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System No. U0002-2106201011553500
Title (in Chinese) 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
Title (in English) Three Issues on Bank Interest Margin Determination in the Return to Retail Banking:Bad Bank Solution, Sunshine-Induced Mood, and Overconfidence.
Other Title
Institution 淡江大學
Department (in Chinese) 管理科學研究所博士班
Department (in English) Graduate Institute of Management Science
Other Division
Other Division Name
Other Department/Institution
Academic Year 98
Semester 2
PublicationYear 99
Author's name (in Chinese) 周繼儒
Author's name(in English) Rosemary Jou
Student ID 893560135
Degree 博士
Language English
Other Language
Date of Oral Defense 2010-06-11
Pagination 75page
Committee Member advisor - Jyh-Horng Lin
co-advisor - Peirchyi Lii
co-chair - 陳振遠
co-chair - 許英傑
co-chair - 王凱立
co-chair - 倪衍森
co-chair - 林志娟
co-chair - 張慶暉
Keyword (inChinese) 銀行利差
天氣影響決策
過度信心決策
Keyword (in English) Bank Interest Margin
Call Option
Put Option
Default Risk
Sunny Weather
Upbeat Mood
CEO Overconfidence
Other Keywords
Subject
Abstract (in Chinese)
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。
Abstract (in English)
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.
Other Abstract
Table of Content (with Page Number)
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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