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Advances in quantitative analysis of finance and accounting . Volume 6 [[electronic resource] /] / editor, Cheng-Few Lee
| Advances in quantitative analysis of finance and accounting . Volume 6 [[electronic resource] /] / editor, Cheng-Few Lee |
| Pubbl/distr/stampa | Singapore, : World Scientific, c2008 |
| Descrizione fisica | 1 online resource (270 p.) |
| Disciplina |
332
657.48 |
| Altri autori (Persone) | LeeCheng F |
| Collana | Advances in Quantitative Analysis of Finance & Accounting |
| Soggetto topico |
Finance
Finance - Mathematical models Accounting Accounting - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-93398-8
9786611933982 981-279-169-8 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Contents""; ""Preface""; ""List of Contributors""; ""Chapter 1 Collateral Constraints, Debt Management, and Investment Incentives Elettra Agliardi and Rainer Andergassen""; ""1. Introduction""; ""2. The Model""; ""2.1. Time 2""; ""2.2. Time 1""; ""2.3. Benchmark""; ""3. Optimal Hedging""; ""4. Conclusion""; ""Appendix""; ""References""; ""Chapter 2 A Concave Quadratic Programming Marketing Strategy Model with Product Life Cycles Paul Y. Kim, Chin W. Yang, Cindy Hsiao-Ping Peng and Ken Hung""; ""1. Introduction""; ""2. The Linear Programming Marketing Strategy Model""
""3. A Concave Quadratic Programming Model of the Marketing Strategy Problem""""4. Critical Evaluations of the Marketing Strategy Models""; ""5. Conclusions""; ""References""; ""Chapter 3 Evaluating the Robustness of Market Anomaly Evidence William D. Brown Jr., Erin A. Moore and Ray J. Pfeiffer Jr.""; ""1. Introduction""; ""2. Background""; ""3. Description of the Research Design""; ""3.1. The effects of passive deletion""; ""3.2. The effects of extreme returns""; ""3.3. The forecast-to-price anomaly""; ""3.4. The accruals anomaly""; ""4. Results"" ""4.1. Investigating the effects of passive deletion""""4.2. Investigating the effects of extreme returns""; ""5. Summary and Conclusions""; ""Acknowledgments""; ""References""; ""Chapter 4 Why is the Value Relevance of Earnings Lower for High-Tech Firms? B. Brian Lee, Eric Press and B. Ben Choi""; ""1. Introduction""; ""2. Contemporaneous Association between Returns and Earnings""; ""3. Background and Model Development""; ""3.1. Expense mismatching (earnings lack of timeliness) versus noise for high-technology firms""; ""3.2. Model development""; ""3.3. Noise from uncertain benefits"" ""4. Empirical Results""""4.1. Expense mismatching""; ""4.2. Noise""; ""5. Conclusions""; ""APPENDIX""; ""References""; ""Chapter 5 Thirty Years of Canadian Evidence on Stock Splits, Reverse Stock Splits, and Stock Dividends Vijay Jog and Peng Cheng Zhu""; ""1. Introduction""; ""2. Literature Review""; ""3. Sample Description and Methodology""; ""4. Empirical Results""; ""4.1. Stock price trend""; ""4.2. Stock return trend""; ""4.3. Earnings per share trend""; ""4.4. Systematic risk (beta) trend""; ""4.5. Trading volume trend""; ""4.6. Transaction number trend"" ""4.7. Possible changes in shareholder composition""""4.8. Post-split dividend behavior""; ""4.9. Valuation impact""; ""4.10. Post-split corporate governance environment""; ""5. Summary and Conclusions""; ""References""; ""Chapter 6 Intraday Volume volatility Relation of the DOW: A Behavioral Interpretation Ali F. Darrat, Shafiqur Rahman and Maosen Zhong""; ""1. Introduction""; ""2. A Behavioral Interpretation""; ""3. Empirical Results""; ""4. Concluding Remarks""; ""References"" ""Chapter 7 The Pricing of Initial Public Offerings: An Option Approach Sheen Liu, Chunchi Wu and Peter Huaiyu Chen"" |
| Record Nr. | UNINA-9910453177703321 |
| Singapore, : World Scientific, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advances in quantitative analysis of finance and accounting . Volume 6 [[electronic resource] /] / editor, Cheng-Few Lee
