淡江大学商学院财金系九十六学第二学期教学大纲.DOC

1、1淡江大學 商學院 財金系 九十六學年度第二學期教學大綱 (財金所 博士班)Purpose: This course is designed for PhD level students. The intention of this course is to help students learning modern financial theories to accomplish goals in financial management and write good research papers for publication. Course Design: We meet once a

2、 week. Several papers (3-6) will be assigned to read and discussion each week, make sure you read all the assigned papers before you attend the class. Otherwise, you will get lost during the class. Moreover, you will be asked to present your (finished) research working papers during the class. Make

3、sure to schedule your time for the presentation before the end of the semester and Do your best to get through this course.Make Sure that You Enjoy Yourself in this Class.壹、科目名稱：財務理論研討(Seminar on Financial Theory)貳、授課老師：聶建中 博士參、開課系所班級：財金所 博士班肆、必選修：必修伍、學分數：3陸、先修科目：(統計、財管)柒、教學內容及進度：(週四：14:1017:00)週次 日

4、期 內容 Reading PaperAssignmentsMeth.1 2/21 課程簡介與導論(Introduction)2 2/28 = Holiday Day =3 3/6 財務理論及方法簡介 (Theoretical and Empirical Study in Finance)4 3/13 負債與公司價值 Debt 聶劉(04); 聶楊(04); 聶張(04); 聶劉(2005) ; 聶顏(2005) ; 聶李(2005) ; 聶施(2005)5 3/20 負債與投資決策 Debt “Financial Theory and Corporate Policy” Third Editi

5、onAddison-Wesley Publishing Company, 19882. Anthony Saunders and Linda Allen, “Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms,” 2nd Ed., John Wiley “Derivatives Markets”Pearson Education Inc., 2003拾貳、成績考核方式：平時成績： 10 % 課堂參與討論： 20 %期中考： 30 % 期末報考： 40 %拾參、授課教室：淡江校本部(商管大樓)：

6、B-? 拾肆、備考：http:/mail.tku. edu.tw/niehcc / Office: B-1001 / 262156956 ext. 2591, 2592, 2090課前預習、課中專心、課後複習 ，為”成功”學習的不二法門，切實做去，則難者亦易矣!3Methodologies for Financial TheoryNo. Methodologies Key Papers SoftwareSources Reading Assignments DateUnit Root DF(81), PP(89), KPSS(92), ERS(96), NP(01)Cointegration

7、EG(87), JJ(88,90,92, 94)L(96), CB(04), NC(03)Granger Causality G(69, 88)VAR vs. VECM Sims(80)IRF HI,94; J,94; KSS,03)KSS(03b) EViews4.0 3/20Nonlinearity test HLC(01), MO(02)(11)*Model specification-STEViews4.0 L, C 4/10LSTECM RATS6.0 Chang CNC(05a)(12)*ESTECMAT(92), T(93), GT(94)RATS6.0 Chang K(03),

8、 M(04), 4/1713 Others144/24=3/13Panel Threshold(1) Hansen, Bruce E. (1999) “Threshold Effects in Non-dynamic Panels: Estimation, Testing, and Inference,” Journal of Econometrics, 93, 345-368*(2) Huang, Ho-Chuan and Nieh, Chien-Chung (2004), “Realize the Realized Stock Index Volatility,” Asian Econom

9、ic Journal, 18(1), 59-80 (3) Nieh, Chien-Chung and Lihong Lu，12/20-21, 2004， “Threshold Effect Between Capital Structure and Operating Efficiency of Chinese Listed Companies:1998-2002,” (2004 NTU International Conference of Finance on Financial Market Competition and Integration)，Department of Finan

10、ce, National Taiwan (台灣大學管理學院一館 B1 國際會議廳)(4) Nieh, Chien-Chung, Yau, Hwey-Yun and Chiang, I-Chan, 7/10-12, 2006, “Investigation of Target Capital Structure for Electronic Listed Firms in Taiwan,” Asian FA 2006 conference (Auckland /NZ) (NSC:臺會合字第 0950026353 號 )(5) 聶建中與林佳杏，10/29, 2003， 利率與銀行活期性存款之門檻效

