半導體製造活動價值鏈中，半導體測試是重要的一環。半導體整合元件製造大廠為各種策略考量，於是漸提高向專業測試廠商尋求代工的比例，加上Design House產業蓬勃發展，也因此造就全球測試產業快速成長，甚至表現比整體半導體產業還優異。台灣半導體測試業為全球專業委外測試產業龍頭寶座。然而全球外在競爭環境威脅，而且在產業進入障礙低、競爭對手不斷增加、競爭日益強烈的情況下，終將直接衝擊台灣半導體產業在全球的地位。本研究欲從交易成本理論對測試委外服務品質和委外滿意度加以探討，以提供業界持續發展參考。 回顧過去委外相關研究發現，主要集中在：(1)企業是否應該委外或自製；(2)如何在統御結構下進行委外管理；(3) 採用討論或提出觀點說明的方式，少數真正採用實徵性研究驗證理論架構。因此，本研究專注於半導體測試委外的範疇，對委外進行探討，本研究架構乃為探討交易成本對服務品質和委外滿意度之影響，針對半導體測試產業型態及測試委外的需求建立研究架構與假設，並據以定義研究變數及制定問卷，經調查回收後做資料整理與統計分析。 經過資料分析，本研究在半導體測試委外產業的主要研究結果有三：一、在半導體測試外包產業中「交易成本」對於「服務品質」有顯著影響；二、「交易成本」對於「委外滿意度」未有顯著影響；三、「服務品質」不但對「委外滿意度」有正向的影響，同時亦扮演「交易成本」對於「委外滿意度」正向影響的「媒介變數」(mediator)。 根據上述的研究結果，本研究提出三點建議給予實務界參考。包括：一、以產能外包模式轉為整合模式外包，以降低不確定成本，提升服務品質；二、對於資產獨特性與不確定性質越高的委外案，承包商應提升對服務品質各方面的重視； 三、企業往後應慎重考量交易成本的影響。 / IC testing is a critical part of the semiconductor manufacturing value chain. In response to a variety of strategic considerations, large-scale IDM semiconductor manufacturers have increasingly sought the service from the professional testing firms. This, plus the rapid development of external IC design houses has created conditions for a global testing industry growing even more rapidly than the semiconductor industry as a whole. Taiwan’s specialized IC testing firms lead the global testing industry, but this dominance is increasingly threatened by external competition and low barriers to entry, and may eventually have a direct impact on the outlook of Taiwan’s IC industry. This study investigates transaction costs in terms of quality and customer satisfaction for external IC testing operations, and aims to provide the industry with a reference for sustainable development. Previous research in outsourcing has primarily focused on whether a company should outsource or keep operations in-house, or how to manage outsourcing within existing command structures, while a small number of empirical studies have used theoretical or case study methods to validate the use of theoretical frameworks. Therefore, this study focuses on the outsourcing of semiconductor testing operations to investigate how the structure and characteristics of transaction costs affect outsource service quality and satisfaction, with an aim to establish a research framework for investigating the semiconductor testing industry and outsourcing requirements. Towards this end, relevant variables have been defined and incorporated into a questionnaire which was used to source data for statistical analysis. Through statistical analysis, this study arrives at three primary conclusions regarding the outsourcing of semiconductor testing: (1) in the outsourcing of semiconductor testing, transaction costs have a significant impact on service quality; (2) transaction costs do not have a significant impact on outsourcing satisfaction; and (3) service quality is positively correlated with outsourcing satisfaction, and also plays transaction cost property in the positive correlation of outsourcing satisfaction and mediator. Based on these findings, this study raises three suggestions as a reference to practitioners: (1) move from a production outsourcing model to an integrated outsourcing model to reduce uncertainty costs and improve service quality; (2) for outsourcing cases with a higher degree of asset specialization and uncertainty, the contractor should focus especially on raising all aspects of service quality; and (3) enterprises should carefully consider the impact of transaction costs.