| Advances in quantitative analysis of finance and accounting . Volume 6 [[electronic resource] /] / editor, Cheng-Few Lee |
| Pubbl/distr/stampa | Singapore, : World Scientific, c2008 |
| Descrizione fisica | 1 online resource (270 p.) |
| Disciplina |
332
657.48 |
| Altri autori (Persone) | LeeCheng F |
| Collana | Advances in Quantitative Analysis of Finance & Accounting |
| Soggetto topico |
Finance
Finance - Mathematical models Accounting Accounting - Mathematical models |
| ISBN |
1-281-93398-8
9786611933982 981-279-169-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Contents""; ""Preface""; ""List of Contributors""; ""Chapter 1 Collateral Constraints, Debt Management, and Investment Incentives Elettra Agliardi and Rainer Andergassen""; ""1. Introduction""; ""2. The Model""; ""2.1. Time 2""; ""2.2. Time 1""; ""2.3. Benchmark""; ""3. Optimal Hedging""; ""4. Conclusion""; ""Appendix""; ""References""; ""Chapter 2 A Concave Quadratic Programming Marketing Strategy Model with Product Life Cycles Paul Y. Kim, Chin W. Yang, Cindy Hsiao-Ping Peng and Ken Hung""; ""1. Introduction""; ""2. The Linear Programming Marketing Strategy Model""
""3. A Concave Quadratic Programming Model of the Marketing Strategy Problem""""4. Critical Evaluations of the Marketing Strategy Models""; ""5. Conclusions""; ""References""; ""Chapter 3 Evaluating the Robustness of Market Anomaly Evidence William D. Brown Jr., Erin A. Moore and Ray J. Pfeiffer Jr.""; ""1. Introduction""; ""2. Background""; ""3. Description of the Research Design""; ""3.1. The effects of passive deletion""; ""3.2. The effects of extreme returns""; ""3.3. The forecast-to-price anomaly""; ""3.4. The accruals anomaly""; ""4. Results"" ""4.1. Investigating the effects of passive deletion""""4.2. Investigating the effects of extreme returns""; ""5. Summary and Conclusions""; ""Acknowledgments""; ""References""; ""Chapter 4 Why is the Value Relevance of Earnings Lower for High-Tech Firms? B. Brian Lee, Eric Press and B. Ben Choi""; ""1. Introduction""; ""2. Contemporaneous Association between Returns and Earnings""; ""3. Background and Model Development""; ""3.1. Expense mismatching (earnings lack of timeliness) versus noise for high-technology firms""; ""3.2. Model development""; ""3.3. Noise from uncertain benefits"" ""4. Empirical Results""""4.1. Expense mismatching""; ""4.2. Noise""; ""5. Conclusions""; ""APPENDIX""; ""References""; ""Chapter 5 Thirty Years of Canadian Evidence on Stock Splits, Reverse Stock Splits, and Stock Dividends Vijay Jog and Peng Cheng Zhu""; ""1. Introduction""; ""2. Literature Review""; ""3. Sample Description and Methodology""; ""4. Empirical Results""; ""4.1. Stock price trend""; ""4.2. Stock return trend""; ""4.3. Earnings per share trend""; ""4.4. Systematic risk (beta) trend""; ""4.5. Trading volume trend""; ""4.6. Transaction number trend"" ""4.7. Possible changes in shareholder composition""""4.8. Post-split dividend behavior""; ""4.9. Valuation impact""; ""4.10. Post-split corporate governance environment""; ""5. Summary and Conclusions""; ""References""; ""Chapter 6 Intraday Volume volatility Relation of the DOW: A Behavioral Interpretation Ali F. Darrat, Shafiqur Rahman and Maosen Zhong""; ""1. Introduction""; ""2. A Behavioral Interpretation""; ""3. Empirical Results""; ""4. Concluding Remarks""; ""References"" ""Chapter 7 The Pricing of Initial Public Offerings: An Option Approach Sheen Liu, Chunchi Wu and Peter Huaiyu Chen"" |
| Record Nr. | UNINA-9910782271203321 |
| Singapore, : World Scientific, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advances in quantitative analysis of finance and accounting . Volume 6 [[electronic resource] /] / editor, Cheng-Few Lee
| Advances in quantitative analysis of finance and accounting . Volume 6 [[electronic resource] /] / editor, Cheng-Few Lee |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Singapore, : World Scientific, c2008 |
| Descrizione fisica | 1 online resource (270 p.) |
