DSpace community: 財務金融學系
http://ir.lib.ncu.edu.tw/handle/987654321/25289
致力於財務金融教學與研究的發展創新，以因應金融市場國際化、新金融商品不斷推出、以及金融機構加速整合的趨勢。The community's search engineSearch the Channels
http://ir.lib.ncu.edu.tw/simple-search
隨機優越之應用：風險偏好參數估計，健康不均度與所得不均度的衡量;Stochastic Dominance: Risk Preference Estimation, Health Inequality and Income Inequality Ordering
http://ir.lib.ncu.edu.tw/handle/987654321/82282
title: 隨機優越之應用：風險偏好參數估計，健康不均度與所得不均度的衡量;Stochastic Dominance: Risk Preference Estimation, Health Inequality and Income Inequality Ordering abstract: 此三年期的計劃為隨機優越法則的新應用。 第一年計劃為一個實證研究。個人將利用投資人對投資組合之選擇來估計幾乎隨機優越法則中的風險偏好參數。近年來，財務的文獻指出幾乎隨機優越法則可以解釋財務上的一些謎題並可以評估各項風險性資產的績效，然而這些實證發現非常仰賴於Levy et al. (2010)對於幾乎隨機優越法則中風險偏好參數的估計結果。不幸的是，Levy et al. (2010)的結果是根據學生對一些不具真實性的實驗設計選擇而來，同時該篇論文中所使用的幾乎二階隨機優越的條件是錯誤的。本篇論文是文獻上第一篇使用真實的投資選擇資料，並使用正確的幾乎隨機優越的條件來估計該法則中的風險偏好參數。 第二年計劃個人將建構一個全新的法則，以確切衡量社會經濟的健康不均度。近年來有多篇論文嘗試建構不均度的衡量法則，以找到所有趨避建康不均度的決策者均同意健康分配不均度上升的充分必要條件。然而這些條件太過嚴苛，很容易就找到一些例子，是大多數的決策者都同意不均度上升，但這些條件確無法指出不均度上升。本計劃將改善此一缺點，提出新的健康不均度法則，以適用於絕大部分的決策者。本計劃亦將利用開發中國家的健康分配資料來進行實證研究。 第三年計劃則將建構新的所得不均度連續法則，這些法則可以連結所得不均度趨避的法則以及下方所得不均度趨避的法則。所得不均度趨避乃假設政策決策者並不喜歡所得分配向兩邊擴散，是一個與政策決策者對不均度偏好的二階微分相關的法則，當文獻往前走一步要求下方所得不均度趨避，這需要假設政策決策者所使用的不均度指標其斜率須為concave 函數，也是一個與政策決策者對不均度偏好的三階微分相關的法則。然而這個三階微分的假設在實務上太過強烈，有許多政策決策者並非對於所得水準都符合這個三階微分的假設。因此本計劃將建構新的評估所得分配不均度的法則，此法則界於二階與三階之間。計劃也將利用加拿大的所得分配資料來進行實證分析。 ;This is a three-year project. All of them are related to stochastic dominance. For the first year project, I will use empirical data to estimate the preference parameters in almost stochastic dominance (ASD) established by Leshno and Levy (2002). Recently, the finance literature has shown that ASD is helpful in explaining some puzzles in finance. However, their conclusions heavily rely on the estimation of the preference parameters in the ASD rules provided by Levy et al. (2010) which is not only obtained from artificial tasks designed in laboratory but also adopt the incorrect condition in ASD. Our project is the first one in the literature using empirical observations in portfolio choice decisions and adopting the correct conditions to estimate the preference parameters in ASD. Our findings can help understanding investors’ risk preference as well as reexamining the current empirical findings in finance. For the second year project, I will establish the conditions to identify robust ordering of socioeconomic health inequality for most policymakers. The measurement of health inequality is an important issue in economics, public health and epidemiology. Recently, the literature has provided the conditions to identify robust ordering of health inequality, but the conditions are very rigid. It is because that both papers consider all weight functions on health scores for different groups of socioeconomic status which represent the judgments of inequality aversion. These weight functions allow zero weights. However, in reality, most policymakers will not place zero weight on any specific group. Thus, this project will seek for the robust ordering of socioeconomic health inequality by excluding extreme weight functions. Our rule can significantly improve the applicability of the health inequality measurement. For the third year project, I will provide continua of the inequality relations between income inequality aversion and downside inequality aversion. It is almost universally assumed that a mean-preserving spread in income distribution is less preferred to all policymakers, which implies convex inequality indices in the inequality analysis. The recent literature employs additional assumption: policymakers are downside inequality averse, which means that the slope of the inequality indices is concave globally. However, the assumption of downside inequality aversion is very strong. In this project, I relax this strong assumption on the slope of the inequality indices and seek for an unambiguous prediction. The new notion of income inequality measurement derived in this paper can help to distinguish the ranking of income distributions.
