| dc.contributor.advisor | 張士傑 | zh_TW |
| dc.contributor.author (作者) | 張孝銓 | zh_TW |
| dc.contributor.author (作者) | Chang, Hsiao Chuan | en_US |
| dc.creator (作者) | 張孝銓 | zh_TW |
| dc.creator (作者) | Chang, Hsiao Chuan | en_US |
| dc.date (日期) | 2008 | en_US |
| dc.date.accessioned | 8-十二月-2010 16:39:04 (UTC+8) | - |
| dc.date.available | 8-十二月-2010 16:39:04 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-十二月-2010 16:39:04 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0096358023 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49682 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 風險管理與保險研究所 | zh_TW |
| dc.description (描述) | 96358023 | zh_TW |
| dc.description (描述) | 97 | zh_TW |
| dc.description.abstract (摘要) | 本研究目的欲探討實施費率自由化第一及第二階段後之情形，即在2006年第二階段實施後，台灣產物保險公司及各險種個別之資金成本，以檢視兩階段自由化實施後是否顯著影響國內產險業。而資金成本為公司每段期間內應支付資金提供者之期望報酬，故以此可做為日後公司經營之參考指標。研究期間為2002年至2008年，分別由一因子模型及多因子模型解釋台灣產物保險業之資金成本，及系統風險(β)的變化是否會影響其資金成本之變動。利用資本資產定價模型(Capital Asset Pricing Model, CAPM)及Fama-French三因子模型(Fama-French Three-Factor Model, FF3F)求得公司資金成本，再透過完備資訊方法(The Full-information Industry Beta Method, FIB)了解不同險種間之系統風險及資金成本。實證結果顯示：1. 無論在整體產險公司或是不同險種間，由FF3F模型所估計之資金成本均高於由CAPM模型所估計之資金成本。說明CAPM模型無法反映公司規模及財務危機因子(淨值市價比因子)之溢酬，而造成資金成本之低估。2. 經CAPM模型及FF3F模型之估計，顯示台灣產險業之資金成本均低於國外產險業之資金成本，如美國。說明台灣產險業於資本市場之融資成本較低，造成其資本效率偏低，投資人變相縱容產險公司從事高風險性資產之投資。本研究由台灣實證資料，顯示現行產險業資金取得成本低，導致其資本效率偏低，且投資人無法由市場資訊檢視其保險本業是否根據成本之考量來定價，故主管機關應於費用完全自由化後，加強產險業經營之監理，導正產險市場經營模式，避免因核保循環(underwriting cycle)而影響公司財務穩健。關鍵詞：費率自由化、資金成本、資本資產定價模型、Fama-French三因子模型、完備資訊方法。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論 1第一節 研究背景 1第二節 研究動機及目的 3第二章 文獻回顧 8第三章 理論模型 13第一節 溢酬的定義 13一、公司規模溢酬(πs) 13二、淨值市價比溢酬(πh) 14第二節 理論模型 14一、資本資產定價模型(Capital Asset Pricing Model, CAPM) 14二、Fama-French三因子模型(The Fama-French Three-Factor Model, FF3F) 15三、完備資訊方法(The Full-information Industry Beta Method, FIB) 16第四章 實證分析 19第一節 資料來源與樣本選取 19一、市場及財務資料 20二、業務資料 21第二節 實證分析 23一、整體公司之系統風險及資金成本 23二、各險種之系統風險及資金成本 26第五章 結論與建議 31第一節 結論 31第二節 研究限制與建議 33參考文獻 35中文部分 35英文部分 35附錄 39附錄一 39附錄二 43附錄三 45附錄四 49附錄五 51 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0096358023 | en_US |
| dc.subject (關鍵詞) | 費率自由化 | zh_TW |
| dc.subject (關鍵詞) | 資金成本 | zh_TW |
| dc.subject (關鍵詞) | 資本資產定價模型 | zh_TW |
| dc.subject (關鍵詞) | Fama-French三因子模型 | zh_TW |
| dc.subject (關鍵詞) | 完備資訊方法 | zh_TW |
| dc.subject (關鍵詞) | deregulation | en_US |
| dc.subject (關鍵詞) | cost of capital | en_US |
| dc.subject (關鍵詞) | capital asset pricing model | en_US |
| dc.subject (關鍵詞) | Fama-French three-factor model | en_US |
| dc.subject (關鍵詞) | full-information industry beta method | en_US |
| dc.title (題名) | 台灣產物保險業之資本風險係數、資金成本與費率自由化 | zh_TW |
| dc.type (資料類型) | thesis | en |
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