| Disciplina |
332
657.48 |
| Altri autori (Persone) | LeeCheng F |
| Collana | Advances in Quantitative Analysis of Finance & Accounting |
| Soggetto topico |
Finance
Finance - Mathematical models Accounting Accounting - Mathematical models |
| ISBN |
1-281-93398-8
9786611933982 981-279-169-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Contents""; ""Preface""; ""List of Contributors""; ""Chapter 1 Collateral Constraints, Debt Management, and Investment Incentives Elettra Agliardi and Rainer Andergassen""; ""1. Introduction""; ""2. The Model""; ""2.1. Time 2""; ""2.2. Time 1""; ""2.3. Benchmark""; ""3. Optimal Hedging""; ""4. Conclusion""; ""Appendix""; ""References""; ""Chapter 2 A Concave Quadratic Programming Marketing Strategy Model with Product Life Cycles Paul Y. Kim, Chin W. Yang, Cindy Hsiao-Ping Peng and Ken Hung""; ""1. Introduction""; ""2. The Linear Programming Marketing Strategy Model""
""3. A Concave Quadratic Programming Model of the Marketing Strategy Problem""""4. Critical Evaluations of the Marketing Strategy Models""; ""5. Conclusions""; ""References""; ""Chapter 3 Evaluating the Robustness of Market Anomaly Evidence William D. Brown Jr., Erin A. Moore and Ray J. Pfeiffer Jr.""; ""1. Introduction""; ""2. Background""; ""3. Description of the Research Design""; ""3.1. The effects of passive deletion""; ""3.2. The effects of extreme returns""; ""3.3. The forecast-to-price anomaly""; ""3.4. The accruals anomaly""; ""4. Results"" ""4.1. Investigating the effects of passive deletion""""4.2. Investigating the effects of extreme returns""; ""5. Summary and Conclusions""; ""Acknowledgments""; ""References""; ""Chapter 4 Why is the Value Relevance of Earnings Lower for High-Tech Firms? B. Brian Lee, Eric Press and B. Ben Choi""; ""1. Introduction""; ""2. Contemporaneous Association between Returns and Earnings""; ""3. Background and Model Development""; ""3.1. Expense mismatching (earnings lack of timeliness) versus noise for high-technology firms""; ""3.2. Model development""; ""3.3. Noise from uncertain benefits"" ""4. Empirical Results""""4.1. Expense mismatching""; ""4.2. Noise""; ""5. Conclusions""; ""APPENDIX""; ""References""; ""Chapter 5 Thirty Years of Canadian Evidence on Stock Splits, Reverse Stock Splits, and Stock Dividends Vijay Jog and Peng Cheng Zhu""; ""1. Introduction""; ""2. Literature Review""; ""3. Sample Description and Methodology""; ""4. Empirical Results""; ""4.1. Stock price trend""; ""4.2. Stock return trend""; ""4.3. Earnings per share trend""; ""4.4. Systematic risk (beta) trend""; ""4.5. Trading volume trend""; ""4.6. Transaction number trend"" ""4.7. Possible changes in shareholder composition""""4.8. Post-split dividend behavior""; ""4.9. Valuation impact""; ""4.10. Post-split corporate governance environment""; ""5. Summary and Conclusions""; ""References""; ""Chapter 6 Intraday Volume volatility Relation of the DOW: A Behavioral Interpretation Ali F. Darrat, Shafiqur Rahman and Maosen Zhong""; ""1. Introduction""; ""2. A Behavioral Interpretation""; ""3. Empirical Results""; ""4. Concluding Remarks""; ""References"" ""Chapter 7 The Pricing of Initial Public Offerings: An Option Approach Sheen Liu, Chunchi Wu and Peter Huaiyu Chen"" |
| Record Nr. | UNINA-9910815404303321 |
| Singapore, : World Scientific, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advances in quantitative analysis of finance and accounting [[electronic resource] ] . Volume 5 / / editor, Cheng-Few Lee
| Advances in quantitative analysis of finance and accounting [[electronic resource] ] . Volume 5 / / editor, Cheng-Few Lee |
| Pubbl/distr/stampa | Hackensack, NJ, : World Scientific Publishing, c2007 |
| Descrizione fisica | 1 online resource (344 p.) |
| Disciplina |
332
657 |
| Altri autori (Persone) | LeeCheng F |
| Collana | Advances in Quantitative Analysis of Finance & Accounting |
| Soggetto topico |
Finance - Mathematical models