<p>Studiens första syfte är att med institutionell teori kartlägga det kontraktsnät som konstituerar den europeiska marknaden för professionella herrgolfare. Det andra syftet är att analysera och diskutera vissa utvalda aspekter av detta kontraktsnät som utmärker Europatouren från traditionella vinstmaximerande företag. </p><p>Den europeiska marknaden för proffsgolfare har organiserats i ett företag för att det är ekonomiskt fördelaktigt. Med Europatouren som en sammanhållande länk begränsas transaktionskostnaderna bl.a. genom att antalet kontraktsvägar reduceras och genom att utrymme för långsiktiga relationer med viktiga parter skapas. </p><p>Europatourens prissummemaximerande huvudmål förenar och tjänar de flesta, om inte samtliga,intressenters delmål i kontraktsnätet. I ambitionen att tillfredsställa alla intressenter har en gigantisk institutionsapparat formats på Europatouren. Institutionernas uppgift är att hålla tillbaka transaktionskostnaderna, motverka ett opportunistiskt beteende hos spelarna och bevara sportens konformitet och gentlemannaapproach. </p><p>Stjärnspelarna är de som gör Europatouren attraktiv och för att lyckas behålla dem i den konkurrens man möter från USA-touren har ett favoriseringssystem skapats som innebär att de erhåller appearance money och bättre service. Förekomsten av appearance money berättigas av deras viktiga funktioner i kontraktsnätet. </p><p>Flera faktorer pekar på att ett icke traditionellt riskförhållande råder på en proffstour för golf, d.v.s. att spelaren (agenten) är riskbenägen och att Europatouren (principalen) är riskneutral. Med föreliggande riskförhållande skapas drivkrafter hos spelarna att alltid göra sitt yttersta på träning och tävling, och begränsas utrymmet för opportunistiskt beteende. Dessa faktorer ger en högkvalitativ tour, vilket är nödvändigt för att alla involverade intressenters mål ska bli uppfyllda.</p> / <p>The first object of this study is to, with institutional theory, map out the nexus of contracts which constitutes the European market for professional male golfers. The second object is to analyze and discuss some chosen aspects of this nexus of contracts which characterize the European Tour in comparison with traditional profit-maximizing firms. </p><p>The European market for professional golfers has been organized as a firm because of more economically favourable reasons. With the European Tour as a connecting link the transaction costs are lowered among other things, by the fact that the number of contract ways is reduced and that room for long-term relationships with important parties is created. </p><p>The price money maximizing purpose of the European Tour unite and serve most, if not all, intermediate aims of the parties included in the nexus of contracts. In the ambition to satisfy all parties a huge formal and informal apparatus of institutions has been formedon the European Tour. The task of the institutions is to reduce transaction costs, to counteract opportunistic behaviour from the players and to preserve the conformity and the gentlemanlike approach of the sport. </p><p>The star players are what makes the European Tour attractive and to be able to keep them in the competition with the USA Tour a favouring system has been created, which implies that they receive appearance money and better service. The occurrence of appearance money is justified by the players’ importance in the nexus of contracts. </p><p>Many factors indicate that there is no traditional risk relationship on a professional tour for golf. That is, the player (the agent) is risk loving while the European Tour (the principal) is risk neutral. With the existing risk relationship driving forces are created in the players to always perform their utmost during training and competition, and opportunistic behaviour is thereby restricted. These factors give a high-quality tour, which is necessary for the goals of all involved parties will be reached.</p>

The aim of the study is twofold. First, to provide a picture of what happens when groups of citizens cooperate with municipalities and administrations to produce services essential to the community, i.e., elderly care or road maintenance. Second, to compare this picture with the picture of citizens’ involvement that the civil society theories describe. This is done by comparing four different cooperation projects. The empirical material has been gathered through four qualitative case studies – two elderly care cases and two road maintenance cases – and the analytical frame has been drawn mostly from organization theory, especially the resource dependence and the institutional perspectives. In the dissertation it is shown that in the projects with less complications the processes developed in a way that balanced, to some extent, the asymmetry in the dependence relation, i.e., the resources controlled by the groups became more interesting for the administrations and municipalities. These processes did also develop in a way that made it possible for the actors to come to an agreement of what problem the project was supposed to solve. These findings covariates with how interested the municipalities and the Road Administration organizations were to participate in the cooperation projects. It also covariates with the use of institutionalized cooperation forms. The short cut of an already defined and legitimated cooperation form implied that less transaction resources had to be invested in the cooperation itself – but as a result the actors did not communicate sufficiently and therefore did not develop a mutual understanding and trust. Another finding is that both the groups and the municipalities and administrations had pragmatic motives for their involvement in the cooperation projects, which led to an organizational form that was effective for the purpose of solving the identified problem with the elderly care/road maintenance, but not for the unintended consequences described by the civil society theories. As the group of citizens really involved was small, the consequences – greater solidarity and responsibility, and a decentralized democratic process, only comprised a few, mostly resourceful, citizens. Finally, the study shows that the groups’ contributions to the democratic process were limited by their involvement in actually solving the problem in question, i.e., to build and run an elderly home or to work with the improvement of the roads. The findings suggests that the picture of citizens’ involvement often put forward in the political debate in Sweden – as both a complement to the service provided by the public sector and a way to improve the democratic process – ought to be the subject of further research.

