| dc.contributor.advisor | 杜化宇<br>張元晨 | zh_TW |
| dc.contributor.advisor | Tu, Anthony H.<br>Chang, Yuan Chen | en_US |
| dc.contributor.author (作者) | 劉文謙 | zh_TW |
| dc.contributor.author (作者) | Liu, Wen Chien | en_US |
| dc.creator (作者) | 劉文謙 | zh_TW |
| dc.creator (作者) | Liu, Wen Chien | en_US |
| dc.date (日期) | 2010 | en_US |
| dc.date.accessioned | 29-九月-2011 16:47:37 (UTC+8) | - |
| dc.date.available | 29-九月-2011 16:47:37 (UTC+8) | - |
| dc.date.issued (上傳時間) | 29-九月-2011 16:47:37 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0095357503 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/50813 | - |
| dc.description (描述) | 博士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財務管理研究所 | zh_TW |
| dc.description (描述) | 95357503 | zh_TW |
| dc.description (描述) | 99 | zh_TW |
| dc.description.abstract (摘要) | 【第一篇論文中文摘要】本文檢測公司負債合約中的利差是否可被最終的違約後償還率所解釋。透過1962年至2007年間在美國金融市場上發行但最後卻違約的負債合約資料來進行實證，發現違約後償還率的確有反映在發行時的利差上，且此關聯性會隨著美國開放商業銀行進行證券承銷業務後隨之更加顯著。我們並且進一步發現此償還率的資訊能更加有效反映原因與發行公司的資訊不對稱程度降低有關。此外，我們同時又發現此負債合約中的利差與違約後償還率的關聯性對於公司治理較差、以及非投資等級的發行公司會更為顯著。最後，我們的實證結果在考量內生問題、潛在可能遺漏解釋變數、以及其他模型設定後，仍同樣具有堅實性。【第二篇論文中文摘要】本文使用臺指選擇權的日內資料來探討選擇權提前交易期間是否具有資訊內涵與價格發現的功能。就作者所知，我們是第一篇透過選擇權資料探討提前交易期間資訊內涵的研究。首先，我們分別透過價、量、與高階動差三類資訊變數指標來衡量提前交易期間的資訊內涵。實證結果顯示：選擇權提前交易期間不只能有效反映隔夜資訊 (公開資訊)，且具有預測當日現貨指數開盤後5分鐘內股價指數移動的能力 (反應私有資訊)，說明提前交易期間的確具有資訊內涵與價格發現的功能。此外，我們進一步發現價平選擇權包含最強的資訊內涵，此應與投資人尋求交易流動性最高的價平選擇權來迅速實現其利潤以反映其資訊有關。最後，本研究亦發現前一日海外市場 (美國) 投資人情緒傳染效果的強度會影響提前交易期間選擇權的資訊內涵，而前一日是否交易 (週末效果與假日效果)則不會影響此資訊內涵。 | zh_TW |
| dc.description.abstract (摘要) | 【第一篇論文英文摘要】We investigate whether the spread of corporate debt contacts can be explained by their ultimate recovery rates. Using the actual realized recovery rates of defaulted debt instruments issued in the U.S. from 1962 to 2007, we find that recovery rate is reflected in the spread at issuance, and that this relationship has become more significant since commercial banks were allowed to underwrite corporate securities. Our further investigation indicates that the enhanced informativeness of recovery rate can be attributed to the lowering of information asymmetry of individual firms. Besides, the relation between the spread at issuance and the recovery rate is stronger for weak corporate governance and non-investment grade issuers. Our conclusions are found to be robust to endogeneity issues, potentially omitted variables and alternative model specifications.【第二篇論文英文摘要】This study uses tick-by-tick data to examine the information content and price discovery of TAIEX option trading during the pre-opening period. To the best of our knowledge, this is the first study that focuses on the options market. We construct three groups of information variables to measure the information content of the pre-opening period, including the price, volume, and high moment information variables. We find that option trading during the pre-opening period not only can reflect the overnight information (public information) but also predict the 5-minute intraday returns after the opening of spot market (private information), showing the information content and price discovery of option trading during the pre-opening period. We also find that at-the-money options contain the strongest richness of information content, which may result from its highest liquidity. Finally, we also find that the empirical results would be stronger depending on the intensity of investor sentiment from overseas (U.S. market) of last day but not the length of hours without trading (weekend and holiday effect). | en_US |