Accounting - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-91197-6
9786611911973 981-277-221-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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; References
Chapter 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. Method 4.1. 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 5.1. 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 Chapter 6 Are Whisper Forecasts more Informative than Consensus Analysts' Forecasts? Erik Devos and Yiuman Tse |
| Record Nr. | UNINA-9910458413403321 |
| Hackensack, NJ, : World Scientific Publishing, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advances in quantitative analysis of finance and accounting [[electronic resource] ] . Volume 5 / / editor, Cheng-Few Lee
| Advances in quantitative analysis of finance and accounting [[electronic resource] ] . Volume 5 / / editor, Cheng-Few Lee |
| Pubbl/distr/stampa | Hackensack, NJ, : World Scientific Publishing, c2007 |
| Descrizione fisica | 1 online resource (344 p.) |
| Disciplina |
332
657 |
| Altri autori (Persone) | LeeCheng F |
| Collana | Advances in Quantitative Analysis of Finance & Accounting |
| Soggetto topico |
Finance - Mathematical models
Accounting - Mathematical models |
| ISBN |
1-281-91197-6
9786611911973 981-277-221-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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; References
Chapter 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. Method 4.1. 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 5.1. 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 Chapter 6 Are Whisper Forecasts more Informative than Consensus Analysts' Forecasts? Erik Devos and Yiuman Tse |
| Record Nr. | UNINA-9910784877903321 |
| Hackensack, NJ, : World Scientific Publishing, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advances in quantitative analysis of finance and accounting [[electronic resource] ] . Volume 5 / / editor, Cheng-Few Lee
| Advances in quantitative analysis of finance and accounting [[electronic resource] ] . Volume 5 / / editor, Cheng-Few Lee |
| Pubbl/distr/stampa | Hackensack, NJ, : World Scientific Publishing, c2007 |
| Descrizione fisica | 1 online resource (344 p.) |
| Disciplina |
332
657 |
| Altri autori (Persone) | LeeCheng F |
| Collana | Advances in Quantitative Analysis of Finance & Accounting |
| Soggetto topico |
Finance - Mathematical models
Accounting - Mathematical models |
| ISBN |
1-281-91197-6
9786611911973 981-277-221-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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; References
Chapter 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. Method 4.1. 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 5.1. 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 Chapter 6 Are Whisper Forecasts more Informative than Consensus Analysts' Forecasts? Erik Devos and Yiuman Tse |
| Record Nr. | UNINA-9910819464703321 |
| Hackensack, NJ, : World Scientific Publishing, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advances in quantitative analysis of finance and accounting [[electronic resource] ] . Volume 3 : essays in microstructure in honor of David K. Whitcomb / / editors, Ivan E. Brick, Tavy Ronen, Cheng-Few Lee
| Advances in quantitative analysis of finance and accounting [[electronic resource] ] . Volume 3 : essays in microstructure in honor of David K. Whitcomb / / editors, Ivan E. Brick, Tavy Ronen, Cheng-Few Lee |
| Pubbl/distr/stampa | Hackensack, N.J., : World Scientific, c2006 |
| Descrizione fisica | 1 online resource (269 p.) |
| Disciplina | 332.632 |
| Altri autori (Persone) |
WhitcombDavid K
BrickIvan E RonenTavy LeeCheng F |
| Collana | Advances in Quantitative Analysis of Finance & Accounting |
| Soggetto topico |
Stock exchanges - Mathematical models
Securities - Prices - Mathematical models Liquidity (Economics) - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-90910-6
