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研究生:陳俊偉
研究生(外文):Chen Chun-Wei
論文名稱:股酬交換之分析與評價
論文名稱(外文):Analysis and Valuation of Equity Swaps
指導教授:蔡偉澎蔡偉澎引用關係
指導教授(外文):Tsai Wei-Pen
學位類別:碩士
校院名稱:輔仁大學
系所名稱:金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2005
畢業學年度:93
語文別:中文
論文頁數:130
中文關鍵詞:股酬交換提前清償融資借款選時售股上限型股酬交換股酬交換選擇權財務操作隨機過程模擬評價法
外文關鍵詞:Equity SwapsunwindFinanceMarket TimingCapped Equity SwapsEquity SwaptionFinance StrategyStochastic ProcessValuing by Simulation
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本文第二章雖以股酬交換”商品介紹”為題,但卻非提出新商品之介紹,僅是對商品近年來於實務運作上,與先前文獻、主管機關認知之歧異做介紹;注意實務運作一辭,表示商品其已存在並正在運作中,而學術文獻與主管機關之認知卻仍停滯不前;此項商品早已變化運用於基金公司、壽險公司、投資機構與證券公司等運用,其利用商品的操作彈性來達成各自之目的,但卻因商品的彈性發展,造成學術領域與主管機關對股酬交換商品認知上的歧異,因此本研究主要針對現行實務運用之股酬交換,進行分析與評價;其中分析議題包括:
1.股酬交換(Equity Swaps)之變革,從商品介紹來看股酬交換之功能演進、現今之實務做法與理論做法差異;
2.說明先前股酬交換與現今股酬交換作法,兩者所衍生之法律與會計制度議題,此問題並非一朝一夕之事,且癥結越來越多;
3.說明本文所針對之財務操作型股酬交換,其參與公司之動機與運作架構,並對不同產業之參與公司說明其交換架構;
4.實務做法之現金流量試算表建置,並說明各交換現金流量之意涵,從中可發現其做法真可謂巧奪天工;
本文在分析過實務交換契約後,發現:確實現行股酬交換已與過往認知大不相同,現行股酬交換之動機已非以往的突破投資障礙與放空公司股票兩類動機,已經演變成具有財務操作之功能,財務操作之意涵包括選時售股與融資借款兩者,係透過複雜的交換方式,可在“表外”達成選時售股與融資借款目的;而隨商品的演進變革,法律與會計制度已有抓襟見肘之憂慮,甚至可能出現公司治理問題之隱憂;另外,為達本文所針對之交換目的,複雜的交換方式須藉由試算表計算方式來評價,也因複雜的交換模型導致先前的評價文獻已無法套用於現行股酬交換,因此本文藉由模擬試算來求出交換加碼之近似解。

因此,藉由商品分析其交換架構後,得建構一評價用之試算表,來進行模擬試算評價,接著針對模擬評價法進一步分析,包括:
1. 敏感度分析;
2. 修正試算表內各外生隨機變數路徑,看不同變數模型對交換價值的影響程度;
3. 清償時機策略分析;
4. 上限型(cap)交換之動機與價值分析;
Though the topic is assigned “Product Introduction of Equity Swap” in Chapter 2, it is not to introduce the new products, but to tell the differences of products that practically used for recent years from the ones in previous studies and in the administrator’s perspective also. Since the products were practically used, the cognition of the products in previous studies and the administrator’s perspective is totally stagnant. This kind of products have already been variously used in mutual fund companies, life insurance companies, and security companies, they achieve their purposes by taking the products’ advantage of flexibility, and hence, there is different understanding among the equity swap products in reality and in the academia and administrator’s views.
Therefore, this study is to analyze and appraise Equity Swap currently used, the issues are the followings:
1.The revolution of Equity Swap: Realizing the equity swap’s functional evolution and the difference of the course of action in theory and in practice from products introduction.
2.Explaining the method of Equity Swap in the past and at present, the following jural and accounting issues respectively, these issues do not come in a short period of time, and the crux comes more and more.
3.Interpreting the financial operated Equity Swap focused in this paper. The participant’s motives and operative frames, and to interpret the swap frame of participants in different industries.
4.Establishing a cash flow trial balance for practical method, and to interpret the meaning of every swapped cash flow, we could see the superb craftsmanship in the swaps.

