研發聯盟結構、標準聯盟和資產定價

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姓名

呂仁廣(Ren-Kuang Lue) 查詢紙本館藏

畢業系所

產業經濟研究所

論文名稱

研發聯盟結構、標準聯盟和資產定價
(R&D Coalition Structure, Standardization Union, and Asset Pricing)

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摘要(中)

其中的第一部分研發聯盟結構（R&D Coalition Structure），是用非合作賽局理論中最主要的單一策略納許解（Pure Strategy Nash Equilibrium）之解概念（solution concept）的存在性（existence），來探討研發聯盟結構是否穩定（stable），以建立合作賽局議題下的非合作參賽者的理性(rationalizability)思維，仁廣在這一章中除了運用數值的方法，找出兩家廠商至三家廠商的「研發聯盟結構穩定」下資訊外溢率(information spillover rate)的範圍，並利用了超模賽局（supermoudar game）的架構，得出一般化的n家廠商策略賽局下的研發聯盟結構穩定性的證明。第二部分標準聯盟（Standardization Union），則是結合產業組織理論（industrial organization theory）和貿易政策的文章，目的是探討在產品標準制定的議題上，用一個產品垂直差異化（vertical differentiation）模型分析在兩國到三國之國際貿易模型架構下，高、(中)、低品質產品生產國家之間是否有形成標準聯盟的動機，仁廣在這一章中用的是兩階段的擴展型賽局（two-stage extensive form game），並解出包括各國廠商定價、以及各國政府是否會承認外國產品標準的子賽局完全均衡解（subgame perfect equilibrium）。第三部份是資產定價，此章是用Signal Extraction的方法篩選出資產定價模型的「模型噪音比例」，並且用蒙地卡羅模擬去檢視風險愛好或趨避的態度是否比風險中立的資產定價模型更能解釋股市投資人的投資行為。在這主題上，因本章之「噪音比例」具有統計量的小樣本性質，為了讓實證的結論更具頑強性(robustness)，我們建議採用遞回迴歸(recursive regression) 和滾動迴歸(rolling regression)模擬出不同風險態度模型下的「噪音比例」抽樣分配。

摘要(英)

Abstract
In this dissertation, there are three essays concerning the cooperative or coordinated outcomes under the agents’ rationality. They belong to different fields: industrial organization (firms form R&D coalition), international trade (countries form standardization union), and stock market (investors’ behaviors form the stock price index).
In the first essay, I want to analyze the stability of R&D coalition structures. In contrast with other papers in the literature, I only use the solution concept of pure strategy Nash equilibrium to build up this stability. That is, the stability of R&D coalition structure can be transformed into the issue of existence of pure Nash strategy Nash equilibrium if a proper strategic form game is set up. To find the pure strategy Nash equilibrium, I propose the Topkis (1979) idea of fixed point theorem to prove the existence of pure strategy Nash equilibrium. Since our strategic game is in the supermodular game framework, the set of Nash equilibria is a nonempty complete sublattice. As a result, a coalition structure existence or stability depends on the value of , which means the information spillover among one-member coalitions. In addition, we give a numerical calculation in the two-firm and three-firm example, and compare the results with those of Yi and Shin (2000). We find that according to either exclusive membership rule or open membership rule our stable R&D coalition structures are not the same with Yi and Shin (2000) given the spillover rates.
The second essay proposes a simple vertical differentiation world economy specification to investigate what endogenous standardization policy would be adopted by each government assuming exogenously there exists product heterogeneity in quality. In order to investigate this issue in detail, both two-country, two-variety and three-country, three-variety models are examined, where the latter allows countries to form standardization union. We find that first in the two-country model the unique pure Nash equilibrium is the low-quality country recognizes foreign standard while the high-quality one not. Second, when we extend to the three-country model, there would be no pure Nash equilibrium if the governments’ strategies were restricted to either recognize or non-recognize; however, when forming standardization union is possible, low-quality and high-quality countries would form a standardization union, and the middle-quality country would not recognize any foreign standards if the conversion cost is large enough in the pure Nash equilibrium.
The third essay talks about the specification of asset pricing. In this essay, we explore the possibility that risk aversion leads to greater dispersion of stock prices than does risk neutrality. This is done by comparing the empirical performance of the asset pricing models with time varying discount factor to the benchmark one with constant discount factor. We employ an extended noise ratio method to demonstrate the relative degree to which each null model approximates the data. This econometric specification test are applied to the data of S & P 500 as well as of modified Dow-Jones, and we find evidence that asset pricing model with time varying discount factor is superior to that with constant discount factor. To make sure that the time varying discount factor model from which we abstract noise is really the one that best approximating the stock investors’’ behaviors, we use our signal-extraction statistical procedures to test it. These statistical procedures include standard distribution tests (t test and Wilcoxon Signed-Ranks test) and Monte-Carlo distribution test using the same statistics; the latter, in order to make the test robust, constructs stock prices through the risk-neutral specification. Finally, we conclude that there do exist some time varying discount factor models in S&P 500 data set which are superior to the benchmark.

關鍵字(中)

★ 研發
★ 標準
★ 資產

關鍵字(英)

★ Asset
★ Standardization
★ R&
★ D

論文目次

Contents
Chapter 1 Introduction….………………………………….. ……………………..1
References………………………………………………………………. 10
Chapter 2 The Stability of R&D Coalition Structure
1. Introduction……………………………………… ………………….12
2. Timing of the game…………………………………………………...13
3. Stable coalitions………………………………………………………17
4. Conclusion……………………………………....................................21
References………………………………………….. ………………… ..22
Chapter 3 Standardization Policy and Standardization Union in a Vertical Differentiation Model
1. Introduction………………………………………………………….25
2. A two-country model……………………………………………….. 27
3. A three-country model……………………………………………… 34
4. Conclusion………………………………………………………….. 43
References………………………………………….................................44
Chapter 4 The Specification of Asset Pricing: A Signal Extraction Framework
1. Introduction…………………………………………………………46
2. Four CCAPMs and Their Model Noises……………………………49
3. Empirical Analysis………………………………………………….54
4. Robustness Checks…………………………………………………62
5. Conclusion………………………………………………………….64
References…………………………………………...............................66
Tables…………………………………………………………………..69
Chapter 5 Conclusion…………………………………………………………..83

參考文獻

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指導教授

吳大任、陳禮潭
(Dachrahn Wu、Lii-Tarn Chen)

審核日期

2006-4-11

推文