LEADER 05505nam 2200673Ia 450 001 9910784877903321 005 20230721030739.0 010 $a1-281-91197-6 010 $a9786611911973 010 $a981-277-221-9 035 $a(CKB)1000000000403113 035 $a(EBL)1193118 035 $a(SSID)ssj0000288225 035 $a(PQKBManifestationID)12124702 035 $a(PQKBTitleCode)TC0000288225 035 $a(PQKBWorkID)10373616 035 $a(PQKB)11363531 035 $a(MiAaPQ)EBC1193118 035 $a(WSP)00006433 035 $a(Au-PeEL)EBL1193118 035 $a(CaPaEBR)ebr10698944 035 $a(CaONFJC)MIL191197 035 $a(OCoLC)828179710 035 $a(EXLCZ)991000000000403113 100 $a20130521d2007 uy 0 101 0 $aeng 135 $aurcnu---unuuu 181 $ctxt 182 $cc 183 $acr 200 00$aAdvances in quantitative analysis of finance and accounting$b[electronic resource] $hVolume 5 /$feditor, Cheng-Few Lee 210 $aHackensack, NJ $cWorld Scientific Publishing$dc2007 215 $a1 online resource (344 p.) 225 1 $aAdvances in Quantitative Analysis of Finance & Accounting ;$vv.5 300 $aDescription based upon print version of record. 311 $a981-270-628-3 320 $aIncludes bibliographical references and index. 327 $aPreface; 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; References 327 $aChapter 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? 327 $a2.1. 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 327 $a4.1. 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 Effects 327 $a5.1. 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; References 327 $aChapter 6 Are Whisper Forecasts more Informative than Consensus Analysts' Forecasts? Erik Devos and Yiuman Tse 330 $aNews Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University). Advances in Quantitative Analysis of Finance and Accounting is an annual publication designed to disseminate recent developments in the quantitative analysis of finance and accounting. The publication is a forum for statistical and quantitative analyses of issues in finance 410 0$aAdvances in Quantitative Analysis of Finance & Accounting 606 $aFinance$xMathematical models 606 $aAccounting$xMathematical models 615 0$aFinance$xMathematical models. 615 0$aAccounting$xMathematical models. 676 $a332 676 $a657 701 $aLee$b Cheng F$0114212 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910784877903321 996 $aAdvances in quantitative analysis of finance and accounting$93671903 997 $aUNINA