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系統識別號 U0002-2106201011553500
中文論文名稱 回歸銀行零售業務之利差決策三議題: 協助不良銀行方案,天氣影響決策行為,和過度信心決策行為
英文論文名稱 Three Issues on Bank Interest Margin Determination in the Return to Retail Banking:Bad Bank Solution, Sunshine-Induced Mood, and Overconfidence.
校院名稱 淡江大學
系所名稱(中) 管理科學研究所博士班
系所名稱(英) Graduate Institute of Management Science
學年度 98
學期 2
出版年 99
研究生中文姓名 周繼儒
研究生英文姓名 Rosemary Jou
學號 893560135
學位類別 博士
語文別 英文
口試日期 2010-06-11
論文頁數 75頁
口試委員 指導教授-林志鴻
共同指導教授-李培齊
委員-陳振遠
委員-許英傑
委員-王凱立
委員-倪衍森
委員-林志娟
委員-張慶暉
中文關鍵字 銀行利差  天氣影響決策  過度信心決策 
英文關鍵字 Bank Interest Margin  Call Option  Put Option  Default Risk  Sunny Weather  Upbeat Mood  CEO Overconfidence 
學科別分類
中文摘要 在增加對銀行財務援助計畫時,必須先知悉政策的有效性。特別是,先前因政府管理當局放任銀行過度放款而導致呆帳後,還核發更多金額援助該銀行。論文發展出買權賣權兩階段的選擇權評價理論,藉此研究接受協助銀行之利差管理。我們觀察到這些銀行的利差管理決策,與政府機構購買具有財務危機銀行之不良資產,同時對具有財務危機銀行注入資本均息息相關。這些議題值得深入探討

即使心裡學上的證據與直覺都曾預告,天氣會影響心情及權益報酬違約風險,但鮮有論及受天氣影響之訂價行為,進而影響權益報酬違約風險之相關議題。本論文將針對:晴朗天氣使情緒樂觀,而影響權益報酬違約風險管理這點作論述。論文採用結構改變之選擇權評價模式。該模型顯示出放款償還的胖尾情形 (極端值) 是因晴朗天氣影響情緒反應的結果。當樂觀的情緒影響銀行為決策,本論文研析晴朗天氣與權益報酬違約風險為負相關。

鮮少人知,權益報酬在新舊股東間的配置法則,經常因為銀行CEO過度信心扭曲投資決策而導致錯誤的結果。我們採用Black and Scholes (1973) 和 Merton (1974) 限制架構之選擇權評價模式。來探新舊股東因為CEO過於自負,導致既有股東與外來新股東的利益衝突。制定出的投資計劃使投資外部資金過多,內部資金缺乏時造成的衝突。銀行利差或權益報酬,導致既有股東不利,CEO過度信心扭曲投資決策和外部投資都相關聯。
英文摘要 With the growth in banking bailout programs has come a growing need to understand the potential effectiveness of these policies. In particular, a “bad bank” created by regulatory authorities uses funds to buy troubled loans from its selected banks and commits additional capital to them. This paper develops a two-stage call-put pricing framework that is used to study the selected bank’s interest margin determination with the bad bank’s help. We find that the selected bank’s call option-based interest margin is positively related to its troubled loans bought by the bad bank, and to its equity capital inflow from the bad bank. We also show that the call-put option-based value of the bad bank’s equity return increases with the selected bank’s equity volatility.

Even though psychological evidence and casual intuition predict that weather may lead to changes in equity returns, little attention has been paid to these changes through asset pricing mechanisms. This paper fills this gap by examining the effects of sunny weather enhanced upbeat mood on bank spread management and default risk. An option-based model of bank spread behavior is developed to study these closely related phenomena. The model is designed to indicate the fat tails of loan repayments caused by mood effects induced by good weather. With the good mood influences on bank lending, this paper shows that sunshine is negatively correlated with the default risk in equity returns.

Less is known about how equity returns allocated between current and new shareholders are altered to react to chief executive officer (CEO) overconfidence. This paper uses a nonlinear constrained contingent claim methodology of Black and Scholes (1973) and Merton (1974) to explore interest conflicts between current and new shareholders when an overconfident bank CEO overestimates returns on investment projects, and sequentially raises too much in external funds when internal resources become scarce. We show that low levels of bank interest margins or equity returns, which decrease the claims of current shareholders, are associated with investment distortions; but high levels of bank equity returns, which dilute the claims of current shareholders, are associated with external financing distortion.
論文目次 Content
Chapter 1 Introduction 1
1.1 Motivations and Objectives 1
1.2 Basic Approach 3
1.3 Expected Results 5
1.4 Key Notations 6
1.5 Organization of this Dissertation 7

Chapter 2 An Issue on “Bad Bank” Solution 11
2.1 Introduction: Bad Bank Solution 11
2.2 The Selected Bank: Solution and Results 13
2.3 The Bad Bank: Solution and Results 23
2.4 Conclusion: Bad Bank Solution 29

Chapter 3 An Issue on Sunshine-Induced Mood 30
3.1 Introduction: Sunshine-Induced Mood 30
3.2 The Basic Model 32
3.3 Equilibrium 36
3.4 Comparative Static Results 37
3.5 Conclusion: Sunshine-Induced Mood 41

Chapter 4 An Issue on CEO Overconfidence 42
4.1 Introduction: CEO Overconfidence 42
4.2 The Basic Model 47
4.3 Optimal Solutions 53
4.4 Overconfidence Effects 55
4.5 Conclusion: CEO Overconfidence 59

Chapter 5 Conclusions and Implications 61

Appendix 64
Appendix 2-1 64
Appendix 3-1 67
Appendix 3-2 69

Bibliography 70

Figure Content

Figure 1.1:The structure of the dissertation 9



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