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台灣政治循環下股票市場投資組合績效之探討

THE STUDY OF PERFORMANCE OF THE STOCK MARKET PORTFOLIO IN TAIWAN'S POLITICAL CYCLE

王銘駿

國立高雄第一科技大學金融系副教授

陳宜伶

國立高雄大學亞太工商管理學系副教授

吳昭億

國立高雄第一科技大學財務金融學院博士候選人

黃巧雯

國立高雄第一科技大學金融系碩士

Ming-Chun Wang

Associate Professor, Department of Money and Banking,

National Kaohsiung First University of Science and Technology

Yi-Ling Chen

Associate Professor, Department of Asia-Pacific Industrial Business Management,

National University of Kaohsiung

Chao-Yi Wu

Ph. D. Candidate, Graduate Institute of Finance and Banking,

National Kaohsiung First University of Science and Technology

Chiao-Wen Huang

Master, Department of Money and Banking,

National Kaohsiung First University of Science and Technology

摘要

　　台灣自1996年起，每隔四年舉行一次總統大選，本研究藉由1996年至2012年間總統大選前後一年的股票報酬率資料來探討台灣股市是否存在政治循環現象，並以Piotroski（2000）的F_score為基本架構，在考量企業獲利能力、經營績效及稅後淨利與營運現金流量差異等因素，修訂提出A_score之投資策略，探討A_score報酬率是否優於股票市場指數報酬率與F_score之報酬率。經過實證發現，大選前一年的股票市場指數報酬率均優於大選後一年，證實台灣股票市場確實存在「政治景氣循環」現象，本研究所提之A_score報酬率除了在1996年5月20日至2000年5月20日這段期間，優於大盤指數而略遜比F_score外，餘績效均優於大盤指數及F_score報酬率。

關鍵字：政治景氣循環、F_score、投資策略

ABSTRACT

　　Ever since 1996, Taiwan has held presidential elections every four years. This research investigates whether the phenomenon “political business cycle” exists in Taiwanese politics by comparing the stock return index of the years preceding and succeeding Taiwanese presidential elections held between 1996 and 2012. The framework of the research is based on Piotroski’s (2000) F_score and took corporate profitability, operating performance, net income after tax, and free cash flow into consideration. In combination of the aforementioned factors, the researcher proposed a new index of A_score as an investment strategy, and examined whether the returns of the A_score were superior than both the stock market return and F_score return. The empirical results indicate that the stock market return of the years preceding elections was higher than the one of the succeeding year, proving that political business cycle does exist in the Taiwan stock market. The A_score proposed by this research outperformed the stock market return as well as the F_score profitability with the exception from May 20th, 1996 to May 20th, 2000 when performance was only slightly lower than the F_score but still better than the stock market return.

Keywords: Political Business Cycle, F_score, Investment Strategies

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股市成交量與波動之研究－以電視收視率為工具變數分析之

THE RELATIONS BETWEEN TRADING VOLUME AND VOLATILITY IN THE STOCK - AN ANALYSIS OF INSTRUMENTAL VARIABLE WITH TV RATING MODERATOR

莊家彰

國立台北商業大學國際商務系副教授

郭俊賢

國立台北商業大學國際商務系副教授

Chia-Chang Chuang

Associate Professor, Department of International Business,

National Taipei University of Business

Chun-Chien Kuo

Associate Professor, Department of International Business,

National Taipei University of Business

摘要

　　藉由台灣電視節目收視率、台股成交量與台股波動性的資料，本文利用Hausman（1978）檢定指出成交量為自變數來解釋股市波動的內生問題。我們可以用兩階段的工具變數法來克服這個問題並得到具一致性的估計結果。在工具變數的選取上，我們首度嘗試以「財經資訊分析」和「新聞播報節目」的收視率為候選變數，依據Stock and Watson（2003, p. 371）和Stock and Yogo（2005）所建議的準則，確認「財經資訊分析」的收視率為強工具變數；「新聞播報節目」的收視率為弱工具變數。接著，再以Sargan（1958）的外生性檢定確認「財經資訊分析」的收視率的外生性。本研究的工具變數法的估計結果顯示，成交量所帶動的股市波動遠大於以最小平方法所估得的結果。根據這樣的結果，本研究進一步模擬投資人在觀察到「財經資訊分析」的收視率以後，對股市的波動形成一致性的預期，並且透過台指選擇權的操作，形成一種可能的獲利空間。

