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Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives:In 4 Volumes
Edited by Cheng Few Lee,
Alice C Lee and
John C Lee
in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.
Abstract:
This four-volume handbook covers important topics in the fields of investment analysis, portfolio management, and financial derivatives. Investment analysis papers cover technical analysis, fundamental analysis, contrarian analysis, and dynamic asset allocation. Portfolio analysis papers include optimization, minimization, and other methods which will be used to obtain the optimal weights of portfolio and their applications. Mutual fund and hedge fund papers are also included as one of the applications of portfolio analysis in this handbook.
Keywords: Financial Accounting; Financial Auditing; Mutual Funds; Hedge Funds; Asset Pricing; Options; Portfolio Analysis; Risk Management; Investment Analysis; Momentum Analysis; Behavior Analysis; Futures; Index Futures; CDCs; Financial Econometrics; Statistics; Financial Derivatives; Financial Accounting (search for similar items in EconPapers)
JEL-codes: G1 G11 G12 G3 M41 M42 (search for similar items in EconPapers)
Date: 2024
ISBN: 9789811269936
References: Add references at CitEc
Citations:
Downloads: (external link)
https://www.worldscientific.com/worldscibooks/10.1142/13051 (text/html)
Ebook Access is available upon purchase
Chapters in this book: - Ch 1 Introduction to Investment Analysis, Portfolio Management, and Financial Derivatives , pp 1-68
- Cheng Few Lee
- Ch 2 Analyst Characteristics-Based Consensus Forecasts , pp 69-115
- Yu-An Chen and Dan Palmon
- Ch 3 Models of Option Pricing , pp 117-170
- Jia Shao, Nathan Lael Joseph and Ahmed A. El-Masry
- Ch 4 Realized Diversification Benefits of Risk Portfolio Models , pp 171-190
- Wan-Jiun Paul Chiou, Wen-Yi Lee and Jing-Rung Yu
- Ch 5 VIX Implied Volatility as a Time-Invariant, Stationary Assessor of Market Nervousness/Uncertainty , pp 191-197
- Ehud I. Ronn
- Ch 6 Investment and Saving in the European Union: Another Look at Feldstein–Horioka , pp 199-234
- Anastassios A. Drakos, Georgios Kouretas, Stavros Stavroyiannis and Leonidas Zarangas
- Ch 7 A Three-Stage Procedure for Predicting Stock Returns , pp 235-260
- Bharat Sarath and Yixun Zhou
- Ch 8 Temporal Aggregation and the Estimation of Reverse Regressions for Commodities Market Models , pp 261-281
- Phillip A. Cartwright and Natalija Riabko
- Ch 9 Correlation and Dependence between Oil Prices, Stock Returns, Policy Uncertainty, and Financial Stress During COVID-19 Pandemic: New Evidence from a Multicountry Analysis Using Cross-Quantilogram Method , pp 283-320
- Aviral Tiwari, Emmanuel Abakah, Richard Dwumfour and Luis Gil-Alana
- Ch 10 Predicting the Equity Premium with the Implied Volatility Spread , pp 321-361
- Charles Cao, Timothy Simin and Han Xiao
- Ch 11 Does Equity Market Timing have a Persistent Impact on Capital Structure? Evidence from China , pp 363-397
- Yang Zhao, Cheng Few Lee and Min-Teh Yu
- Ch 12 The Joint Determinants of Capital Structure and Stock Rate of Return: A LISREL Model Approach , pp 399-449
- Hong-Yi Chen, Cheng Few Lee and Tzu Tai
- Ch 13 Alternative Methods for Estimating Firm’s Growth Rate: Update and Extension , pp 451-481
- Ivan E. Brick, Hong-Yi Chen, Chia-Hsun Hsieh and Cheng Few Lee