Studiens första syfte är att med institutionell teori kartlägga det kontraktsnät som konstituerar den europeiska marknaden för professionella herrgolfare. Det andra syftet är att analysera och diskutera vissa utvalda aspekter av detta kontraktsnät som utmärker Europatouren från traditionella vinstmaximerande företag. Den europeiska marknaden för proffsgolfare har organiserats i ett företag för att det är ekonomiskt fördelaktigt. Med Europatouren som en sammanhållande länk begränsas transaktionskostnaderna bl.a. genom att antalet kontraktsvägar reduceras och genom att utrymme för långsiktiga relationer med viktiga parter skapas. Europatourens prissummemaximerande huvudmål förenar och tjänar de flesta, om inte samtliga,intressenters delmål i kontraktsnätet. I ambitionen att tillfredsställa alla intressenter har en gigantisk institutionsapparat formats på Europatouren. Institutionernas uppgift är att hålla tillbaka transaktionskostnaderna, motverka ett opportunistiskt beteende hos spelarna och bevara sportens konformitet och gentlemannaapproach. Stjärnspelarna är de som gör Europatouren attraktiv och för att lyckas behålla dem i den konkurrens man möter från USA-touren har ett favoriseringssystem skapats som innebär att de erhåller appearance money och bättre service. Förekomsten av appearance money berättigas av deras viktiga funktioner i kontraktsnätet. Flera faktorer pekar på att ett icke traditionellt riskförhållande råder på en proffstour för golf, d.v.s. att spelaren (agenten) är riskbenägen och att Europatouren (principalen) är riskneutral. Med föreliggande riskförhållande skapas drivkrafter hos spelarna att alltid göra sitt yttersta på träning och tävling, och begränsas utrymmet för opportunistiskt beteende. Dessa faktorer ger en högkvalitativ tour, vilket är nödvändigt för att alla involverade intressenters mål ska bli uppfyllda. / The first object of this study is to, with institutional theory, map out the nexus of contracts which constitutes the European market for professional male golfers. The second object is to analyze and discuss some chosen aspects of this nexus of contracts which characterize the European Tour in comparison with traditional profit-maximizing firms. The European market for professional golfers has been organized as a firm because of more economically favourable reasons. With the European Tour as a connecting link the transaction costs are lowered among other things, by the fact that the number of contract ways is reduced and that room for long-term relationships with important parties is created. The price money maximizing purpose of the European Tour unite and serve most, if not all, intermediate aims of the parties included in the nexus of contracts. In the ambition to satisfy all parties a huge formal and informal apparatus of institutions has been formedon the European Tour. The task of the institutions is to reduce transaction costs, to counteract opportunistic behaviour from the players and to preserve the conformity and the gentlemanlike approach of the sport. The star players are what makes the European Tour attractive and to be able to keep them in the competition with the USA Tour a favouring system has been created, which implies that they receive appearance money and better service. The occurrence of appearance money is justified by the players’ importance in the nexus of contracts. Many factors indicate that there is no traditional risk relationship on a professional tour for golf. That is, the player (the agent) is risk loving while the European Tour (the principal) is risk neutral. With the existing risk relationship driving forces are created in the players to always perform their utmost during training and competition, and opportunistic behaviour is thereby restricted. These factors give a high-quality tour, which is necessary for the goals of all involved parties will be reached.

