1. 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

2. Grading 出席率 (Participation rate): 50% 作業 (Assignments): 30% 期未報告 (Term paper): 20% – held in the final two weeks

3. 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 (1997/11- 1998/11)

4. 專長與教授課程 專長 – 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

5. Personal Information Instructor Name: Ming-Yuan Leon Li ( 黎明 淵 ) Instructor Tel: Ext 53421 E-mail: lmyleon@mail.ncku.edu.twlmyleon@mail.ncku.edu.tw Office Hours: –10:30 AM-12:00 PM, Wednesday

6. Personal Information Publications (2007-current): –No. of papers published in SSCI/SCI international journals: 26SSCI –16 of them are single-authored –The average impact factor=0.609

7. Course Descriptions/Objectives Help students to better understand the topics related to "Econometrics" by textbook studying and extra handouts in the class.

8. 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

9. 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

10. Textbook Maddala, G.S., Introduction to Econometrics

11. Course Calendar/Schedule 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

12. Course Calendar/Schedule Special topic: –Introduction to three nonlinear models –The Quantile regression Computer Programs –E-views –Gauss –SAS

13. Slides The slides in PowerPoint My homepage –http://140.116.51.3/chinese/faculty/mingyuan/ myweb11/index.htmhttp://140.116.51.3/chinese/faculty/mingyuan/ myweb11/index.htm

19. An overall picture of this course The errors 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 errors:

20. An overall picture of this course 1. 2. for all i. 3. and are independent foe all. 4. and are independent foe all i and j. 5. are normally distributed for all i.

21. 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 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.)

22. The iid assumption?

23. 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.

24. Course requirements Statistics, regression analysis –Variance, standard error, covariance, correlation –Normal distribution, student t distribution –Unbiased, efficient, consistent estimates –Null hypotheses –OLS, R-square

25. 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 Yu- Chi Tang (2007) Market conditions and abnormal return of IPO- An empirical study of Taiwan's high- tech 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.

26. 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.

27. 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, Li- Ling 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

28. How to find a topic to write an empirical paper? Using unique data Add an alternative dimension: application of random-coefficient models –Quantile regression

29. 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, 210- 218