- Ch 14 Technical, Fundamental, and Combined Information for Separating Winners from Losers , pp 483-526
- Hong-Yi Chen, Cheng Few Lee and Wei K. Shih
- Ch 15 Alternative Methods to Derive Option Pricing Models: Review and Comparison , pp 527-571
- Cheng Few Lee, Yibing Chen and John Lee
- Ch 16 An Assessment of Copula Functions Approach in Conjunction with Factor Model in Portfolio Credit Risk Management , pp 573-591
- Lie-Jane Kao, Po-Cheng Wu and Cheng Few Lee
- Ch 17 Forecast Performance of the Taiwan Weighted Stock Index: Update and Expansion , pp 593-612
- Deng-Yuan Ji, Hsiao-Yin Chen and Cheng Few Lee
- Ch 18 Does Revenue Momentum Drive or Ride Earnings or Price Momentum? , pp 613-666
- Hong-Yi Chen, Sheng-Syan Chen, Chin-Wen Hsin and Cheng Few Lee
- Ch 19 Do Investors Still Benefit from Culturally Home-biased Diversification? An Empirical Study of China, Hong Kong, and Taiwan , pp 667-716
- Paul W. Chiou and Cheng Few Lee
- Ch 20 Product Market Competition and Real Activities Manipulations: Theory, Implications, and Applications , pp 717-748
- Cheng Few Lee and Hao-Chang Sung
- Ch 21 Gold in Portfolio: A Long-Term or Short-Term Diversifier? , pp 749-773
- Fu-Lai Lin, Sheng-Yung Yang and Yu-Fen Chen
- Ch 22 Fuzzy Multicriteria Decision-Making for Evaluating Mutual Fund Strategies , pp 775-794
- Shin-Yun Wang and Cheng Few Lee
- Ch 23 Mutual Fund Herding and Its Impact on Stock Returns: Evidence from the Taiwan Stock Market , pp 795-820
- Weifeng Hung, Chia-Chi Lu and Cheng Few Lee
- Ch 24 Stock Return, Risk, and Legal Environment around the World , pp 821-846
- Paul W. Chiou, Alice C. Lee and Cheng Few Lee
- Ch 25 Further Analysis of Bitcoin, Fintech, and P2P Lending: Perspectives and Recommendations from Industry 4.0 , pp 847-859
- Dinh Tran Ngoc Huy, Vu Quynh Nam, Hoang Thanh Hanh and Nguyen Ngoc Thach
- Ch 26 Earnings Quality and the Coinsurance Effect , pp 861-891
- Julia Nasev and Dominik von der Emde
- Ch 27 Alternative Methods for Determining Option Bounds: A Review and Comparison , pp 893-921
- Cheng Few Lee, Zhaodong Zhong, Tzu Tai and Hongwei Chuang
- Ch 28 Economic Policy Uncertainty and Short-term Reversals , pp 923-949
- Andy C. W. Chui
- Ch 29 Time Aggregation and the Estimation of the Market Model: Revision and Extension , pp 951-978
- Cheng Few Lee, Fu-Lai Lin and Phillip Cartwright
- Ch 30 Leases on Balance Sheets , pp 979-1006
- Peter Chinloy, Matthew Imes and Wendy Liu
- Ch 31 Financial Econometrics, Mathematics, Statistics, and Financial Technology: An Overall View , pp 1007-1075
- Cheng Few Lee
- Ch 32 Entropic Two-Asset Option , pp 1077-1128
- Tumellano Sebehela
- Ch 33 Joint Normality Test for the Returns on the Futures and Spot , pp 1129-1158
- Sheng-Syan Chen, Cheng Few Lee and Keshab Shrestha
- Ch 34 Analysis of Theoretical and Empirical Relationships between the Treasury Bills and Eurodollar , pp 1159-1187
- Cheng Few Lee, Keshab Shrestha and Robert L. Welch
- Ch 35 Volatility Risk Measures and Banks’ Leverage , pp 1189-1207
- Giulio Anselmi
- Ch 36 The Reactions to On-Air Stock Reports: Prices, Volume, and Order Submission Behavior , pp 1209-1252
- Chaoshin Chiao, Tung-Ying Lin and Cheng Few Lee
- Ch 37 Mutual Fund Competition for Ranking: When Risk-Taking Comes with Managerial Effort , pp 1253-1276
- Thi Thanh Huyen Nguyen, Duc De Ngo and Mouloud Tensaout
- Ch 38 Hedge Ratios: Theory and Applications , pp 1277-1328
