Being rational investors, institutional investors collect information and conduct investment analysis through a professional team. The shareholding by institutional investors, therefore, is indicative and influential to the company’s stock price. Institutional investors are reckoned as another force of supervision. In this research, we used the panel data of the TFT-LCD industry in Taiwan over the period of 2001 to 2007, supported by the fixed effect model. Stock prices are used as the proxy variables of the corporate value, and ownership structure is reckoned as the proxy variable for other information. The analysis is used to determine whether ownership structure has significant interpretation effect on the stock price. The empirical research results show that the shareholding by institutional investors has a significant and positive correlation with the corporate value, which supports the Efficient Monitoring Hypothesis. Further, the ratio of insiders’ shareholding also has significant and positive influence on the stock price. The research results therefore agree with the Convergence of Interest Hypothesis. It was also found that, whilst the ratio of shareholding by the SITE industry is relatively lower, its influence on stock price is greater than the institutional investors and insiders.

Titel: En studie av den positiva marknadsreaktionen vid VD-byten i norden. Nivå: Examensarbete på Grundnivå (Kandidatexamen) i ämnet företagsekonomi Författare: Malin Ahlqvist och Niklas Örn Handledare: Jan Svanberg Datum: 2019 – juni Syfte: Syftet med denna studie var att analysera hur den nordiska marknaden reagerar på tillkännagivandet av en ny VD samt att analysera hur faktorerna; kön, ålder samt rekryteringskrets kan påverka denna reaktion. Metod: Studien har en positivistisk forskningsfilosofi med en deduktiv utgångspunkt. Studien tillämpar en eventstudie, vilket således förknippas med en kvantitativ forskningsmetod. Resultat & slutsats: Studiens resultat visade en positiv marknadsreaktion i Norden i samband med tillkännagivandet av ett VD-byte. Studien visade även en positiv marknadsreaktion för både kvinnor och män. Vidare tyder studien på att marknadsreaktionen är positiv i Sverige och Finland respektive negativ i Danmark och Norge. Marknadsreaktionen för män under medianålder var positiv medans reaktionen för män över medianåldern var negativ, marknadsreaktionen för kvinnor baserat på ålder är motsatta. Studien visade även att det fanns en positiv reaktion då den tillträdande VD:n är internt rekryterad samt en negativ reaktion då den tillträdande VD:n är externt rekryterad. Vissa delar av resultatet var dock inte signifikanta, det gick därför inte att utesluta att vissa delar av resultatet är slumpmässigt. Examensarbetets bidrag: Detta examensarbete bidrog till att fylla det forskningsgap som fanns gällande marknadens reaktion vid VD-byten relaterade till ålder, kön, rekryteringskrets samt ett jämförande nordiskt perspektiv. Förslag till fortsatt forskning: Studien visade vid flera tillfällen en signifikant reaktion dagen före själva tillkännagivandet av VD-bytet, detta ansåg vi vore ett intressant att fortsätta undersöka. Vi skulle med intresse ta del av en studie vilken presenterar en förklaring till denna signifikanta reaktion. Ytterligare tre förslag på fortsatt forskning presenteras i studien. / Title: A study of the positive market reaction to CEO changes in the Nordic region. Level: Student thesis, final assignment for Bachelor Degree in Business Administration  Authors: Malin Ahlqvist and Niklas Örn Supervisor: Jan Svanberg Date: 2019 - June Aim: The purpose of this study is to analyze how the Scandinavian market reacts to the announcement of a new CEO and to analyze how the factors gender, age and recruitment method can affect this reaction. Method: The study has a positivistic research philosophy with a deductive basis. The study applies an Event study and is thus associated with a quantitative research method. Result & Conclusions: The results of the study indicate a positive market reaction in Scandinavia at the announcement of a CEO change. The study also indicates a positive market reaction for both women and men. Furthermore, the study indicate that the market reaction is positive in Sweden and Finland as well as negative in Denmark and Norway. The market reaction for men under median age is positive while the reaction for men over median age is negative, the market reaction for women based on age is opposite to men. The study indicates that there is a positive reaction when the incoming CEO is internally recruited and a negative reaction when the incoming CEO is externally recruited. However, some parts of the results are not significant, therefore it cannot be ruled out that certain parts of the results are random. Contribution of the thesis: This thesis contributes to fill the research gap that exists regarding the market reaction to CEO changes related to age, gender, recruitment method and a comparative Scandinavian perspective. Suggestions for future research: This study shows on several occasions a significant market reaction the day before the actual announcement date of the CEO change, we believe a study to further study the reason behind this result would be of interest. Two more suggestions for further research are presented in the study.

