05505nam 2200673Ia 450 991078487790332120230721030739.01-281-91197-69786611911973981-277-221-9(CKB)1000000000403113(EBL)1193118(SSID)ssj0000288225(PQKBManifestationID)12124702(PQKBTitleCode)TC0000288225(PQKBWorkID)10373616(PQKB)11363531(MiAaPQ)EBC1193118(WSP)00006433(Au-PeEL)EBL1193118(CaPaEBR)ebr10698944(CaONFJC)MIL191197(OCoLC)828179710(EXLCZ)99100000000040311320130521d2007 uy 0engurcnu---unuuutxtccrAdvances in quantitative analysis of finance and accounting[electronic resource] Volume 5 /editor, Cheng-Few LeeHackensack, NJ World Scientific Publishingc20071 online resource (344 p.)Advances in Quantitative Analysis of Finance & Accounting ;v.5Description based upon print version of record.981-270-628-3 Includes bibliographical references and index.Preface; Contents; List of Contributors; Chapter 1 The Least Cost Super-replicating 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 Super-replicating Portfolios for Short Puts and Calls in the Two-Period Case; 5. An Example with Path-Dependent Least Cost Super-replicating Portfolios; ReferencesChapter 2 Testing of Non-stationarities 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. Method4.1. Measurements of main variables 4.2. Model specification; 5. Results; 5.1. Sample and descriptive statistics; 5.2. Regression results from partitioned samples; 5.3. Results from regressions with interactions; 6. Discussion and Conclusion; References; Chapter 5 Do Profit Warnings Convey Information About the Industry? Dave Jackson, Jeff Madura and Judith Swisher; 1. Introduction; 2. Related Literature and Hypotheses; 2.1. Related literature; 2.2. Factors that could influence industry effects; 3. Sample Selection; 4. Descriptive Statistics; 5. Industry Effects5.1. Industry effects partitioned by pre- and post-RFD5.2. Industry effects partitioned by SIC classification; 5.3. Industry effects partitioned by size of the surprise; 5.4. Industry effects partitioned by the revaluation of the warning firm; 5.5. Industry effects partitioned by size of the warning firm; 5.6. Industry effects partitioned by analyst coverage of the warning firm; 6. Multivariate Analysis; 6.1. Multivariate model; 6.2. Results of multivariate analysis; 6.3. Results of the multivariate analysis applied to pre- and post-RFD periods; 7. Conclusion; Acknowledgments; ReferencesChapter 6 Are Whisper Forecasts more Informative than Consensus Analysts' Forecasts? Erik Devos and Yiuman TseNews 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 financeAdvances in Quantitative Analysis of Finance & AccountingFinanceMathematical modelsAccountingMathematical modelsFinanceMathematical models.AccountingMathematical models.332657Lee Cheng F114212MiAaPQMiAaPQMiAaPQBOOK9910784877903321Advances in quantitative analysis of finance and accounting3671903UNINA