- Sheng-Syan Chen, Cheng Few Lee, Fu-Lai Lin and Keshab Shrestha
- Ch 39 A Note on Stock Market Seasonality: The Impact of Stock Price Volatility on the Application of Dummy Variable Regression Model , pp 1329-1338
- Chin-Chen Chien, Cheng Few Lee and Andrew M. L. Wang
- Ch 40 Time-Changed GARCH versus GARJI Model for Extreme Events: An Empirical Study , pp 1339-1356
- Lie-Jane Kao, Po-Cheng Wu and Cheng Few Lee
- Ch 41 Corporate Financial Hedging and the Cost of Equity Capital , pp 1357-1402
- Hany B. Ahmed and Yilmaz Guney
- Ch 42 Does Trading Volume Contain Information to Predict Stock Returns? Evidence from China’s Stock Markets , pp 1403-1429
- Cheng Few Lee and Oliver M. Rui
- Ch 43 Financial Statement Analysis , pp 1431-1460
- Orla Lenihan
- Ch 44 Expected Credit Losses under IFRS 9: Concept, Models, and Disclosures , pp 1461-1511
- Alessandra Allini, Bikki Jaggi, Annamaria Zampella and Martina Prisco
- Ch 45 Hedging with the International Equity Index Futures: The Conventional Model versus the Error Correction Model , pp 1513-1524
- Fu-Lai Lin, Cheng Few Lee, Win-Lin Chou and Dennis Kin-Keung Fan
- Ch 46 Technical Analysis in Investing , pp 1525-1547
- Cohen Gil
- Ch 47 A Comparative Static Analysis Approach to Derive Greek Letters: Theory and Applications , pp 1549-1581
- Cheng Few Lee
- Ch 48 A Correlation-Based Portfolio Choice Algorithm , pp 1583-1600
- Jonathan Ross, Joshua Madsen and Gordon Alexander
- Ch 49 Stock Returns and Volatility on China’s Stock Markets , pp 1601-1627
- Cheng Few Lee and Oliver M. Rui
- Ch 50 Value Line Investment Survey Rank Changes and Beta Coefficients , pp 1629-1635
- Cheng Few Lee and Hun Y. Park
- Ch 51 International Hedge Ratios for Index Futures Market: A Simultaneous Equations Approach , pp 1637-1647
- Cheng Few Lee, Fu-Lai Lin and Mei-Ling Chen
- Ch 52 Empirical Studies of Structural Credit Risk Models and the Application in Default Prediction: Review and New Evidence , pp 1649-1706
- Han-Hsing Lee, Ren-Raw Chen and Cheng Few Lee
- Ch 53 Predicting Stock Return Movement Directions with Sentiment Analysis of News Headlines: A Machine Learning Approach , pp 1707-1734
- Hanxin Hu and Ting Sun
- Ch 54 Style Investing, Momentum, and Co-movement , pp 1735-1753
- Chunchi Wu and Xinyuan Tao
- Ch 55 Mining for “Green Diamonds” — Value Relevance of Greenhouse Gas Emissions , pp 1755-1794
- Carsten Homburg, Laurens O. J. Lapp and Roman Schick
- Ch 56 Risk Estimation, Diversification, and Optimal Weights , pp 1795-1833
- Cheng Few Lee
- Ch 57 The Role of Founder Presence in Investment Analysis , pp 1835-1851
- Bin Srinidhi
- Ch 58 Financial Statement Analyses and Firm Valuation: Johnson & Johnson as a Case Study , pp 1853-1892
- Cheng Few Lee and Wen-Chi Yeh
- Ch 59 Technical Analysis in the Stock Market: A Review , pp 1893-1928
- Yufeng Han, Yang Liu, Guofu Zhou and Yingzi Zhu
- Ch 60 The Sovereign Rating Channel in the European Debt Crisis: Spillover Effects on Sovereign CDS and Other Systemic Risk Indicators , pp 1929-1959
- Dimitris Georgoutsos and George Moratis
- Ch 61 Interest Rate Sensitivity and Investor Disagreement: How to Explain Bank Stock Turnover , pp 1961-1990
- Mark Iarovyi, Sasson Bar-Yosef and Itzhak Venezia
- Ch 62 A Novel Semi-Static Method for the Index Tracking Problem , pp 1991-2002
- Chun-Chong Fu, Chuan-Hsiang Han and Kun Wang
