Advances In Quantitative Analysis Of Finance And Accounting (Vol. 5)

Cheng-few Lee

• Publisher: World Scientific
• Year: 2007
• Print ISBN:
  9789812706287
  9789812706287
• eBook ISBN:
  9789812772213
• Topic: Biological Sciences
• Subtopic: Science General
• Index: Biological Sciences

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.

Table of contents

• 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
• 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
• Chapter 3 Equity Restructuring via Tracking Stocks: Is there any Value Added? Beni Lauterbach and Joseph Vu
• Chapter 4 Stock Option Exercises and Discretionary Disclosure Wei Zhang and Steven F. Cahan
• Chapter 5 Do Profit Warnings Convey Information About the Industry? Dave Jackson, Jeff Madura and Judith Swisher
• Chapter 6 Are Whisper Forecasts more Informative than Consensus Analysts’ Forecasts? Erik Devos and Yiuman Tse
• Chapter 7 Earning Forecast-Based Return Predictions: Risk Proxies in Disguise? Le (Emily) Xu
• Chapter 8 On Simple Binomial Approximations for Two Variable Functions in Finance Applications Hemantha S. B. Herath and Pranesh Kumar
• Chapter 9 The Prime Rate–Deposit Rate Spread and Macroeconomic Shocks Bradley T. Ewing and Jamie Brown Kruse
• Chapter 10 The Long-Run Performance of Firms that Issue Tracking Stocks Charmen Loh
• Chapter 11 Differences in Underpricing Returns Between REIT IPOs and Industrial Company IPOs William Dimovski and Robert Brooks
• Chapter 12 Performance of Canadian Mutual Funds and Investors Rajeeva Sinha and Vijay Jog
• Chapter 13 Identifying Major Shocks in Market Volatility and Their Impact on Trading Strategies Pauline Shum and Kevin X. Zhu
• Chapter 14 The September Phenomenon of US Equity Market Anthony Yanxiang Gu and John T. Simon
• Chapter 15 Fundamental Drivers of Electricity Prices in the Pacific Northwest Chi-Keung Woo, Ira Horowitz, Nate Toyama, Arne Olson, Aaron Lai and Ray Wan
• Index