企業決策方法
講授人 黎明淵教授
國立成功大學會計系暨財務金融研究所
Grading
• 出席率 (Participation rate): 50%
• 作業 (Assignments): 30%
• 期未報告 (Term paper): 20%
– held in the final two weeks
經歷
• 國立暨南國際大學財務金融系副教授兼
系主任(2004/08-2005/08)
• 國立暨南國際大學財務金融系助理教授
(2001/02-2004/08)
• 行政院經濟建設委員會薦任科員
(1998/11-2001/02)
• 台灣省政府物資處薦任科員 (1997/111998/11)
專長與教授課程
• 專長
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風險管理
國際財務管理與投資組合管理
金融計算
財務計量
• 教授課程
– Investments, Financial Management, Financial
Market, International Financial Market, International
Finance, Multinational Corporate Management,
Econometrics, Financial Risk Management
Personal Information
• Instructor Name: Ming-Yuan Leon Li (黎明
淵)
• Instructor Tel: Ext 53421
• E-mail: lmyleon@mail.ncku.edu.tw
• Office Hours:
– 10:30 AM-12:00 PM, Wednesday
Personal Information
• Publications (2007-current):
– No. of papers published in SSCI/SCI
international journals: 26
– 16 of them are single-authored
– The average impact factor=0.609
Course Descriptions/Objectives
• Help students to better understand the
topics related to "Econometrics" by
textbook studying and extra handouts in
the class.
Course Descriptions/Objectives
• The goals of this course are presented
below：
– (1) Formulation of econometrics, that is,
formulation of economic (or financial) models
in an empirically testable form.
– (2) Estimation and testing of these models
with observed data
– (3) Use of these models for prediction and
policy purposes
How to write a research paper?
• Econometics is an instrument
• The process of writing a paper
– Model or hypotheses establishment
– Data collection
– Model estimation
– Explanations and discussions
• Materials for research
Textbook
• Maddala, G.S., Introduction to
Econometrics
Course Calendar/Schedule
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Ch 2 to Ch 4: The Traditional Regression Model
Chapter 5 Heteroskedasticity
Chapter 6 Autocorrelation
Chapter 7 Multicollinearity
Chapter 8 Dummy variables and truncated
models
Chapter 9 Simultaneous equations models
Chapter 13 Introduction to time-series analysis
Chapter 14 Vector autoregressions, unit roots,
and cointegration
Chapter 15 Panel Data Analysis
Course Calendar/Schedule
• Special topic:
– Introduction to three nonlinear models
– The Quantile regression
• Computer Programs
– E-views
– Gauss
– SAS
Slides
• The slides in PowerPoint
• My homepage
– http://140.116.51.3/chinese/faculty/mingyuan/
myweb11/index.htm
An overall picture of this course
yi    1 x1i   2 x2i  .......   k xki  ui
i  1 , 2 ,...., n
• The errors ui are again due to measurement
errors in y and errors in the specification of the
relationship between y and the x’s.
• We make the same assumptions about the ui
errors:
An overall picture of this course
1. E (ui )  0
2. V (ui )   2 for all i.
3. ui and u j are independent foe all i  j .
4. ui and x j are independent foe all i and j.
5. ui are normally distributed for all i .
An overall picture of this course
6. There are no linear dependencies in the explanatory
variables, i.e., none of the explanatory variables can
be expressed as an exact linear function of the others.
(This assumption will be relaxes in Chapter 7.)
7. Also, it will be assumed that yi is a continuous
variables. (The case where it is observed as a dummy
variable or as a truncated variable will be discussed in
Chapter 8.)
The iid assumption?
Properties of Estimators
• There are some desirable properties of
estimators that are often mentioned in the book.
• These are:
– 1. Unbiasedness.
– 2. Efficiency.
– 3. Consistency.
• The first two are small-sample properties. The
third is a large-sample property.
Course requirements
• Statistics, regression analysis
– Variance, standard error, covariance,
correlation
– Normal distribution, student t distribution
– Unbiased, efficient, consistent estimates
– Null hypotheses
– OLS, R-square
How to find a topic to write an
empirical paper?
• New finding (find new variables)
– Li, Ming-Yuan Leon*, Her-Jiun Sheu, Lin Lin and YuChi Tang (2007) Market conditions and abnormal
return of IPO- An empirical study of Taiwan's hightech companies, Journal of Chinese Economic and
Business Studies, 5, 51-64.
– Chiou, Jeng-Ren, Ming-Yuan Leon Li*, Cheng Li,
Shih-Yuan Chang (2010) Changes in pricing and
allocation mechanisms and abnormal returns of
Chinese IPO firms, Chinese Economy, 43, 93-108.
How to find a topic to write an
empirical paper?
• Test other market & International market
comparison
– Li, Ming-Yuan Leon* and Hsiou-wei William Lin (2003)
Examining the volatility of Taiwan stock index returns
via a three-volatility-regime Markov-switching ARCH
model, Review of Quantitative Finance and
Accounting, 21, 123-139.
– Li, Ming-Yuan Leon* (2009) Change in volatility
regimes and diversification in emerging stock markets,
South African Journal of Economics, 77, 59-80.
How to find a topic to write an
empirical paper?
• Replacing a variable with better proxy
– Example: CEO equity compensation
• Decompositions
– Chen, Chun-Nan, Ming-Yuan Leon Li*, Yi Chou, LiLing Chen and Wan-Ru Liou (2010) Are large banks
less risky? Service Industries Journal, accepted and
forthcoming.
• Reverse causality
– Example: The association between firm performance
and CEO equity compensation
How to find a topic to write an
empirical paper?
• Using unique data
• Add an alternative dimension: application
of random-coefficient models
– Quantile regression
Applications of quantile regression
– Li, Ming-Yuan Leon and Peter Miu (2010) A
hybrid bankruptcy prediction model with
dynamic loadings on accounting-ratio-based
and market-based information: A binary
quantile regression approach, Journal of
Empirical Finance, 17, 818-833.
– Li, Ming-Yuan Leon* (2009) Value or volume
strategy? Finance Research Letters, 6, 210218