After analyzing the swap contract, I found that the knowledge of Equity Swap practically used has been far more different than that we have known before, the motives of Equity Swap currently used are no longer to break through investment obstacles nor to sell company stocks, but to be the financially operated instruments, which include the purposes of market timing and financing, they could be done off the balance sheet by complicated swap method. As the product develops, there have been too many difficulties to cope with in the jural and accounting system, even in the field of corporate governance. Furthermore, to achieve the swap purposes in this paper, the evaluation of complicated swap method should be computed by trial balance, and because the swap method is so complicated that previous pricing documents were no longer applicable to the Equity Swap currently used. Therefore, in this paper I try to find an approximate solution for swap markup by simulation. After analyzing the swap frames by the products, we could establish a trial balance for evaluation, and simulate the trial prices, moreover, analyze the simulation including:
1.Sensitivity analysis
2.Adjusting every external stochastic variable path in the trial balance, to see the extent of influence on swap value for different variable model.
3.Analyzing the unwind strategy.
4.Analyzing the motives and values of Capped Equity Swap.
第一章 續論 1
第一節 研究動機 1
第二節 研究目的與文章架構 6
第二章 Equity Swaps 介紹 9
第一節 商品介紹 9
第二節 Equity Swaps 實際應用誘因 29
第三節 股酬交換對法令制度的衝擊 36
第三章 文獻探討 44
第一節 股酬交換相關文獻演進 44
第二節 股酬交換相關文獻總結 78
第四章 研究方法與步驟 82
第一節 交換試算表建置 84
第二節 變數模型 98
第五章 評價結果與敏感度分析 105
第一節 變數估計與評價結果 105
第二節 敏感度分析 108
第三節 模型修正 117
第四節 清償時機策略分析 119
第五節 股酬交換選擇權 120
章節附錄一 124
第六章 結論與建議 127
第一節 結論 127
第二節 未來研究建議 129
一、中文文獻
[1]楊孝雰,「固定匯率下跨國股酬交換之評價」,國立中央大學財務管理研究所88學年度碩士論文,2000。
[2]姜碧嘉,「隨機利率下之資產交換--跨通貨股酬交換與利率交換的評價與避險」,國立政治大學金融研究所89學年度碩士論文,2001。
[3]廖政芳,「信用風險下的股酬交換評價」,國立政治大學金融所90學年度碩士論文,2002。
[4]王銘杰,「跨通貨股酬交換及交換選擇權之評價」,國立中山大學財務管理學系研究所88學年度博士班論文,2001。
[5]徐宗清,「股酬互換契約的分析與應用」,輔仁大學金融研究所91學年度碩士論文,2003。
[6]江怡蒨,「無匯率風險下跨通貨股權交換之評價」,國立政治大學國際貿易學系87學年度博士論文,1999。
[7]蘇金祥,「股權交換的設計、評價與相關法令」,寶來金融創新季刊第12期, pp.27-30,2000。
[8]林進富,「權益交換(Equity Swaps)對現行法令規範之衝擊」,證券管理, pp.32-41,1996。
[9]蔡文雄,「探究股價交換之機能與操作」,會計研究月刊第133期, pp.87-92,1996
[10]王銘杰,「股酬交換選擇權的評價模式」,2003現代財務論壇研討會論文,靜宜大學,台中,2003。
[11]王銘杰與廖四郎,「跨通貨雙向股酬交換之評價」,第九屆証券暨金融市場理論與實務研討會論文,中山大學,高雄市,1999。
[12]莊志宏,「利率模型之實證與商品評價」,輔仁大學金融研究所93學年度碩士論文,Working Paper,2005。

二、英文文獻
[1]Longstaff & Schwartz,"Valuing American Option by Simulation:A Simple Least-Squares Approach",The Review of Financial Studies; Spring 2001; 14, 1; ABI/INFORM Global。
[2]Don M. Chance and Don Rich,"The Pricing of Equity Swaps and Swaptions",Journal of Derivatives ; Summer 1998; 5, 4, pp.19-31; ABI/INFORM global。
[3]D. M. Chance,"Pricing and Valuation of Equity Swaps",TEACHING NOTE, TN97-15, October 24, 2003。
[4]Bolster, P., D.M. Chance, and D. Rich.,"Executive Equity Swaps and Corporate Insider Holdings",Financial Management ; Summer 1996; 25,2, pp.14-24; ABI/INFORM Global。
[5]Marshall and Sorensen and Tucker,"The Plain Vanilla Equity Swaps and it Variants",Journal of Financial Enginnering, 1992, pp.219-241。
[6]Rich D.,"Note on the valuation and hedge of Equity Swaps",Journal of Financial Enginnering。
[7]Jarrow R. & Turnbull S.,"Derivative Securities",Cincinasti: South-Western College publishing。