投資者面對到期日相同的ㄧ序列不同履約價格的選擇權，已有許多文獻提出如何建立選擇權最佳投資組合，但模型中均未考慮交易成本。選擇權在實際市場的交易過程中，投資者所支付的手續費與賦稅即為選擇權的交易成本。本論文針對買賣到期日相同但不同履約價格的買權與賣權如何組合，提出考慮交易成本的整數線性規劃模型，建立選擇權最佳交易策略。我們不考慮股價變動的機率分配型態，延伸楊靜宜 (2004)所建立之整數線性規劃模型和Liu與Liu (2006)的大中取小模型，建構考慮比例制、固定制與混合制交易成本之整數線性規劃模型。最後，我們以台指選擇權(TXO)為例，驗證模型的效能。 關鍵字：交易成本，選擇權交易策略，整數線性規劃，選擇權套利機會。 / There are many researchers focus on constructing the optimal strategies and propose integer linear programming (ILP) for a series of options which are on the same maturity date with different strike price, but they neglect transaction costs in their models. The transaction costs of options are the handling charge and taxes which investors should pay for trading in the market. The thesis proposes an ILP with transaction costs to construct the optimal strategy for an option portfolio of call- and put- options on the same maturity date with different strike price. We leave the distribution of the variety of stock price out of consideration and extend Yang’s (2004) model and Liu & Liu’s (2006) min-max regret model to construct ILP with proportional, fixed, and mixed transaction costs. Finally, we take the trading data of TXO as an empirical study to test and verify the efficiency of our models. Key words: transaction costs, option trading strategies, integer linear programming, option arbitrage opportunities.

Background: Peer to peer lending has in recent years emerged and become a popular way to borrow money, mostly in the US and the UK. Since the first company was established in 2005, several competitors have emerged, and P2P lending has grown on average by 84 % quarterly between the second quarter year 2007 and the second quarter year 2014 in the US. Lending Club, which is the largest player within P2P-lending, has since its start in 2008 carried loans of a total value of six billions USD. Aim: The purpose of the study is to identify and analyze P2P lending and its preconditions to operate on the Swedish consumer credit market. Completion: A qualitative approach was selected where the empirical data partly consist of primary data collected through interviews and partly of secondary data in the form of a literature study on P2P lending. The empirical data lays ground for a comparative institutional analysis in which the transaction costs of P2P lending is compared to traditional bank lending. Conclusion: The study shows that P2P lending in Sweden have higher transaction costs than traditional bank lending. The main reason for this is the uncertainty associated with P2P lending in the current situation. However, the study shows that P2P lending through technological innovation can maintain lower transaction costs in the assessment of a specific borrower's repayment capacity. For the concept to grow, society’s knowledge about P2P lending needs to increase and the legal framework needs to be more clearly defined. / Bakgrund: Peer to peer-utlåning har under de senaste åren vuxit fram och blivit ett populärt sätt att låna på, främst i USA och Storbritannien. Sedan den första aktören grundades år 2005 har flera aktörer vuxit fram och i USA har P2P-utlåningen vuxit med 84 % per kvartal i snitt mellan andra kvartalet år 2007 och andra kvartalet år 2014. Lending Club, som är den största aktören inom P2P-utlåning, har sedan starten år 2008 förmedlat lån till ett värde av totalt 6 miljarder USD. Syfte: Studiens syfte är att kartlägga och analysera P2P-utlåning och dess förutsättningar att bedriva verksamhet på den svenska konsumentkreditmarknaden. Genomförande: Ett kvalitativt tillvägagångssätt har valts där empirin dels består av primärdata som insamlats genom intervjuer och dels av sekundärdata i form av en litteraturstudie på P2P-utlåning. Empirin ligger till grund för en komparativ institutionell analys där transaktionskostnaderna för utlåning genom P2P jämförs med traditionell bankutlåning. Slutsats: Studien visar på att P2P-utlåning håller högre transaktionskostnader än traditionell bankutlåning. Den största anledningen till detta är den osäkerhet som är förknippad med P2P-utlåning i dagsläget. Dock visar studien på att P2P-utlåning, genom teknologisk innovation, kan hålla lägre transaktionskostnader i bedömningen av en specifik låntagares återbetalningsförmåga. För att konceptet ska växa krävs det att den allmänna kunskapen om P2P-utlåning ökar, samt att regelverket under vilket P2P-aktörerna verkar blir tydligare definierat.

