Advances in Quantitative Analysis of Finance and Accounting

Edited by Cheng Few Lee

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: News

Keywords: Monte Carlo Simulations; REIT; IPO; Fractional Integration; Seasonality; Long Memory; Macroeconomic Shocks; VAR; Interest Rates (search for similar items in EconPapers)
Date: 2007
ISBN: 9789812706287
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https://www.worldscientific.com/worldscibooks/10.1142/6433 (text/html)
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Chapters in this book:

Ch 1 The Least Cost Superreplicating Portfolio for Short Puts and Calls in The Boyle–Vorst Model with Transaction Costs , pp 1-22

Guan-Yu Chen, Ken Palmer and Yuan-Chung Sheu

Ch 2 Testing of Nonstationarities in the Unit Circle, Long Memory Processes, and Day of the Week Effects in Financial Data , pp 23-50

Guglielmo Maria Caporale, Luis Gil-Alana and Mike Nazarski

Ch 3 Equity Restructuring via Tracking Stocks: Is there any Value Added? , pp 51-62

Beni Lauterbach and Joseph Vu

Ch 4 Stock Option Exercises and Discretionary Disclosure , pp 63-84

Wei Zhang and Steven F. Cahan

Ch 5 Do Profit Warnings Convey Information About the Industry? , pp 85-111

Dave Jackson, Jeff Madura and Judith Swisher

Ch 6 Are Whisper Forecasts More Informative than Consensus Analysts’ Forecasts? , pp 113-140

Erik Devos and Yiuman Tse

Ch 7 Earning Forecast-Based Return Predictions: Risk Proxies in Disguise? , pp 141-161

Le (Emily) Xu

Ch 8 On Simple Binomial Approximations for Two Variable Functions in Finance Applications , pp 163-179

Hemantha S. B. Herath and Pranesh Kumar

Ch 9 The Prime Rate-Deposit Rate Spread and Macroeconomic Shocks , pp 181-197

Bradley Ewing and Jamie Brown Kruse

Ch 10 The Long-Run Performance of Firms that Issue Tracking Stocks , pp 199-213

Charmen Loh

Ch 11 Differences in Underpricing Returns Between REIT IPOs and Industrial Company IPOs , pp 215-225

Bill Dimovski and Robert Brooks

Ch 12 Performance of Canadian Mutual Funds and Investors , pp 227-258

Rajeeva Sinha and Vijay Jog

Ch 13 Identifying Major Shocks in Market Volatility and Their Impact on Trading Strategies , pp 259-281

Pauline Shum and Kevin X. Zhu

Ch 14 The September Phenomenon of US Equity Market , pp 283-297

Anthony Yanxiang Gu and John T. Simon

Ch 15 Fundamental Drivers of Electricity Prices in the Pacific Northwest , pp 299-323

Chi-Keung Woo, Ira Horowitz, Nate Toyama, Arne Olson, Aaron Lai and Ray Wan

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