關鍵字︰股市成交量，股市波動，收視率，工具變數

ABSTRACT

　　This paper investigates the impacts of trading volume on the volatility of Taiwanese stock by adopting TV rating as instrument variable. According to the Hausman (1978) test, using trading volume as regressor to explain the volatility of stock will yield the endogeneity problem. One can get the consistent empirical estimations by adopting the two-step instrumental estimation. We carry the two-stage instrument estimation by choosing the TV rating of “analysis of financial information” and “news reporting” program as candidate instrumental variables. We find that the TV rating of “analysis of financial information” is strong instrumental variable and the TV rating of “news reporting” is weak instrumental variable based the criterion of Stock and Watson (2003, p. 371) and Stock and Yogo (2005). Besides, this paper applies the Sargan (1958) test to test the exogeneity of strong instrumental variable and show that the TV rating of “analysis of financial information” is the exogenous variable. We find the stock volatility results by 2SLS are larger than the empirical results by OLS. We further show the scenario for investors to form consistent expectation on stock market volatility after observing the TV rating and based on it, they may earn some possible gains by the operation on the options market.

Keywords: Trading Volume, Stock Volatility, TV Rating, Instrumental Variable

回目錄

以選擇進入模式觀點看分化型創業

ENTREPRENEURIAL SPIN-OFF ENTRY: THE PERSPECTIVE OF MODE CHOICE

韓宜

逢甲大學國際貿易學系助理教授

I Han

Assistant Professor, Department of International Trade,

Feng Chia University

摘要

　　本研究以理論與文獻的邏輯探討為何創業者選擇以創新事業的方式作為組織的模式。本論文提出在何種狀況之下，原本受僱的員工將可能會選擇以分化出另一創新事業。本研究論述，分化型創業，其實就是一種在考量創新、不確定性，及機會之下一種有效率的組織模式的選擇。根據K. H. Knight、J. A. Schumpeter及I. M. Kirzner等創業理論經典著作之脈絡，本研究以創新、不確定性，及機會的角度來探討對員工選擇分化型創業的組織模式；另外，除了先前工作的經驗之外，社會資本也是支持個人在進行分化型創業時的考量因素。在以下三種狀況下，分化型創業最有可能發生：一、當創業者會選擇去極大化其所處團隊的專屬知識；二、當創業者願意去完全承擔其對於因其天賦可能創造的未來財富的樂觀期待（即使是以不確定性存在）；三、當創業者因瞭解資訊流動與知識創造而想要充分掌握現任公司職務之外的可能市場機會，而此三者可能存在交互影響的效果。另外，當創業者擁有社會資本作為支持而透過自有的社會網絡得以實現時，更能促使分化型創業付諸行動。本研究以組織模式的選擇解釋分化型創業為主要理論貢獻。

關鍵字：創業者、分化、創新事業、模式選擇

ABSTRACT

　　This theoretical study inquires why entrepreneurs choose to create a new venture as a mode of organizing. This study consider entrepreneurial spin-off as a new venture creation by an employed individual. We argue that an entrepreneurial spin-off is an efficient mode choice, regarding innovation, uncertainty, and opportunity. Based on the major entrepreneurship theoretical foundations of K. H. Knight, J. A. Schumpeter, and I. M. Kirzner, we propose that innovation, uncertainty, and opportunity motivate an employed individual chooses an entrepreneurial spin-off. Beyond the prior company experience, we further propose that social capital facilitates the decision taking into action when the individual to proceed an entrepreneurial spin-off. An entrepreneurial spin-off tends to occur when an entrepreneur chooses to maximize team production output with one’s specific know-how, to fully bear uncertainty for his or her optimistic judgment of future fortunes based on one’s talent, to utilize opportunities beyond the current company’s businesses based on information flow and knowledge creation, and these interactive effects might exist. Furthermore, the entrepreneurial spin-off is facilitated when social capital resources support. This study makes theoretical contributions of explaining entrepreneurial spin-off decision with a new venture organizing mode of choice.

Keywords: Entrepreneur, Spin-off, New Venture Creation, Mode Choice

回目錄

十二年國教經營效率分析－一般DEA及DEA類別模式方法之應用

THE OPERATING EFFICIENCY OF PUBLIC AND PRIVATE HIGH SCHOOLS - CATEGORICAL VARIABLE MODEL IN DEA

郭福祥

朝陽科技大學資訊管理所博士班

劉祥熹

國立台北大學特聘教授暨國際企業所所長

李麗華

朝陽科技大學資訊管理系教授

Fu-Hsiang Kuo

Ph. D. Student, Institute of Information Management,

Chaoyang University of Technology

Hsiang-Hsi Liu

Distinguished Professor and Director, Graduate Institute of International Business,