- Ch 63 Fundamental Analysis: A Practical Approach , pp 2003-2021
- Andreas G. Koutoupis and Leonidas G. Davidopoulos
- Ch 64 Lessons on Risk, Return, and Portfolio Construction from the Great Investors , pp 2023-2050
- John M. Longo
- Ch 65 Sources of Liquidity Premium: Risk or Mispricing? , pp 2051-2088
- Pin-Huang Chou, Kuan-Cheng Ko and K.C. John Wei
- Ch 66 Analysis of IBEX-35 Listed Companies: Recent CSR Reports and Behavior of the Main Indicators. Existence of a Proportional Relationship between Greenwashing and Deficient CSR Reports , pp 2089-2120
- Cristina Chueca Vergara and Luis Ferruz Agudo
- Ch 67 Return Volatility, Skewness, and Momentum Effects , pp 2121-2150
- Alex Huang and Ming-Che Hu
- Ch 68 Predicting Implied Volatility with Historical Volatility , pp 2151-2175
- Xinjie Wang, Ge Wu and Suyang Zhao
- Ch 69 Estimating Binomial and Black & Scholes Option Pricing Models: Excel, R Language, and SAS Program Approach , pp 2177-2195
- LiJane Kao, John Lee and Cheng Few Lee
- Ch 70 Value Contributions , pp 2197-2236
- Peter Chinloy and Matthew Imes
- Ch 71 Using Computational Science Methods in Accounting and Finance Research , pp 2237-2264
- David A. Ziebart, Mark Cheng, Sohee Kim, Wenyin Li, Anh Pham and Darren Woodward
- Ch 72 Stock Buybacks and Financial Turmoil: Pros and Cons for Investors , pp 2265-2292
- Foued Hamouda
- Ch 73 The Roles of Financial Analysts in the Stock Market , pp 2293-2308
- Guanming He and April Zhichao Li
- Ch 74 Funding Liquidity and CDS-Bond Basis: Evidence from the CDS Big Bang , pp 2309-2331
- Xinjie Wang and Zhaodong Zhong
- Ch 75 Issues and Challenges of Weather and Freight Derivatives: Impact of Pandemic Situation , pp 2333-2348
- G.V. Satya Sekhar
- Ch 76 On a Long-Term Investment Strategy in a Stock Market , pp 2349-2391
- Guanming He, April Zhichao Li and Dongxiao Shen
- Ch 77 European Option, American Option, and Option Bounds: Theory, Method, and Some Empirical Results , pp 2393-2429
- Cheng Few Lee
- Ch 78 Improving the Stock Market Prediction with Social Media via Broad Learning , pp 2431-2500
- Xi Zhang and Philip S. Yu
- Ch 79 Bond Portfolio Management, Swap Strategy, Duration, and Convexity , pp 2501-2539
- Cheng Few Lee
- Ch 80 Do CFA Charterholders Make Better Hedge Fund Managers? , pp 2541-2564
- Yao Zheng and Eric Osmer
- Ch 81 Impact of Bank Activity and Funding Strategies on Liquidity Management: International Evidence , pp 2565-2600
- Yu-Li Huang and Kun-Li Lin
- Ch 82 Accounting Information and Firm Valuation , pp 2601-2641
- Cathy Zishang Liu, Kai-Cheung Kenneth Chu and C. S. Agnes Cheng
- Ch 83 Developments in CDS Markets: A Review on Recent CDS Studies , pp 2643-2681
- Xingyi Hu and Zhaodong Zhong
- Ch 84 Decision Tree and Microsoft Excel Approach for Option Pricing Model , pp 2683-2726
- Jow-Ran Chang and John Lee
- Ch 85 Comparisons between the Markowitz Model and the Black–Litterman Model , pp 2727-2749
- Huei-Wen Teng
- Ch 86 Empirical Performance of the Constant Elasticity Variance Option Pricing Model , pp 2751-2793
- Ren Raw Chen, Cheng Few Lee and Han-Hsing Lee
- Ch 87 Asset Allocation with Cryptocurrencies , pp 2795-2858
- Han-Hsing Lee and Ken-Kuan Su
- Ch 88 Market-Based, Accounting-Based, and Composite-Based Beta Forecasting , pp 2859-2899
- Cheng Few Lee
- Ch 89 Utility Theory, Capital Asset Allocation, and Markowitz Portfolio Selection Model , pp 2901-2943