<br>資產可重置性與企業避稅決策;Asset Redeployability and Corporate Tax Avoidance
http://ir.lib.ncu.edu.tw/handle/987654321/82280
title: 資產可重置性與企業避稅決策;Asset Redeployability and Corporate Tax Avoidance abstract: 有較多可重置資產的企業可以藉由重置資產以增加現金流量與進行正向盈餘管理，同樣地，企業避稅也可以達到類似目的。因此，企業的資產重置性與避稅決策之間應有一定的關係，本研究主要目的為實證探討企業的資產重置性與避稅決策之間是否為替代關係或互補關係，並進一步探討兩者之間的相關程度與影響管道。 ;Firms with more deployable assets can deploy these assets for alternative uses to increase cash flows or managing earnings upwards. Since tax avoidance also can increase both cash flow and accounting earnings, firms with higher asset redeployability may be less likely to engage in tax avoidance. In this research, I plan to examine weather asset redeployability and tax avoidance are substitutes or complements. I further examine the magnitude of their association and identify the channels of their association.
<br>經濟政策不確定性對於外匯市場的影響;Impacts of Economic Policy Uncertainty in Foreign Exchange Markets
http://ir.lib.ncu.edu.tw/handle/987654321/82279
title: 經濟政策不確定性對於外匯市場的影響;Impacts of Economic Policy Uncertainty in Foreign Exchange Markets abstract: 本計畫探討經濟不確定型對於外匯市場的影響, 分別由貨幣的風險溢酬, 匯率的資訊效率， 與 匯率與外匯交易量對於貨幣政策之反應來探討. 透過由全球經濟不確定性與個別國家的經濟不確性來探討期對於匯率的變化與外匯市場ˋ 價個效率和交易活動的影響, 藉以深入了解經濟環境的變化與總體經濟政策的對於外匯市場之影響。 ;In times of high economic uncertainty about fiscal, regulatory, and monetary policies, rational agents would behave more conservatively and react to increase precautionary saving and decrease real investment, and rebalance portfolios away from risky assets towards safe assets. This project aims to study three themes about how foreign exchange (FX) traders react to heightened economic uncertainty in currency pricing, trading activities, and the response to monetary policy news. The first sub-project explores if uncertainty is or is not priced into currency excess returns. We are interested to understand how return dynamics on risky currencies differ from those of safe currencies in the face of variations in economic uncertainty. The second sub-project investigates how informational efficiency varies with the variation in economic uncertainty. The third sub-project studies if the reaction of currency returns, trading volume, and volatility to U.S. monetary policy news change with global economic uncertainty.
