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.

This thesis consists of three papers that makes independent contributions to the fields of forecast evaluation and financial econometrics. As such, the papers, chapter 1-3, can be read independently of each other. In Chapter 1, “Inferring an agent’s loss function based on a term structure of forecasts”, we provide conditions for identification, estimation and inference of an agent’s loss function based on an observed term structure of point forecasts. The loss function specification is flexible as we allow the preferences to be both asymmetric and to vary non-linearly across the forecast horizon. In addition, we introduce a novel forecast rationality test based on the estimated loss function. We employ the approach to analyse the U.S. Government’s preferences over budget surplus forecast errors. Interestingly, we find that it is relatively more costly for the government to underestimate the budget surplus and that this asymmetry is stronger at long forecast horizons. In Chapter 2, “Monitoring Systemic Risk”, we define systemic risk as the conditional probability of a systemic banking crisis. This conditional probability is modelled in a fixed effect binary response panel-model framework that allows for cross-sectional dependence (e.g. due to contagion effects). In the empirical application we identify several risk factors and it is shown that the level of systemic risk contains a predictable component which varies through time. Furthermore, we illustrate how the forecasts of systemic risk map into dynamic policy thresholds in this framework. Finally, by conducting a pseudo out-of-sample exercise we find that the systemic risk estimates provided reliable early-warning signals ahead of the recent financial crisis for several economies. Finally, in Chapter 3, “Equity Premium Predictability”, we reassess the evidence of out-of- sample equity premium predictability. The empirical finance literature has identified several financial variables that appear to predict the equity premium in-sample. However, Welch & Goyal (2008) find that none of these variables have any predictive power out-of-sample. We show that the equity premium is predictable out-of-sample once you impose certain shrinkage restrictions on the model parameters. The approach is motivated by the observation that many of the proposed financial variables can be characterised as ’weak predictors’ and this suggest that a James-Stein type estimator will provide a substantial risk reduction. The out-of-sample explanatory power is small, but we show that it is, in fact, economically meaningful to an investor with time-invariant risk aversion. Using a shrinkage decomposition we also show that standard combination forecast techniques tends to ’overshrink’ the model parameters leading to suboptimal model forecasts.

This thesis comprises, firstly, a careful and detailed description of the institutional workings of the Chinese stock market; secondly, a literature review of the Chinese segmented markets and dual-listed shares price premium; and thirdly, three evidence-based contributions designed to cast new light on the Chinese A-shares premium puzzle. Publicly-listed firms in China, under certain criteria, can issue two different types of shares, namely A-shares and B-shares, to local and foreign investors respectively. These shares carry the same rights and obligations, but are however priced differently due to market segmentation. After a review of the literature on determinants of the premium, the first contribution offers a complementary explanation. I propose that the premium reflects the difference in valuation preferences between the local and foreign investors, i.e., local investors pay more attention to stock liquidity, while foreign investors pay more attention to firm’s intrinsic value, and so firms having more favorable fundamentals tend to have lower premia. The second contribution involves the examination of a controversial question that which investor group is better informed about local assets, by testing the direction of information flows between the A- and B-shares markets. Both time series methods, and panel data techniques which are used for the first time in this context, are employed, in order to get a distinct and more insightful picture against the current literature. The third contribution compares and contrasts institutional settings of China, Singapore and Thailand which have similar market segmentation and dual-listing systems; examines whether or not the premia in the three countries are caused by same factors; and tries to answer why foreign investors in China pay less, rather than more, as commonly observed in other segmented markets, for identical assets. It provides the first cross-country comparison evidence after 1999 with updated data.

A consensus exists in the body of academic literature that stocks with high BE/ME characteristics outperform stocks with low BE/ME characteristics. Researchers disagree, however, as to the cause of the phenomenon. Two competing theories have emerged. The value premium originates either from the relative riskiness of high BE/ME value and low BE/ME growth stocks or from the persistent irrational pricing of those stocks. Market participants question whether the long lineage of academic research showing the existence of the value premium can actually be applied to their portfolio decision-making. The lack of a pervasive value premium across stock size strata suggests the return phenomenon may result from information asymmetry or trading noise, and not from the pricing of greater risk. The value premium appears to be exclusively available to market participants who can effectively navigate the smallest, most illiquid segment of the stock market. In other words, the value premium does not appear to be available to large institutional investors.

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.

