本文研究期間為民國 94 年至民國102 年共9 年的時間，以台灣全部的上市公司為研究對象，扣除資料不全者，共有569 間公司。本論文使用Loistic regression之研究方法，找出台灣上市公司是否避險的因素，以及避險對公司績效的影響，並以OLS 最小平方法估計避險的因素與避險對公司績效的影響。企業國際化已經是目前經濟狀態不可避免的趨勢，尤其進出口頻繁的產業，更是面臨匯率波動風險所帶來的威脅。因此，企業頻繁的使用衍生性金融工具來執行避險策略。實證結果顯示各個產業有著不同的決定性因素來影響企業執行決策，其中化學業、金融業、光電業、造紙業與塑膠業存在統計上顯著的結果。另外公司若執行避險策略，對於公司價值有正面的影響，台幣貶值、董監事持股比率、權益資金之比重以及營收成長率對於公司的價值也都存在正面與顯著的關係，而實質利率的上升則對公司的價值有不利的影響。

The day-of-the-week effect is a market anomaly that manifests as the cyclical behaviour of traders in the market. This market anomaly was first observed by M.F.M. Osborne (1959). The literature distinguishes between two types of cyclical effects in the market: the cyclical pattern of mean returns and the cyclical pattern of volatility in returns. This dissertation studies and reports on cyclical patterns in the South African market, seeking evidence of the existence of the day-of-the-week effect. In addition, the dissertation aims to investigate the implications of such an effect on hedge fund managers in South Africa. The phenomenon of cyclical volatility and mean returns patterns (day-of-the-week effect) in the South African All-share index returns are investigated by making use of four generalised heteroskedastic conditional autoregressive (GARCH) models. These were based on Nelson's (1991) Exponential GARCH (EGARCH) models. In order to account for the risk taken by investors in the market Engle et al's, (1987) 'in-Mean' (risk factor) effects were also incorporated into the model. To avoid the dummy variable trap, two different approaches were tested for viability in testing for the day-of- the-week effect. In the first approach, one day is omitted from the equation so as to avoid multi-colinearity in the model. The second approach allows for the restriction of the daily dummy variables where all the parameters of the daily dummy variables adds up to zero. This dissertation found evidence of a mean returns effect and a volatility effect (day-of-the- week effect) in South Africa's All-share index returns data (where Wednesdays have been omitted from the GARCH equations). This holds significant implications for hedge fund managers. as hedge funds are very sensitive to volatility patterns in the market, because of their leveraged trading activities. As a result of adverse price movements, hedge fund managers employ strict risk management processes and constantly rebalance their portfolios according to a mandate, to avoid incurring losses. This rebalancing typically involves the simultaneous opening of new positions and closing out of existing positions. Hedge fund managers run the risk of incurring losses should they rebalance their portfolios on days on which the volatility in market returns is high. This study proves the existence of the day-of-the-week effect in the South African market. These results are further confirmed by the evidence of the trading volumes of the JSE's All-share index data for the period of the study. The mean returns effect (high mean returns) and low volatility found on Thursdays, coincide with the evidence that trading volumes on the JSE on Thursdays are the highest of all the days of the week. The volatility effect on Fridays, (high volatility in returns) is similarly correlated with the evidence of the trading volumes found in the JSE's All-share index data for the period of the study. Accordingly. hedge fund managers would be advised to avoid rebalancing their portfolios on Fridays, which show evidence of high volatility patterns. Hedge fund managers are advised to rather rebalance their portfolios on Thursdays, which show evidence of high mean returns patterns, low volatility patterns and high liquidity. / Thesis (M.Com. (Risk Management))--North-West University, Potchefstroom Campus, 2006.

This paper empirically explores how the introduction of Credit Default Swap (CDS) trading affects firm systematic risk. By treating the introduction as an event study and imploring propensity score matching and difference-in-differences analysis, this research finds that firm exposure to market risk increases after the introduction of CDS instruments, controlling for higher debt levels. These findings change, however, in times of financial crisis when the impact of CDS trading actually reduces systematic risk. These results show that CDS introduction enables a firm to more dramatically change its exposure to systematic risk in comparison to its counterpart to reflect market conditions.