11、果分析研究 ，(2003 金融理財學域學術校際研討會)，醒吾技術學院(台北縣林口) (2003 金融理財學域學術校際研討會論文集 , pp. 1-20)4(6) 聶建中與陳文敏，10/17, 2003， 利率與各型基金淨值之縱橫門檻效果關係研究 ，(第 2屆全國應用經濟學術研討會)，淡江大學應用經濟系(台北市城區部) (第 2 屆全國應用經濟學術研討會論文集 , pp. -)(7) 聶建中、張寶光與李智祥，4/9, 2004， 台灣高研發產業負債與股價淨值之門檻關係研究 ，( 金融服務整合與創新發展-兩岸學術交流研討會)，實踐大學管理學院(台北市) (研討會光碟論文集 )(8) 聶建中、莊孟翰

12、與張雅凱，4/24, 2004， 公司價值與財務槓桿之門檻效果實證研究-以營建業上市公司為例 ，(第三屆跨領域管理學術暨實務研討會)，東海大學(台中市) (第三屆跨領域管理學術暨實務 研討會光碟論文集 )(9) 聶建中與劉文謙，6/12-13, 2004， 電子產業資本結構與營運績效之非線性關聯性研究縱橫門檻效果分析 ， (第五屆全國實證經濟學論文研討會)，逢甲大學(台中市) (第五屆全國實證經濟學論文研討會光碟論文集 )(10) 聶建中、謝明瑞與楊曉嵐，9/29-30, 2004， 最適家族董事比例結構之研究縱橫門檻效果分析 ， (2004 商管及資訊研討會)，台北大學與靜宜大學(台北縣三峽

13、)(11) 聶建中、張寶光與張蘊璇，11/5, 2004， 無形資產，分析師預測準確度及其樂觀偏誤之關聯 ， (2004 管理新思維學術研討會)，國立台灣科技大學(台北市)(12) 聶建中、張寶光與顏曉筠，2005， 高科技電子產業研發投入對公司價值之縱橫門檻分析(13) 聶建中與劉自強，民國 94 年 5 月， 經濟成長與國防支出之非線性關聯性研究-縱橫門檻效果分析 ，國防管理學報，第 26 卷第 1 期，pp.114(14) 聶建中與李嫺柔，民國 95 年 6 月， 歐亞美三洲九國之國內生產毛額對犯罪率之縱橫門檻研究 ，文大商管學報，第 11 卷第 1 期，pp.6182(15) 聶建中與

14、施靜慧，民國 95 年 7 月， 財務危機公司研發費用與財務績效非線性關聯性研究縱橫門檻效果分析 ，商學學報，第 14 期，pp.2392563/6 & 3/13ZA & KSSZivot, E. and D.W.K. Andrews, “Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis,“ Journal of Business and Economic Statistics, 10, 1992, 251-270 (Rats 5.0)Nieh, Chien-Chung

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16、dence from nonlinear unit-root tests,” Working Paper 484, Queen Mary, University of London, UK.Chortareas, Georgies, Grorge Kapetanios and Merih Uctum (2003), “An Investigation of Current Account Solvency in Latin America Using Nonlinear Stationary Tests,” Working Paper 485, Queen Mary, University o

17、f London, UK.Chortareas, Georgies, Grorge Kapetanios and Yongcheol Shin (2002), “Nonlinear mean reversion in real exchange rates,” Economics Letters, 77, 411417Hasan Mohammad S., “Univariate time series behaviour of the real exchange rate: evidence from colonial India,” Economics Letters, 2004, fort

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21、e CPI when Ignoring Some Financial Asset - Evidence from Taiwan,” Thirteent Conference on Pacific Basin Business Economics and Finance (Rutgers University/NJ, USA)3/13 GH & KSSChang, Tsangyao, Nieh, Chien-Chung and Wei, Ching-Chun (2005), “Analysis of Long-Run Benefits from International Equity Dive

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