Format:
1 online resource (344 pages)
ISBN:
9789812772213
Series Statement:
Advances in Quantitative Analysis of Finance and Accounting Ser. v.5
Content:
News Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University). Advances in Quantitative Analysis of Finance and Accounting is an annual publication designed to disseminate recent developments in the quantitative analysis of finance and accounting. The publication is a forum for statistical and quantitative analyses of issues in finance and accounting as well as applications of quantitative methods to problems in financial management, financial accounting, and business management. Its objective is to promote interaction between academic research in finance and accounting with applied research in the financial community and the accounting profession.The chapters in this volume cover a wide range of pressing topics including security analysis and mutual fund management, option pricing theory and application, interest rate spread, and electricity pricing.
Content:
Intro -- Contents -- Preface -- List of Contributors -- Chapter 1 The Least Cost Superreplicating Portfolio for Short Puts and Calls in The Boyle-Vorst Model with Transaction Costs Guan-Yu Chen, Ken Palmer and Yuan-Chung Sheu -- 1. Introduction -- 2. Preliminaries -- 3. General Contingent Claims in the Two-Period Case -- 4. Least Cost Superreplicating Portfolios for Short Puts and Calls in the Two-Period Case -- 5. An Example with Path-Dependent Least Cost Superreplicating Portfolios -- References -- Chapter 2 Testing of Nonstationarities in the Unit Circle, Long Memory Processes, and Day of the Week Effects in Financial Data Guglielmo Maria Caporale, Luis A. Gil-Alana and Mike Nazarski -- 1. Introduction -- 2. Testing of Nonstationarities in the Unit Circle -- 3. A Monte Carlo Simulation Study -- 4. Two Empirical Applications -- 4.1. The Eurodollar rate -- 4.2. The Dow Jones index -- 5. Conclusions -- Acknowledgments -- References -- Chapter 3 Equity Restructuring via Tracking Stocks: Is there any Value Added? Beni Lauterbach and Joseph Vu -- 1. Introduction -- 2. Why Issue Tracking Stocks? -- 2.1. Information explanations -- 2.2. The diversification discount motive -- 2.3. Investor clientele -- 2.4. Agency perspectives -- 2.5. Other motivations -- 3. Market Response to Tracking Stock Announcements -- 4. The Long-Term Response of Parent Stocks -- 5. Summary and Conclusions -- Acknowledgments -- References -- Chapter 4 Stock Option Exercises and Discretionary Disclosure Wei Zhang and Steven F. Cahan -- 1. Introduction -- 2. Prior Literature -- 2.1. Disclosure -- 2.2. Disclosure and option grants -- 2.3. Disclosures, option exercises, and privation information -- 3. Hypothesis -- 4. Method -- 4.1. Measurements of main variables -- 4.2. Model specification -- 5. Results -- 5.1. Sample and descriptive statistics.
Note:
Description based on publisher supplied metadata and other sources
Additional Edition:
9789812706287
Additional Edition:
Erscheint auch als Druck-Ausgabe 9789812706287
Language:
English