Hedge funds report performance information voluntarily. When they stop reporting they are transferred from the "live" pool of funds to the "defunct" pool. Consequently, liquidated funds constitute a subset of the defunct pool. I present models of hedge fund survival, attrition, and survivorship bias based on liquidation alone. This refines estimates of predictor variables in models of survival, leads to attrition rates of hedge funds to be roughly one half those previously thought, and produces larger estimates of survivorship bias. Survival models based on liquidated funds only, lead to an increase in survival time of 50 to 100 percent relative to survival based on all defunct funds. / In addition to refining estimates of survival time, it is useful to examine how the double fee structure of hedge funds and Commodity Trading Advisors (CTA) affects the incentives of their managers. Young CTAs are usually very small --- they hold few financial assets --- and may not meet their operating expenses with their management fee alone, so their incentive is to take on risk and post good returns. As they grow, their incentive to take on risk diminishes. CTAs in their fifth year diminish their volatility by 25 percent relative to their first year, and diminish returns by 70 percent. We find CTAs to behave more like indexers as they grow, concerned with more with capital preservation than asset management. / Operational risk is a major cause of hedge fund and CTA liquidation. In the banking industry, regulators have called upon institutions to develop models for measuring capital charge for operational losses, and to subject these models to stress testing. Losses are found to be inversely related to GDP growth, and positively related to unemployment. Since losses are thus cyclical, one way to stress test models is to calculate capital charge during good and bad economic regimes. We find loss distributions to have thicker tails during bad regimes. One implication is that banks will likely need to increase their capital charge when economic conditions deteriorate.

請參照英文摘要 / With progressing transparency of investment activity and structure flexibility, hedge fund has provided investors an attractive investment option. The hedge fund market in Asia appears to have room for further expansion with improving regulatory environment and increasing availability of different products in retail establishments. The research objective is to provide the general investing public and the hedge fund industry in Taiwan more insightful information of how sophisticated investors in Hong Kong relate to hedge fund investment, in order to provide more references for individuals’ hedge fund investment decisions and reflections for the industry to improve marketing strategy. Due to the likeness of the financial climate in both markets, Taiwan could use existing successful implementations and references in Hong Kong for better preparation for hedge funds to enter. A few important factors influencing both mutual fund and hedge fund investment decisions have been identified from previous researches and surveys conducted by academic scholars and industry professionals. A hedge fund survey is conducted to test these factors and further evaluate other causes influencing hedge fund investment decisions. A total of 31 sophisticated investors in Hong Kong, mostly financial professionals, with 45% current hedge fund investors have participated. Regression statistics analysis is used for the correlation between the multi-dimension construct measurement towards each factor and the actual percentage of investment in hedge fund of the investors. “Investment risk” has shown moderate positive correlation. “Investment return” and “past performance” have shown fair degree of positive correlation. “Investor’s understanding”, “transparency” and “skill and experience of fund managers” have shown very little or no relationship. Non-parametric statistics analysis is used for the testing of the multi-dimension construct measurements of the factors between current hedge fund investors and non hedge fund investors with p-values. The measurement of “investment return” for current hedge fund investors is greater than non hedge fund investors. The measurements of “investor’s understanding”, “investment risk”, “past performance”, “transparency” and “skill and experience of fund managers” of current hedge fund investors are not greater than non hedge fund investors. “Skill and experience of fund managers” has been ranked as the most important factor influencing individual hedge fund investment decisions. “Investor’s understanding” has been ranked as the most important aspect that needs improvement for the hedge fund industry. For current hedge fund investors, 43% have hedge fund investment which accounts for 15%-30% of their total assets. Seventy-two percent of current hedge fund investors are likely to increase allocation to hedge fund investment. Sixty-four percent of non hedge fund investors are likely to invest in hedge funds. This thesis comes to the conclusion that these factors are clearly variables that influence investor’s hedge fund investment decisions. Nevertheless, investors are advised to have thorough understanding of the characteristics specifically related to hedge funds when making investment decisions. It is hoped that the hedge fund industry and regulators would incorporate these aspects for hedge fund product design and marketing. This thesis proposes several aspects to the investors and hedge fund industry in Taiwan with suggestions.