[8]J. Carr Bettis & John M. Bizjak & Michael L. Lemmon,"Insider Trading in Derivative Securities: An Empirical Examination of the Use of Zero-Cost Collars and Equity Swaps by Corporate Insiders",Social Science Research Network, SSRN, JEL Classifications: G30, G34, K22 ,Working Paper Series。
[9]FRANCIS E. LAATSCH,"Tax Clienteles, Arbitrage,and the Pricing of Total Return Equity Swaps",THE JOURNAL OF DERIVATIVES, Winter 2000, pp.37-46。
[10]MASAAKI KIJIMA and YUKIOMUROMACHI,"Pricing Equity Swaps in a Stochastic Interest Rate Economy",THE JOURNAL OF DERIVATIVES, Snmmer 2001, pp.19-35。
[11]Liao, Szu-Lang & Wang, Ming-Jie,"The Pricing Models of Cross-currency Equity Swaps and Swaptions",The Conference of Finance and Industry,National Dong Hwa University,Hualien。
[12]Heath ,D.,Jarrow,R., Metron.A.,"Bond Pricing and the term structure of interest rates: A new methodology for contingent claims valuation", Econometrica, 1992, pp77-105.
[13]Liao,Szu-Lang & Wang, Ming-Jie,"Pricing Modes of Equity SWAPS",The Journal of Futures Markets,2003,Vol. 23, No 8, 751-772。
[14]Don. M. Chance,2003,"Equity Swap and Equity investing",E.J. Ourso College of Business,academics finance research,Working Paper。
[15]Kauhik I. Amin and James N. Bodurtha, Jr.,"Disrete-Time Valuation of American Option with Stochatic Interest Rates",The Review of Financial Studies Spring, 1995, Vol. 8, No. 1, pp. 193-234。
[16]Francis A. Longtaff & Eduardo S. Schwartz,"Valuing American Options by Simulation : A Simple Least-Squares Apporach",The Review of Financial Studies Spring,2001, Vol. 14, No. 1, pp. 113-147。
[17]Heath, D., Jarrow, R., and Morton A., "Bond Pricing and the term structure of interest rates: A new methodology for contingent claims valuation", Econometrica, 1992, pp.77-105。
[18]Rendleman, R., and B. Bartter. ”The Pricing of Options on Debt Securities ”, Journal of Financial and Quantitative Analysis, 15, March 1980, pp.11-24.
[19]Vasicek, O. A. “An Equilibrium Characterization of the Term Structure”, Journal of Financial Economic, 5 (1977), pp.177-188
[20]Cox, J. C.., J. E. Ingersoll, and S. A. Ross. ”A Theory of the Term structure of Interest Rates,” Econometrica , 53(1985),pp. 385-407。
[21]Longstaff, F. A., and E. S. Schwartz. ”Interest Rate Volatility and the term Structure: A Two Factor General Model”, Journal of Finance, 47, 4, September 1992, pp.1259-882。
[22]Fong, H. G. and O. A. Vasicek, “Interest Rate Volatility as a Stochastic Factor”, Gifford Fong Associates Working Paper, 1992.
[23]John C. Hull, Options, Futures, & Other Derivatives, fifth edition.
[24]John Hull and Alan White(1990), “Pricing Interest-Rate-Derivative Securities”, Review of Financial Studies, Vol. 3, No. 4, pp.573-592.
[25]Fischer Black, Emanuel Derman and William Toy (1990 January-February), “A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options”, Financial Analysis Journal, pp.33-39.
[26]Fischer Black and Piotr Karasinski(July – August 1991), “Bond and Option Pricing when Short Rates are Lognormal” ,Financial Analysts Journal, pp.52-59
[27]A. Brace, D. Gatarek, and M. Musiela. ” The Market Model of Interest Rate Dynamics”,Mathematical Finance, 7, no.2(1997), pp. 127-55。
[28]K. C. Chan; G. Andrew Karolyi; Francis A. Longstaff and Anthony B. Sanders (1992), ”An Empirical Comparison of Alternative Models of the Short-Term Interest Rate,” Vol. 47, No. 3, pp.1209-1227.
[29]J. C. Cox and S. A. Ross, “The Valuation of Option for Alternative Stochastic Processes”,Journal of Financial Economics, 3 (March 1976), pp.145-66。
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