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Submitted by David Kallás (david.kallas@gmail.com) on 2014-07-11T20:33:58Z No. of bitstreams: 1 Tese David Kallas Final.pdf: 12354207 bytes, checksum: 890a61179183220494642fef535a98e9 (MD5) / Rejected by PAMELA BELTRAN TONSA (pamela.tonsa@fgv.br), reason: Bom dia David, Conforme as Normas ABNT/APA e necessário a correção do Abstract. Ele deve estar no padrão normal e não em itálico. Sugiro também, que o titulo do seu trabalho seja colocado todo em caixa alta ( letra maiúscula ) Qualquer duvida estamos a disposição. Pâmela Tonsa 3799-7852 on 2014-07-14T11:12:39Z (GMT) / Submitted by David Kallás (david.kallas@gmail.com) on 2014-07-14T12:27:09Z No. of bitstreams: 1 Tese David Kallas Final.pdf: 12771470 bytes, checksum: 4e020f29abf69dc81c62015966e933a2 (MD5) / Approved for entry into archive by PAMELA BELTRAN TONSA (pamela.tonsa@fgv.br) on 2014-07-14T12:28:06Z (GMT) No. of bitstreams: 1 Tese David Kallas Final.pdf: 12771470 bytes, checksum: 4e020f29abf69dc81c62015966e933a2 (MD5) / Made available in DSpace on 2014-07-14T12:30:01Z (GMT). No. of bitstreams: 1 Tese David Kallas Final.pdf: 12771470 bytes, checksum: 4e020f29abf69dc81c62015966e933a2 (MD5) Previous issue date: 2014-06-18 / O presente estudo avança a compreensão da performance empresarial ao propor que condições dos setores, especificamente a concentração setorial, moderam a relação entre instituições e desempenho das firmas. Já é sabido que o ambiente institucional impacta o desempenho das firmas (Makino, Isobe, & Chan, 2004) e que as reformas pró-mercado contribuem para que esse efeito seja positivo, tanto para firmas domésticas como estrangeiras (Cuervo-Cazurra & Dau, 2009). A explicação desse efeito é baseada na economia dos custos de transação (Coase, 1937; Commons, 1934). Contudo, não se sabe se o efeito é o mesmo para todos os setores e se fatores moderam a relação. Esta tese contou com 230.222 observações referentes a 10.903 empresas em 64 países em um intervalo de 23 anos coletados em diferentes bancos de dados. Foi testada a interação de seis variáveis institucionais com o índice Herfindahl-Hirschman (HHI) para três variáveis dependentes diferentes: retorno sobre ativos (ROA), retorno sobre patrimônio líquido (ROE) e crescimento de vendas composto de três anos. Duas estratégias empíricas foram utilizadas: modelos com efeitos fixos e modelos hierárquicos (multinível). Os resultados confirmaram a hipótese de que a interação do HHI é significante e negativa com quatro variáveis institucionais: voice and accountability, efetividade do governo, qualidade regulatória e controle da corrupção. Concentração setorial modera o efeito do ambiente institucional na performance empresarial. Em contextos onde as instituições são sólidas, a força de agentes como sindicatos, associações, imprensa e consumidor assume poder de barganha, refreando o poder das empresas e o oportunismo. Regras legais, direito comum e instituições tendem a limitar o poder unilateral em relações contratuais de todos os tipos, independe da fonte do poder (Macneil, 1980). Observou-se adicionalmente que a proteção ao oportunismo se dá principalmente por meio das instituições informais, como a proteção à democracia, direitos do consumidor e controle da corrupção. Ao propiciar poder aos outros agentes que interagem com as empresas, instituições fortes garantem o enforcement de compromissos contratuais, em particular os contratos sociais (Argyres & Liebeskind, 1999). Como implicações, essa tese propõe que estratégias de expansão dentro do setor, aquisição de participação de mercado e fusões e aquisições dentro do setor são mais adequadas em ambientes institucionais mais fracos que em ambientes fortes. Empresas que possuem alta participação de mercado devem reconhecer o impacto negativo que podem sofrer em seu desempenho a partir de melhorias institucionais. Finalmente, o estudo reforça a importância do reconhecimento por parte de governos de que setores e firmas se beneficiam de forma desigual das mudanças institucionais. O conhecimento prévio desses impactos pode servir de direcionamento para a formulação de políticas públicas justas e eficientes. As principais limitações estão relacionadas à base de dados, exclusivamente composta de empresas com capital aberto, a forma pela qual a classificação de algumas empresas diversificadas foi feita e o fato dessa tese não investigar diretamente o poder de barganha nem ao menos o oportunismo, mas somente o poder moderador da concentração setorial no efeito das instituições no desempenho. / This research extend the understanding of firm performance by proposing that industry conditions, specifically industry concentration, moderates the relation among