- Cheng Few Lee
- Ch 90 Single-Index Model, Multiple-Index Model, and Portfolio Selection , pp 2945-2981
- Cheng Few Lee
- Ch 91 Sharpe Performance Measure and Treynor Performance Measure Approach to Portfolio Analysis , pp 2983-3018
- Cheng Few Lee and Paul W. Chiou
- Ch 92 Modeling Different REIT Cash Flows , pp 3019-3075
- Tamala Amelia Manda
- Ch 93 Bayesian Portfolio Mean-Variance Efficiency Test with Sampling Error of Sharpe Ratio , pp 3077-3098
- Lie-Jane Kao, Huei Ching Soo and Cheng Few Lee
- Ch 94 Fundamental Analysis, Technical Analysis, and Mutual Fund Performance , pp 3099-3157
- Cheng Few Lee
- Ch 95 Synthetic Options, Portfolio Insurance, and Contingent Immunization , pp 3159-3202
- Cheng Few Lee
- Ch 96 Global International ELM versus Momentum , pp 3203-3223
- Robert Snigaroff and David Wroblewski
- Ch 97 Estimating European and American Option Pricing Models: Excel and SAS Language Approach , pp 3225-3253
- Jow-Ran Chang, John Lee and Cheng Few Lee
- Ch 98 Estimating the Probabilities of Default under the Assumption of Unobserved Heterogeneity , pp 3255-3276
- Jacob Oded and Itzhak Venezia
- Ch 99 A Factor Model for Graph Data , pp 3277-3298
- Wei-Fang Niu and Henry Horng-Shing Lu
- Ch 100 A Dynamic CAPM with Supply Effect: Theory and Empirical Results , pp 3299-3328
- Cheng Few Lee, Chiung-Min Tsai and Alice C. Lee
- Ch 101 Indices Herding Behavior and Its Impact on Listed Real Estate and Two Other Asset Classes: A Case of Developed versus Emerging Markets , pp 3329-3368
- Sibongile Zwane
- Ch 102 Price Momentum, Earnings Forecasting, and Valuation: Implications for Inefficient Markets , pp 3369-3386
- Christopher C. Geczy and John B. Guerard
- Ch 103 Advancement of Optimal Portfolio Models with Short Sales and Transaction Costs: Methodology and Effectiveness , pp 3387-3410
- Paul W. Chiou and Jing-Rung Yu
- Ch 104 Implied Variance Estimates for Black–Scholes and CEV OPM: Review and Comparison , pp 3411-3444
- Cheng Few Lee, Yibing Chen and John Lee
- Ch 105 On the Treatment of the Momentum Factor in Accounting-Based Anomalies: A Discussion , pp 3445-3461
- Philip Keejae Hong, Kyonghee Kim and Sukesh Patro
- Ch 106 Constant Elasticity of Variance Option Pricing Model: Integration and Detailed Derivation , pp 3463-3481
- Y. L. Hsu, T. L. Lin and Cheng Few Lee
- Ch 107 Options, Put–Call Parities, and Option Strategies: Theory and Empirical Results , pp 3483-3546
- Cheng Few Lee and Wen-Chi Yeh
- Ch 108 A Cross-sectional Asset Pricing Test with More Power: An Instrumental Variable Approach , pp 3547-3581
- Jungshik Hur
- Ch 109 Current vs. Permanent Earnings for Estimating Alternative Dividend Payment Behavioral Model: Theory, Methods, and Applications , pp 3583-3626
- Cheng Few Lee, Hong-Yi Chen, Alice Lee and Yuhsin Tai
- Ch 110 Differential Effect of Inside Debt, CEO Compensation Diversification, and Firm Investment , pp 3627-3680
- Cheng Few Lee, Chengru Hu and Maggie Foley
- Ch 111 Optimal Payout Ratio under Uncertainty and the Flexibility Hypothesis: Theory, Empirical Evidence, and Implications , pp 3681-3731
- Cheng Few Lee, Manak C. Gupta, Hong-Yi Chen and Alice C. Lee
- Ch 112 Sustainable Growth Rate, Optimal Growth Rate, and Optimal Payout Ratio: A Joint Optimization Approach , pp 3733-3779
- Hong-Yi Chen, Manak C. Gupta, Alice C. Lee and Cheng Few Lee
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