美國存託憑證(American Deposit Receipt，ADR)對美國投資人而言是進入外國市場最簡便的方式之一，因為它以美金計價且在美國交易。發行ADR可以使公司的知名度提高，增加股票的流動性，進而提高股票價格。 有些國家對外資設有投資上限，使外資投資不易或投資成本太高，造成投資障礙。透過購買美國存託憑證可以持有表彰外國公司股份的股權，為投資人帶來收益且達到風險分散效果。亞洲地區為發行美國存託憑證最多的地區，本研究選取了九個新興國家以及日本企業所發行的ADR為研究樣本，探討三個問題：美國存託憑證價格的折（溢）價是否有資訊內涵、美國存託憑證的折(溢)價是否受到美國市場情緒影響以及發行ADR後，本國市場的股票訂價效率是否改善。 研究結果發現，多數ADR折（溢）價的資訊內涵為正向且顯著，意即，今日美國存託憑證的折（溢）價透露出隔日標的股票報酬率的訊息。顯示美國存託憑證存在溢價，不只反應外國政府設立的投資障礙或是外國股票的交易成本過高，還透露出對隔日標的股票報酬率的預期。 美國存託憑證雖然表彰的是外國公司的股權，但卻是在美國交易。ADR的價格不只反應出與標的股票本身的價值，可能還受美國市場情緒影響。本研究的實證結果支持ADR價格受到美國市場情緒影響的論點。表示投資人在選擇美國存託憑證投資標的時，除了要對公司進行合理的評價，也要將美國市場的表現納入考慮。 本研究的研究樣本為九個新興國家以及日本，開發中國家可能對外資設有投資限制且市場資訊效率不高，造成股票的訂價未完全反應其真實價值。海外上市後，更多投資人參與交易，市場資訊環境改善，本國市場的股票訂價效率應該因此提升；過去探討海外上市公司的外國市場價格與本國市場價格間共整合過程的文獻，多以一階自我相關為基礎所發展出來的模型進行實證且未除去市場效率改善帶來的影響。使用一階自我相關為基礎的模型時，須假設樣本為常態分配，但股票報酬的分配很可能不符合常態分配，導致實證結果有偏誤；本研究以無母數連檢定(Run Test)進行實證並除去同時期市場效率改善的影響。究實證結果顯示，股票報酬率在海外上市後變得更為隨機，可預測性降低，表示資訊環境改善明顯有助於股票價格反應其真實價值。 / American Deposit Receipt (ADR) is one of the most convenient ways for U.S. - based investors to acquire foreign shares since ADRs are quoted in U.S. dollars and are traded in the U.S. markets. Foreign investors have difficulty in acquiring foreign shares because of investment limit or high transaction cost. ADRs issued by companies from nine emerging countries in Asia and Japan were picked as sample data to verify the information content and U.S. market sentiment issues. The empirical result for information content is significant and positive. ADR premium (discount) today reveals information that the return of the underlying stock tomorrow will be positive (negative). ADRs are foreign shares but are traded in the U.S. markets. ADR price may not only contain its intrinsic value but also U.S. market sentiment. The empirical result supports that argument. The result reminds investors that in addition to appropriate valuation of a company, the reaction of other investors in the same market should be taken into account. Employ a simple non-parametric test and control for contemporaneous marketwide efficiency shifts and the potential contamination from the price effect of cross-listing announcement, the empirical result demonstrated that with improvement of informational environment, stock pricing efficiency was enhanced after cross-listing.

The objective of this study is to consider the credit channel operation under a small open economy by including the banking sector and money in a dynamic stochastic general equilibrium (DSGE) model. This study examines the role of the banking sector in a small open economy and the impact of the degree of economic openness. In the steady state analysis, we find that the banking sector’s efficiency and the degree of the openness of an economy will affect the equilibrium. The dynamic analyses show the exchange rate movement amplifies the responses of the economy to exogenous shocks.

Approved for public release; distribution is unlimited. / This thesis investigates the effect of marital and family status on the performance and job productivity of male U.S. Marine Corps officers. The analysis includes evaluation of fitness reports, retention, and promotion to O-4 and O-5 ranks as performance measures. The primary goal is to examine the existence of any marriage premium on officers' performance and productivity and to investigate potential causal hypotheses. The personnel database used for the analysis includes more than 27,000 male Marine officers who entered the Marine Corps between FY 1980 and 1999. After controlling for selection, estimating fixed effects and using panel data in order to capture timely-varying effects, this study finds that there is a marriage premium for all performance measures. The thesis rejects the explanation that such premiums are due to supervisor favoritism. Moreover, married male officers obtain higher fitness report scores, higher promotion probabilities, and higher retention probabilities than single officers. Each additional year spent in marriage increases fitness report scores and retention probabilities. Having additional non-spousal dependents increase fitness report scores and retention probabilities. On the other hand, being a currently single but "to-be-married" officer yields higher premium, as married officers, for all productivity and performance indicators. This supports selectivity into marriage as a partial explanation of the source of the marriage premium. / Lieutenant Junior Grade, Turkish Navy / First Lieutenant, Turkish Army