<br>產品市場、資產特性及公司資產配置：理論及實證分析;Product Market Characteristics, Capital Asset Irreversibility, and Corporate Asset Allocation: Theory and Evidence
http://ir.lib.ncu.edu.tw/handle/987654321/82278
title: 產品市場、資產特性及公司資產配置：理論及實證分析;Product Market Characteristics, Capital Asset Irreversibility, and Corporate Asset Allocation: Theory and Evidence abstract: 既有文獻顯示，美國公司投資商用不動產竟有顯著「高買低賣」的現象；其解釋為公司於經濟擴張時期購置不動產，於衰退期時售出，隱含其添置/處分不動產目的不為獲利，反之可能為公司資產配置的調整。由於公司理財文獻中對廠商如何配置資產的理論研究付之闕如，本計畫擬整合並延伸兩靜態模型，亦即Cochrane (1991) 的生產面資本資產定價模型、與考慮耐久性財貨（如持有不動產）消費的Grossman and Laroque (1990) 消費面資本資產定價模型，以嚴謹理論模型及實證分析探討影響公司資產配置的產品市場因素。第一年計畫中，本人擬依循 Cochrane，假設廠商選擇產量、固定資本投資等以使其利潤極大；並將 Grossman and Laroque 模型中的代表性消費者轉換為廠商，延伸模型中的資產至三項：風險性/無風險資產及耐久性財貨。本人亦將依循並延伸 Dixit (1991) 的模型設定，假設廠商面臨固定彈性之需求函數，其生產函數為寇布─道格拉斯型式，且風險性/固定資產的價格均遵循幾何布朗寧模式。模型的優點為 (1) 考量資產價格的動態變化，假設廠商短期追求最大生產利潤，長期則在最適產量下極大化公司價值，其目標函數符合 Grossman and Laroque 模型解的均值─變異數效率性；(2) 假設特定函數型態可簡化計算，進而導出分析解及比較靜態結果。 模型推導的初步結果如下：當廠商面臨產品市場競爭強度較高/或其生產方式較為資本密集，配置在固定資產比例可能以遞減的速率增加。這是因為，此二產品市場特性降低廠商整體投資組合的變異數，因而其可增加具風險的固定資產配置，以提昇公司價值。第二年的計畫目的在於驗證理論模型推導之結論。本人擬採用紐約證券交易所等公開發行公司、由1987年到2016年的縱橫資料進行實證。本人將利用公開網站如華爾街日報取得股市大盤的趨勢和波動度資料；並擬由 Compustat 及 CRSP資料庫取得公司財務報表資料，以計算公司配置在固定資產比例及其他控制變數；至於商用不動產交易及特性、市場的趨勢和波動資料則擬自CoStar COMPs® 及 Properties® 等資料庫求取。實證方法為 (1) 以公司固定資產比例為應變數進行最小平方法迴歸，及 (2) 以不動產交易為應變數，利用序列 probit 以及多項式 logit 對前述假說進行統計測試。 ;Empirical literature shows that U.S. corporations tend to “buy high and sell low” when it comes to commercial real estate transactions, and explains that American firs tend to acquire (dispose) real estate properties during the economic expansion (downturn), implying a motive of asset reallocation. As in the corporate finance field there exists no analytical models can be used to investigate corporate asset allocation, the purpose of this research project is to examine this important issue by integrating the production-based CAPM by Cochrane (1991), and the consumption-based CAPM by Grossman and Laroque (1990), so as to discuss how asset and product market characteristic affect corporate asset allocations – especially on real estate holdings – with a theoretical model and corresponding statistical analysis.In the first year under the proposal, I assume the firm has a goal similar to Cochrane which assumes a firm chooses production quantity and amount of capital investment so as to maximize the profit of the firm. I will replace the representative consumer in Grossman and Laroque with a representative firm, and then extend the two assets in their paper so that the firm considers investing in three assets: risky/riskless assets and a durable good. I will also follow Dixit (1991) to assume that the firm faces a constant-elasticity demand function, has a Cobb-Douglas production function, and the evolution of prices for the risky asset and the durable good follow a geometric Brownian motion, respectively. As the firm in my model maximizes its value while employing an optimal quantity of production at each instant, the long-run equilibrium in my model is then mean-variance efficient, similar to Grossman and Laroque. Under a simplified assumption that the firm does not face uncertainty nor incur sunk costs when purchasing capital, it will allocate more value on the durable good (including its real estate holdings) but with a decreasing speed when the firm either faces more competitive pressure or uses capital more intensively. In the second year under the proposal, I aim to statistically test if the derivations in my theoretical model are supported by using empirical data. I plan to us the panel data of the U. S. firms listed on the NYSE, AMEX, and NASDAQ exchanges during the period from 1987 to 2016. I plan to employ stock market data drawn from publicly available web sites such as the Wall Street Journals to obtain the trend and volatility data of the risky assets. For calculating the real estate holdings and other control variables of public companies, I plan to use data drawn from Compustat and CRSP data bases. For accessing the prices and other features of commercial real estate transitions, I plan to employ CoStar COMPs® and Properties® databases. For the econometric analysis I will use (1) the OLS method to run regressions with corporate fixed assets holdings as the dependent variable; and (2) both ordered probit and multinomial logit methods to run regressions with a dependent variable which indicates the purchase, inactive, and dispose of real estates of a firm.
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