In this thesis we search for optimal hedging strategy in stock index futures markets by providing a comprehensive comparison of variety types of models in the related literature. We concentrate on the strategy that minimizes portfolio risk, i.e., minimum variance hedge ratio (MVHR) estimated from a range of time series models with different assumptions of market volatility. There are linear regression models assuming time-invariant volatility; GARCH-type models capturing time-varying volatility, Markov regime switching (MRS) regression models assuming state-varying volatility, and MRS-GARCH models capturing both time-varying and state-varying volatility. We use both Maximum Likelihood Estimation (MLE) and Bayesian Gibbs-Sampling approach to estimate the models with four commonly used index futures contracts: S&P 500, FTSE 100, Nikkei 225 and Hang Seng index futures. We apply risk reduction and utility maximization criterions to evaluate hedging performance of MVHRs estimated from these models. The in-sample results show that the optimal hedging strategy for the S&P 500 and the Hang Seng index futures contracts is the MVHR estimated using the MRS-OLS model, while the optimal hedging strategy for the Nikkei 225 and the FTSE 100 futures contracts is the MVHR estimated using the Asymmetric-Diagonal-BEKK-GARCH and the Asymmetric-DCC-GARCH model, respectively. As in the out-of sample investigation, the time-varying models such as the BEKK-GARCH models especially the Scalar-BEKK model outperform those state-varying MRS models in majority of futures contracts in both one-step- and multiple-step-ahead forecast cases. Overall the evidence suggests that there is no single model that can consistently produce the best strategy across different index futures contracts. Moreover, using more sophisticated models such as MRS-GARCH models provide some benefits compared with their corresponding single-state GARCH models in the in-sample case but not in the out-of-sample case. While comparing with other types of models MRS-GARCH models do not necessarily improve hedging efficiency. Furthermore, there is evidence that using Bayesian Gibbs-sampling approach to estimate the MRS models provides investors more efficient hedging strategy compared with the MLE method.

Thesis (Ph. D.)--State University of New York at Binghamton, Department of Economics, 2009. / Includes bibliographical references.

Master-Arbeit Univ. St. Gallen, 2007.

Thesis (Ph. D.)--Columbia University, 1942. / Published also without thesis note. Vita. Bibliography: p. [217]-224.

Hedge fund managers are characterised as either market timers or asset pickers . Their superior performance can be attributed to either timing skill, selection ability or a combination of both. In the existing literature, average hedge fund performance across the entire time span under investigation is usually investigated and measured, and hence, potentially certain subtle but important features exhibited in different time periods can be averaged out in the analysis. This thesis investigates the structural breaks in the selection ability and timing skill of hedge fund managers. This research issue is of particular importance when the hedge fund performance before, during and after the recent financial crisis is compared and contrasted. This thesis conducts a structural break analysis of hedge fund managers performance in relation to market-wide liquidity and liquidity commonality in the foreign exchange (FX) market. Liquidity commonality captures the co-movement of individual asset liquidities. The measure adopted in the existing literature has several limitations. This thesis proposes a new measure, termed the Beta Index, which is derived from the time-varying exposure of individual liquidities to market liquidity movements. It is shown that the developed Beta Index is more able to identify the level of liquidity commonality in the FX market. It is also more flexible in measuring commonality with different data sampling frequency. The obtained empirical results have some practical implications. They show that the selection skill and timing ability of hedge fund managers are subject to regime switches. Under severe market conditions, most hedge fund managers possess the skill to time FX market-wide liquidity and are able to reduce losses from the FX market by reducing their funds FX exposure prior to the FX market-wide liquidity deteriorations. In the meantime, most hedge fund managers are able to deliver excess returns from time to time due to their selection ability. However, when sudden shocks of crisis occur, they fail to forecast the unexpected behaviour in the price of individual assets underlying the funds and display unsuccessful selection ability. In addition, the results suggest that many hedge funds are exposed to the FX liquidity commonality risk which impairs hedging strategies and diversification performance.