Background: Investors around the globe have debated, for more than 40 years, about whether the dividend yield has an influence on a stock’s price or not. There are different theories supporting both sides. These theories, however, often simplify the real world and therefore may not apply fully. Purpose: The purpose of this paper is to conduct empirical research on the complicated dividend policy topic and find out whether the dividend yield influences a stock’s price by testing for its effect on stock price volatility. This result finds evidence of whether investors disregard, or regard, any dividend payments and if it influences investors decisions when purchasing stock. Method: We take the top valued companies in the non-financial sector from the LSE and the Euronext between the years 2008 and 2017. We then run a Fixed Effect Model regression taking some of their reported values including their dividend yield and their stock price volatility. Conclusion: Our results indicate that the dividend yield a company pays stockholders has a positive influence on the stock price volatility, thus affecting the prices of stocks. These results counter the MM Theorem and are inconclusive with the main principles of the Bird in Hand Theorem by Gordon (1960) and Lintner (1962).

Dans un contexte où l'importance de la Responsabilité Sociale des Entreprises (RSE) va croissante, cette thèse explore la relation entre la RSE et plusieurs attributs financiers des entreprises comme l'information spécifique incorporée dans le prix des actions, le risque de détresse financière des entreprises et le niveau de crédit commercial. Les chercheurs en finance d'entreprise présentent deux points de vue opposés sur la RSE: "Faire le bien est bon pour les affaires" et "La RSE crée des problèmes d'agence". Le premier chapitre aborde brièvement les théories analysant les répercussions financière de la RSE et met en évidence les avantages financiers concomitants aux pratiques responsables. Les entreprises socialement responsables améliorent l'environnement informationnel ce qui complète l'information financière. Dans le deuxième chapitre, nous montrons que la RSE joue un rôle important dans l'amélioration de l'information incorporée dans les cours boursiers. Une meilleure performance RSE est appréciée par les investisseurs et les gestionnaires d'actifs et améliore la disponibilité des financements. Le troisième chapitre explique que les entreprises peuvent atténuer leur risque de détresse financière (Z-score) en améliorant leur performance en matière de RSE. Des entreprises plus responsables promeuvent de meilleures relations avec les parties prenantes grâce à un objectif de confiance et de maximisation de la valeur. Dans le quatrième chapitre, nous constatons que les entreprises socialement responsables ont un meilleur accès au financement (côté fournisseur du crédit commercial) et font plus confiance à leurs clients (côté acheteur du crédit commercial). Par conséquent, cette dissertation fournit un ensemble de résultats soulignant la pertinence et l'importance de "Faire le bien est bon pour les affaires". / In the context of the rapidly growing importance of Corporate Social Responsibility (CSR), this dissertation explores the relationship between CSR and firm financial attributes, like stock price informativeness, financial distress risk, and trade credit. First chapter briefly discusses the theories of CSR and highlights the financial advantages of favorable CSR practices. Corporate finance researchers present two opposite views on CSR, “Doing good is good for business” and “CSR creates agency problems”. In the second chapter, we testify this association and find that CSR plays an important role to improve the information impounding in stock prices. Socially responsible firms improve the financial information environment. Third chapter elaborates that firms can mitigate their financial distress risk (Z-score) through improved CSR performance. Firm better CSR performance is appreciated by the investors and asset managers and it improves the availability of finance. In fourth chapter, we find that socially responsible firms have better access to finance (supplier side of trade credit) and have more trust on their stakeholders (buyer side of trade credit). Better CSR firms promote the better relationship with stakeholders through trust and value maximization goal. Therefore, this dissertation provides evidence on the importance of “Doing good is good for business”.

This thesis presents Genetic Programming methodologies to find successful and understandable technical trading rules for financial markets. The methods when applied to the S&P500 consistently beat the buy-and-hold strategy over a 12-year period, even when considering transaction costs. Some of the methods described discover rules that beat the S&P500 with 99% significance. The work describes the use of a complexity-penalizing factor to avoid overfitting and improve comprehensibility of the rules produced by GPs. The effect of this factor on the returns for this domain area is studied and the results indicated that it increased the predictive ability of the rules. A restricted set of operators and domain knowledge were used to improve comprehensibility. In particular, arithmetic operators were eliminated and a number of technical indicators in addition to the widely used moving averages, such as trend lines and local maxima and minima were added. A new evaluation function that tests for consistency of returns in addition to total returns is introduced. Different cooperative coevolutionary genetic programming strategies for improving returns are studied and the results analyzed. We find that paired collaborator coevolution has the best results.