institutions and firm performance. It is already known that institution matters (Makino et al., 2004) and that promarket reforms positively affect firms’ profitability in developing countries for both domestic and foreign firms (Cuervo-Cazurra & Dau, 2009). The explanation is based on transaction costs economics (Coase, 1937; Commons, 1934). However, it is not known whether this effect is the same for all industries and if there is any moderating effect. This thesis built a database of 230,222 observations of 10,903 companies in 64 countries in a 23 years interval. Data was gathered from various sources. Regressions tested the interaction between the Herfindahl-Hirschman Index (HHI) and six institutional variables, considering three dependent variables: return on assets (ROA), return on equity (ROE) and 3-year compound annual sales growth rate. Two empirical strategies were used: fixed effects and hierarchical (multilevel) models. Results confirmed the hypothesis and were significant for the negative interaction between HHI and four institutional variables: voice and accountability, govern effectiveness, regulatory quality and control of corruption. Industry concentration moderates the effect of institutions on firm performance. When institutions are strong, the strength of stakeholders like unions, associations, press and consumers became bargaining power, limiting firms power and opportunism. Legal rules and institutions, common law and others, limit unilateral power in contractual relations of al kinds, whatever may be its source (Macneil, 1980). In addition, this thesis proposes that the protection against opportunism is mainly on informal institutions, like democracy protection, consumer rights and control of corruption. Strong institutions enforce contractual commitments, in particular, social contracts (Argyres & Liebeskind, 1999). As a result, this thesis argues that strategies of expansion within the industry, as market share dominance, mergers and acquisitions and growth strategies may fit better on weak institutional contexts. Firms that have high market share must acknowledge the negative impact of institutional improvements. Finally, governs must understand that industries and firms benefit unequally from institutional changes. Anticipating this knowledge may drive the formulation of efficient and fair public policies. The main limitations are the database was exclusively made of public traded companies, problems on industry classification for diversified firms, and that this work did not directly investigate the bargaining power or opportunism, but the moderating effect of industry concentration.

Submitted by Daniel Montero Heilbrun (daniel_heilbrun@hotmail.com) on 2017-08-31T18:50:44Z No. of bitstreams: 1 mestrado_dmh.pdf: 1853781 bytes, checksum: 1f83154ac6e3fdda760d5d9d053c4e72 (MD5) / Approved for entry into archive by Joana Martorini (joana.martorini@fgv.br) on 2017-08-31T18:54:10Z (GMT) No. of bitstreams: 1 mestrado_dmh.pdf: 1853781 bytes, checksum: 1f83154ac6e3fdda760d5d9d053c4e72 (MD5) / Made available in DSpace on 2017-09-01T12:18:19Z (GMT). No. of bitstreams: 1 mestrado_dmh.pdf: 1853781 bytes, checksum: 1f83154ac6e3fdda760d5d9d053c4e72 (MD5) Previous issue date: 2017-08-03 / Several theoretical works have been developed in the last five decades proposing texting delta-hedge strategies when the premises of the Black e Scholes (1973) are relaxed. This paper sets out to find the best delta-hedge strategy in the presence of transaction costs with the price series that follows a GARCH (1,1) process. This paper analyzes and compare four different delta-hedge strategies: Black e Scholes (1973), modified volatility (Leland (1985)), Asset Tolerance Strategy (Henrotte (1993)) e Variable Banwidth Around Delta (Whalley e Wilmott (1997)). / Diversos trabalhos teóricos foram desenvolvidos nas últimas cinco décadas propondo estratégias de delta-hedge quando as premissas do modelo de Black e Scholes (1973) são relaxadas. Mais recentemente, outros trabalhos comparando as estratégias surgiram, destacando-se os trabalhos de Zakamouline (2009) e Ino (2013). Como alternativa ao modelo utilizado por Ino (2013) para descrever a dinâmica das ações estudadas, mas utilizando-se da mesma metodologia, este trabalho se propõe a encontrar qual é a melhor estratégia de delta-hedge na presença de custos de transação e considerando-se que a série de preços da ação segue um processo GARCH (1,1). Para isso, avaliou-se quatro diferentes estratégias de delta-hedge: Black e Scholes (1973), volatilidade modificada (Leland (1985)), bandas de tolerância para o preço do ativo-objeto (Henrotte (1993)) e bandas de tolerância variáveis para a variação do delta (Whalley e Wilmott (1997)).