9786611909109 981-270-729-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface to Volume 3; Contents; Introduction to Volume 3 Ivan E. Brick, Tavy Ronen; List of Contributors; Section I - Economics of Limit Orders; Chapter 1 Discriminatory Limit Order Books, Uniform Price Clearing and Optimality Lawrence R. Glosten; 1. Introduction; 2. The Economic Setting; 3. Optimum Terms of Trade; 4. Discriminatory CLOB and Uniform Price Clearing; 4.1. CLOB; 4.2. Uniform price clearing; 4.3. Welfare analysis; 5. Discussion; 6. Conclusion; Acknowledgments; References
Chapter 2 Electronic Limit Order Books and Market Resiliency: Theory, Evidence, and Practice Mark Coppejans, Ian Domowitz, Ananth Madhavan1. Introduction; 2. Theory; 2.1. Model framework; 2.2. Liquidity dynamics; 3. Empirical Results; 3.1. Institutional details; 3.2. Data; 3.3. Liquidity metrics; 3.4. Realized price impact costs; 4. Dynamics of Liquidity; 4.1. Identification; 4.2. Specification and estimation of market liquidity dynamics; 4.3. Impulse response functions; 4.4. The dynamic relationship between liquidity and volatility; 5. Practical Issues; 5.1. Institutional trading 5.2. Optimal trading strategies5.3. Market structure, trading protocols, and resiliency; 6. Conclusion; Acknowledgments; References; Chapter 3 Notes for a Contingent Claims Theory of Limit Order Markets Bruce N. Lehmann; 1. Introduction; 2. Limit Orders as Order Flow Derivatives; 3. Limit Order Valuation and Order Flow Bets; 4. Limit Order Book Dynamics; 5. Conclusion; Acknowledgments; References; Chapter 4 The Option Value of the Limit Order Book Alex Frino, Elvis Jarnecic, Thomas H. McInish; 1. Introduction; 2. The ASX Market Structure; 3. Data and Methodology 3.1. Databases and sample selection3.2. Reconstruction of the limit order schedule; 3.3. Calculation of variables and the option value of a limit order; 3.4. The limit order schedule and its option value; 4. Empirical Results; 4.1. An intraday examination of the limit order schedule; 4.2. Robustness of results across size of stocks and time periods; 5. Summary and Conclusions; Acknowledgments; References; Section II - Essays on Liquidity of Markets; Chapter 5 The Cross Section of Daily Variation in Liquidity Tarun Chordia, Lakshmanan Shivakumar, Avanidhar Subrahmanyam; 1. Data 1.1. Inclusion requirements1.2. Summary statistics; 2. The Relation Between Liquidity and Stock Volatility; 2.1. Theoretical background; 2.2. Empirical analysis; 2.2.1. Time-series regressions; 2.2.2. Cross-sectional determinants of the response of liquidity to absolute returns; 2.2.3. Robustness checks; 3. Conclusion; Acknowledgments; References; Chapter 6 Intraday Volatility on the NYSE and NASDAQ Daniel G.Weaver; 1. Introduction; 2. Sample and Methodology; 3. Results; 4. Conclusion; Acknowledgments; References Chapter 7 The Intraday Probability of Informed Trading on the NYSE Michael A. Goldstein, Bonnie F. Van Ness, Robert A. Van Ness |
| Record Nr. | UNINA-9910453338103321 |
| Hackensack, N.J., : World Scientific, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advances in quantitative analysis of finance and accounting . Volume 4 [[electronic resource] /] / editor Cheng-Few Lee
| Advances in quantitative analysis of finance and accounting . Volume 4 [[electronic resource] /] / editor Cheng-Few Lee |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N. J., : World Scientific, c2006 |
| Descrizione fisica | 1 online resource (376 p.) |
| Disciplina | 657.48 |
| Altri autori (Persone) | LeeCheng F |
| Collana | Advances in quantitative analysis of finance and accounting |
| Soggetto topico |
Accounting - Mathematical models
Finance - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-37333-8