| dc.description.tableofcontents | 概論 (研究架構、動機與主要發現) 01【論文第一篇】Information asymmetry and bank regulation: Can the spread of debt contracts be explained by recovery rates? 03 Abstract 03 1. Introduction 04 2. Literature Review and Hypotheses 06 3. Data Description 10 4. Empirical Results 12 4.1 The relation between spread at issuance and realized recovery rate 12 4.2 The relation between spread at issuance and realized recovery rate subsequent to the gradual liberalization of the underwriting markets 16 4.3 The role of information asymmetry in the relation between spread at issuance and realized recovery rate 18 4.4 The effect of corporate governance on the relation between spread and recovery rate 21 4.5 The effect of credit rating on the relation between spread and recovery rate 22 5. Robustness Checks 24 5.1 Endogeneity 24 5.2 Potentially omitted variables 27 5.3 Bank loans versus corporate bonds 27 5.4 Other model specification issues 28 6. Conclusions 30 References 32 Tables 36【論文第二篇】臺指選擇權在現貨開盤前15分鐘的交易具有何資訊內涵? 50 壹、前言 51 貳、研究樣本說明 60 叁、變數說明與模型建構 62 一、被解釋變數：隔夜報酬率與日內報酬率 65 二、主要解釋變數：資訊變數 67(一) 價的資訊：賣買權平價偏離度 67 (二) 量的資訊：選擇權買賣量不平衡的相關變數 68 (三) 高階動差的資訊：與投資人情緒相關資訊變數 70 三、其他控制變數 79肆、實證結果 80 一、議題一：選擇權提前交易期間是否具有資訊內涵呢? 80 二、議題二：選擇權的價性是否會影響資訊內涵 85 三、議題三：週末效果和假日效果對於資訊內涵的影響 86 四、議題四：海外市場傳染效果的強度對於資訊內涵的影響-以美國市場恐慌指數為例 88 五、堅實性檢測 - 極端值的影響：針對提前交易期間資訊內涵與隔夜報酬率 89 伍、結論及後續研究建議 91 參考文獻 93 表 101 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0095357503 | en_US |
| dc.subject (關鍵詞) | 違約後償還率 | zh_TW |
| dc.subject (關鍵詞) | 資訊不對稱 | zh_TW |
| dc.subject (關鍵詞) | 銀行管制 | zh_TW |
| dc.subject (關鍵詞) | 公司治理 | zh_TW |
| dc.subject (關鍵詞) | 信用評等 | zh_TW |
| dc.subject (關鍵詞) | 格拉斯-史蒂格法 | zh_TW |
| dc.subject (關鍵詞) | 金融服務現代法 | zh_TW |
| dc.subject (關鍵詞) | 選擇權交易 | zh_TW |
| dc.subject (關鍵詞) | 選擇權資訊內涵 | zh_TW |
| dc.subject (關鍵詞) | 提前交易期間 | zh_TW |
| dc.subject (關鍵詞) | 臺指選擇權 | zh_TW |
| dc.subject (關鍵詞) | Recovery rate | en_US |
| dc.subject (關鍵詞) | Information asymmetry | en_US |
| dc.subject (關鍵詞) | Bank regulation | en_US |
| dc.subject (關鍵詞) | Corporate governance | en_US |
| dc.subject (關鍵詞) | Credit rating | en_US |
| dc.subject (關鍵詞) | Glass-Steagall Act | en_US |
| dc.subject (關鍵詞) | Financial Services Modernization Act | en_US |
| dc.subject (關鍵詞) | Option trading | en_US |
| dc.subject (關鍵詞) | Option information content | en_US |
| dc.subject (關鍵詞) | Pre-opening trading | en_US |
| dc.subject (關鍵詞) | TAIEX option | en_US |
| dc.title (題名) | 資訊與金融市場論文兩篇 | zh_TW |
| dc.title (題名) | Two essays on information and financial markets | en_US |
| dc.type (資料類型) | thesis | en |
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