Made available in DSpace on 2010-04-20T20:08:07Z (GMT). No. of bitstreams: 1 67386.pdf: 650835 bytes, checksum: 0059a5a54d54d0041cd955f3042634a0 (MD5) Previous issue date: 2007-12-18T00:00:00Z / Neste trabalho, o mercado brasileiro de crédito para pequenas e médias empresas (PMEs) é analisado sob a perspectiva do marketing adaptativo, em que se assume que atividades mercadológicas como segmentação, gestão de relacionamento com clientes, apreçamento e desenvolvimento de produtos, são determinadas pela utilidade obtida por agentes de mercado ao atenderem a demanda. Identifica-se que a existência de assimetria de informações e de custos de transação limita e direciona as atividades de marketing no mercado estudado. A partir de uma amostra com 65.535 propostas de crédito, recebidas e avaliadas por um grande banco brasileiro entre janeiro de 2004 e setembro de 2006, estima-se a utilidade do banco em operações de crédito. Adicionalmente, 17.149 transações de empréstimos concedidos pelo banco ao segmento de pequenas empresas entre abril de 2006 e março de 2007, são investigadas. Finalmente, um conjunto de dados com 1,636 registros obtidos pela junção das bases de dados de propostas e de transações mencionados, é analisado em termos das relações entre taxas de juros e os totais de cobertura oferecidas por meio de garantias de crédito. Os resultados revelam a existência de um ambiente de marketing adaptativo, em que os pequenos tomadores de crédito produtivo são racionados, e aceitam pagar taxas de juros mais elevadas do que outros segmentos. Produtos de créditos baseados em garantias líquidas e com altas taxas de juros são desenvolvidos para suprir de maneira oportuna este segmento racionado de pequenas empresas. Ademais, a utilidade do banco em operações de crédito é afetada pela informação privada que captura ao longo de relacionamentos mantidos com seus cientes. Os resultados implicam que o sistema de marketing financeiro brasileiro não desempenha papel formativo no desenvolvimento econômico, que seria de fomento ao crédito produtivo por meio de empréstimos a baixo custo para pequenas e médias empresas. Um sistema formativo de marketing é improvável em um ambiente com informação imperfeita, como o mercado de crédito brasileiro. O estudo traz informações úteis àqueles interessados no desenvolvimento de mercados de crédito produtivo, tais como profissionais de instituições financeiras; agentes responsáveis por políticas públicas e monetárias de fomento ao crédito; e empreendedores de pequeno e médio porte que necessitem de financiamento externo para seus negócios. / In this work, the Brazilian credit market for small and medium-sized enterprises (SMEs) is analyzed from an adaptive marketing perspective, in which marketing activities such as segmentation, customer relationship management, pricing and product development are determined by the utility that market players get when they satisfy the demand. The existence of information asymmetry and transaction costs is identified to limit and drive marketing initiatives in the studied credit market. From a sample of 65,535 credit proposals analyzed by a large Brazilian bank from January 2004 to September 2006, the bank’s utility in a credit transaction is studied. Additionally, 17,149 credit transactions provided by the bank to the small business segment from April 2006 to March 2007 are investigated. Finally, a data set with 1,636 registers, obtained from the merge of the mentioned samples of proposals and transactions, is investigated in terms of the relations between interest rates and the collateral committed in credit proposals. The results reveal the existence of an adaptive marketing environment, in which small business borrowers are credit rationed and accept to pay higher interest rates than other segments. Credit products based on liquid collateral and high interest rates are designed to opportunistically supply this rationed small business segment. Also, the bank’s utility from a credit transaction is affected by the private information it captures along its relationships with customers. Findings imply that the Brazilian financial marketing system does not perform a formative function in economic development, which would be to foster the demand for productive credit by means of low-priced loans to small and medium-sized enterprises. However, a formative marketing system is not likely to occur in an environment characterized by imperfect information, like the Brazilian credit market. This study provides relevant information to those who are interested in the development of productive credit markets, like professionals of financial institutions; public and monetary policy makers; and small and medium-sized business entrepreneurs whose businesses face the need for external funding.