9786611373337 981-277-282-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Contents""; ""Preface to Volume 4""; ""List of Contributors""; ""Chapter 1 Real Option Based Equity Valuation Models: An Empirical Analysis""; ""1. Introduction""; ""2. Background and Prior Research""; ""3. Real Option Based Equity Valuation Models""; ""4. Sample and Variables""
""5. Analyses and Results""""6. Financial Management Considerations""; ""7. Loss Firms""; ""8. Conclusions and Limitations""; ""Appendix A. Some Basic Properties of Options""; ""Appendix B. Reconciling the Apparent Negative Earnings Anomaly""; ""References"" ""Chapter 2 Firm Performance and Compensation-Based Stock Trading by Corporate Executives""""1. Introduction""; ""2. Data and Sample""; ""3. Empirical Results""; ""4. Conclusions and Discussions""; ""Appendix A""; ""Appendix B""; ""Appendix C""; ""References "" ""Chapter 3 Management Compensation, Debt Contract, and Earnings Management Strategy""""1. Introduction""; ""2. The Basic Model""; ""3. Earnings Management Strategy and Debt Covenants""; ""4. Conclusions""; ""References""; ""Chapter 4 Risky Debt-Maturity Choice under Information Asymmetry""; ""1. Introduction""; ""2. The Model"" ""3. Debt-Market Equilibrium""""4. Numerical Examples""; ""5. Conclusions""; ""Appendix A""; ""Acknowledgements""; ""References""; ""Chapter 5 Estimated Operating Cash Flow, Reported Cash Flow from Operating Activities, and Financial Distress""; ""1. Introduction""; ""2. Motivation for Study and Relevant Prior Literature ""; ""3. Research Methods"" ""4. Statistical Results"" |
| Record Nr. | UNINA-9910450819303321 |
| Singapore ; ; Hackensack, N. J., : World Scientific, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advances in quantitative analysis of finance and accounting [[electronic resource] ] . Volume 3 : essays in microstructure in honor of David K. Whitcomb / / editors, Ivan E. Brick, Tavy Ronen, Cheng-Few Lee
| Advances in quantitative analysis of finance and accounting [[electronic resource] ] . Volume 3 : essays in microstructure in honor of David K. Whitcomb / / editors, Ivan E. Brick, Tavy Ronen, Cheng-Few Lee |
| Pubbl/distr/stampa | Hackensack, N.J., : World Scientific, c2006 |
| Descrizione fisica | 1 online resource (269 p.) |
| Disciplina | 332.632 |
| Altri autori (Persone) |
WhitcombDavid K
BrickIvan E RonenTavy LeeCheng F |
| Collana | Advances in Quantitative Analysis of Finance & Accounting |
| Soggetto topico |
Stock exchanges - Mathematical models
Securities - Prices - Mathematical models Liquidity (Economics) - Mathematical models |
| ISBN |
1-281-90910-6
9786611909109 981-270-729-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface to Volume 3; Contents; Introduction to Volume 3 Ivan E. Brick, Tavy Ronen; List of Contributors; Section I - Economics of Limit Orders; Chapter 1 Discriminatory Limit Order Books, Uniform Price Clearing and Optimality Lawrence R. Glosten; 1. Introduction; 2. The Economic Setting; 3. Optimum Terms of Trade; 4. Discriminatory CLOB and Uniform Price Clearing; 4.1. CLOB; 4.2. Uniform price clearing; 4.3. Welfare analysis; 5. Discussion; 6. Conclusion; Acknowledgments; References
Chapter 2 Electronic Limit Order Books and Market Resiliency: Theory, Evidence, and Practice Mark Coppejans, Ian Domowitz, Ananth Madhavan1. Introduction; 2. Theory; 2.1. Model framework; 2.2. Liquidity dynamics; 3. Empirical Results; 3.1. Institutional details; 3.2. Data; 3.3. Liquidity metrics; 3.4. Realized price impact costs; 4. Dynamics of Liquidity; 4.1. Identification; 4.2. Specification and estimation of market liquidity dynamics; 4.3. Impulse response functions; 4.4. The dynamic relationship between liquidity and volatility; 5. Practical Issues; 5.1. Institutional trading 5.2. Optimal trading strategies5.3. Market structure, trading protocols, and resiliency; 6. Conclusion; Acknowledgments; References; Chapter 3 Notes for a Contingent Claims Theory of Limit Order Markets Bruce N. Lehmann; 1. Introduction; 2. Limit Orders as Order Flow Derivatives; 3. Limit Order Valuation and Order Flow Bets; 4. Limit Order Book Dynamics; 