National Taipei University

Li-Hua Li

Professor, Department of Information Management,

Chaoyang University of Technology

摘要

　　本研究目的旨在應用類別變數DEA（Categorical variable data envelopment analysis）評估新北市新店區公私立高中職學校之經營效率，首先不考慮其群組性質直接運用DEA方法進行經營績效評估，再次考慮其群組性質先行分類並結合類別變數分析進行經營績效評估，顯示十二年國教免學政策確實有效提升職業學校經營效率，且類別變數分析評估模式優於一般DEA方法。

關鍵字：資料包絡分析法、類別變數、經營績效、公私立高中職

ABSTRACT

　　The purpose of this study is to apply categorical variable DEA in evaluating operational efficiency of twelve-year public for senior high and higher vocational school in Xindan area, new Taipei city. Firstly, we do not consider different properties for senior high or higher vocational school to evaluate their operational efficiencies by DEA method. Secondly, we classify two groups in view of different properties indicated above to assess their performance by categorical variable DEA. Finally, by comparisons of the two performance results, it indicates that twelve-year public education can indeed improve the efficiency of school management through the performance evaluation of categorical variable DEA method.

Keywords: Data Envelopment Analysis, Categorical Variables, Operational Performance High and Vocational School

回目錄

台灣碳權交易平台之優勢分析與整合規劃

COMPETITIVENESS ANALYSIS AND COOPERATION MODEL
OF CARBON CAP-AND-TRADE FOR TAIWAN

林亭汝

國立交通大學科技管理研究所教授

王仁聖

國立交通大學科技管理研究所兼任助理教授

謝伯欣

國立交通大學科技管理研究所博士生

徐作聖

國立交通大學科技管理研究所教授

Grace T.R. Lin

Professor, Institute of Management of Technology,

National Chiao Tung University

Jen-Sheng Wang

Assistant Professor, Institute of Management of Technology,

National Chiao Tung University

Po-Hsin Hsieh

Ph. D, Institute of Management of Technology,

National Chiao Tung University

Joseph Z. Shyu

Professor, Institute of Management of Technology,

National Chiao Tung University

摘要

　　本研究首先探討碳權交易全球市場現況，並依據碳權交易規範及配合國家及五力競爭優勢分析，以進一步規劃並發展碳權交易平台模式。該平台模式參考國外碳權交易市場機制並結合國內減碳技術，針對國內碳權交易市場進行營運規劃，形成新型態的商業模式，期望透過本研究之規劃能有效探討碳權交易，使台灣在碳權交易市場能有所突破，可以達到多贏。

　　碳權交易平台模式，整體規劃結論如下：(1)提供企業進入碳權交易市場的機會；(2)符合市場對低碳產品的期待；(3)成為重要的溫室氣體減排工具；(4)協助政府解決節能減碳政策措施的瓶頸。綜合上述所言，本研究將掌握後京都時期自願性減排趨勢進行營運模式規劃，提供台灣相關企業提升「綠色競爭力」的途徑，成為台灣進入碳權交易產業具有優勢的策略之一。

關鍵字：碳權交易、國家競爭優勢分析、五力分析、碳權交易結合模式、節能減碳政策、綠色競爭力

ABSTRACT

　　This study first discussed the current status of cap-and-trade worldwide per applying the national competitive advantage analysis along with five forces analysis. According to the cap-and-trade rules, we build and progress the cap-and-trade cooperation model. The new cooperation model for commercialization integrates the global cap-and-trade mechanism and the Taiwan technologies for carbon cap-and-trade. It not only increases the value of technologies for carbon cap-and-trade, but also achieves the goal progressing the cap-and-trade more effectively based on this well-organized cooperation model. In this way, Taiwan could have advantages in the cap-and-trade market and relevant parties all could win.

　　The conclusions of this study are as the follows: (1) Provide the opportunities for Taiwan to entrance cap-and-trade market. (2) Meet the requirement of customers for low-carbon products. (3) Be the important instrument for emission abatement. (4) Assist the Government to solve the bottleneck of energy and emission abatement policies. From the above, this study programmed the operation model under post-Kyoto voluntary emission abatement trend, and suggested the strategies that can help developing “Green Competitiveness” of carbon cap-and-trade related businesses in Taiwan.

Keywords: Carbon Cap-and-Trade, National Competitive Advantage Analysis, Five Forces Analysis, Cooperation Model of Carbon Cap-and-Trade, Energy-Saving and Emission-Deducting Policy, Green Competitiveness

回目錄