Browsing by Author "Lee-Young Cheng"

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Adjusting Minimal Maintenance Margin Requirement When Price Limits Widening
(2014)
王明昌
;
鄭揚耀
;
陳宥榤
;
Ming-Chang Wang
;
Lee-Young Cheng
本研究昌在探討台股放寬漲跌幅限制時，現行信用交易的整戶擔保維持率是否需要調整以確保授信機構的債權。本研究藉GARJI模型估計風險值，推估不同漲跌幅之最低擔保維持率臨界值，再以最低擔保維持率的上限值為基準，利用台股過去不同信心水準、風險程度、模擬投資人的投資組合，推估放寬漲跌幅時最低擔保維持率臨界值，同時以保障條數比較台指期與證券信用交易。實證結果發現：漲跌幅放寬為10%時，現行法定最低擔保維率120%對授信機構之債權保障可能有些微不足；另一方面，即時性的證券市場之信用交易保障程度是近似於期貨市場。本研究結果提供政策制定者，於價格限制放寬時，對信用交易有關整戶擔保維持率提供最適設定。
Effects of individual margin requirement and risk preference on individual margin trading
(交通大學, 2016-06-01)
Ming-Chang Wang
;
Lee-Young Cheng
;
Pang-Ying Chou
Using a total of 25,000 individual accounts provided by the Taiwan Stock Exchange Corporation, this paper discusses the methodologies used for securities margin trading and explores whether a difference in the individual margin requirements and risk preferences set by investors would change the securities margin trading ratio. The individual margin requirements set by investors depending on the degree of leverage regarding investment targets. And, the margin trading ratios set by investors depending on the size of their leveraged positions. Therefore, investors can adjust the risks associated with investment portfolios according to the degree of leverage and leveraged positions. In addition, because the degree of risk aversion exhibited by individual investors varied, the investment portfolio risks differed. This study explores whether risk preference influences the relationship between the individual margin requirement set by investors and the margin trading ratio they adopt. The empirical results indicate that the investors adopt a low margin trading ratio when they set a high individual margin requirement. The trading mechanism for individual margin requirements can reduce volatility effects and mitigate the influences exerted on individual margin trading. Moreover, a low degree of risk preference increases the sensitivity of individual margin requirements toward individual margin trading.
公司治理、資本支出決策與公司價值
(2013-10-01)
王育偉
;
鄭揚耀
;
Yu-Wei Wang
;
Lee-Young Cheng
;
Institute of Business and Management
本研究以追蹤資料探討民國92年至96年台灣上市公司當季資本支出比率，實證結果發現台灣上市公司資本支出比率存在季節效果。再者，本研究討論不同公司治理機制對於投資決策的影響，實證結果發現未聘任獨立董事、機構法人持股比率較低的公司，會因代理問題造成經理人制訂出和投資機會相反的投資決策。此外，本研究也發現過度投資的公司會導致公司績效較差，而且未聘任獨立董事、經理人持股比率較低、機構法人持股比率較低的公司，經理人容易產生過度投資的情形。最後，本研究發現董事長兼任總經理、聘任獨立董事、家族企業、董事會規模越大、董事持股比率、機構法人持股比率越多的公司，這些公司會因為監督機制較為完備或代理問題較低，故制訂出的資本支出計畫能創造出更多公司價值。