5. Conclusion; Acknowledgments; References; Chapter 4 The Option Value of the Limit Order Book Alex Frino, Elvis Jarnecic, Thomas H. McInish; 1. Introduction; 2. The ASX Market Structure; 3. Data and Methodology 3.1. Databases and sample selection3.2. Reconstruction of the limit order schedule; 3.3. Calculation of variables and the option value of a limit order; 3.4. The limit order schedule and its option value; 4. Empirical Results; 4.1. An intraday examination of the limit order schedule; 4.2. Robustness of results across size of stocks and time periods; 5. Summary and Conclusions; Acknowledgments; References; Section II - Essays on Liquidity of Markets; Chapter 5 The Cross Section of Daily Variation in Liquidity Tarun Chordia, Lakshmanan Shivakumar, Avanidhar Subrahmanyam; 1. Data 1.1. Inclusion requirements1.2. Summary statistics; 2. The Relation Between Liquidity and Stock Volatility; 2.1. Theoretical background; 2.2. Empirical analysis; 2.2.1. Time-series regressions; 2.2.2. Cross-sectional determinants of the response of liquidity to absolute returns; 2.2.3. Robustness checks; 3. Conclusion; Acknowledgments; References; Chapter 6 Intraday Volatility on the NYSE and NASDAQ Daniel G.Weaver; 1. Introduction; 2. Sample and Methodology; 3. Results; 4. Conclusion; Acknowledgments; References Chapter 7 The Intraday Probability of Informed Trading on the NYSE Michael A. Goldstein, Bonnie F. Van Ness, Robert A. Van Ness |
| Record Nr. | UNINA-9910782488003321 |
| Hackensack, N.J., : World Scientific, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advances in quantitative analysis of finance and accounting . Volume 4 [[electronic resource] /] / editor Cheng-Few Lee
| Advances in quantitative analysis of finance and accounting . Volume 4 [[electronic resource] /] / editor Cheng-Few Lee |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N. J., : World Scientific, c2006 |
| Descrizione fisica | 1 online resource (376 p.) |
| Disciplina | 657.48 |
| Altri autori (Persone) | LeeCheng F |
| Collana | Advances in quantitative analysis of finance and accounting |
| Soggetto topico |
Accounting - Mathematical models
Finance - Mathematical models |
| ISBN |
1-281-37333-8
9786611373337 981-277-282-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Contents""; ""Preface to Volume 4""; ""List of Contributors""; ""Chapter 1 Real Option Based Equity Valuation Models: An Empirical Analysis""; ""1. Introduction""; ""2. Background and Prior Research""; ""3. Real Option Based Equity Valuation Models""; ""4. Sample and Variables""
""5. Analyses and Results""""6. Financial Management Considerations""; ""7. Loss Firms""; ""8. Conclusions and Limitations""; ""Appendix A. Some Basic Properties of Options""; ""Appendix B. Reconciling the Apparent Negative Earnings Anomaly""; ""References"" ""Chapter 2 Firm Performance and Compensation-Based Stock Trading by Corporate Executives""""1. Introduction""; ""2. Data and Sample""; ""3. Empirical Results""; ""4. Conclusions and Discussions""; ""Appendix A""; ""Appendix B""; ""Appendix C""; ""References "" ""Chapter 3 Management Compensation, Debt Contract, and Earnings Management Strategy""""1. Introduction""; ""2. The Basic Model""; ""3. Earnings Management Strategy and Debt Covenants""; ""4. Conclusions""; ""References""; ""Chapter 4 Risky Debt-Maturity Choice under Information Asymmetry""; ""1. Introduction""; ""2. The Model"" ""3. Debt-Market Equilibrium""""4. Numerical Examples""; ""5. Conclusions""; ""Appendix A""; ""Acknowledgements""; ""References""; ""Chapter 5 Estimated Operating Cash Flow, Reported Cash Flow from Operating Activities, and Financial Distress""; ""1. Introduction""; ""2. Motivation for Study and Relevant Prior Literature ""; ""3. Research Methods"" ""4. Statistical Results"" |
| Record Nr. | UNINA-9910784716003321 |
| Singapore ; ; Hackensack, N. J., : World Scientific, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
