Advances in quantitative analysis of finance and accounting. / New series. Vol. 2 PDF
Preview Advances in quantitative analysis of finance and accounting. / New series. Vol. 2
5756.tp(cast) 8/2/06 3:02 PM Page 1 ADVANCES IN QUANTITETIVE ANALYSIS OF FINANCE AND ACCOUNTING New Series Volume 2 July13,2005 13:47 WSPC/B272 fm.tex AdvancesinQuantitativeAnalysisofFinanceandAccounting(NewSeries) EditorialBoard ChengF.Lee RutgersUniversity, USA MikeJ.Alderson UniversityofSt.Louis,USA JamesS.Ang FloridaStateUniversity,USA K.R.Balachandran NewYorkUniversity, USA ThomasC.Chiang DrexelUniversity, USA ThomasW.Epps UniversityofVirginia,USA ThomasJ.Frecka UniversityofNotreDame,USA RobertR.Grauer SimonFraserUniversity, Canada PuneetHanda UniversityofIowa,USA Der-AnHsu UniversityofWisconsin, Milwaukee,USA PremC.Jain GeorgetownUniversity, USA JevonsC.Lee TulaneUniversity, USA WayneY.Lee KentStateUniversity, USA ScottC.Linn UniversityofOklahoma,USA GeraldJ.Lobo UniversityofHouston, USA YawMensah RutgersUniversity, USA ThomasH.Noe TulaneUniversity, USA OdedPalmon RutgersUniversity, USA LouisO.Scott MorganStanleyDeanWitter,USA AndrewJ.Senchak UniversityofTexas,Austin,USA DavidSmith IowaStateUniversity,USA K.C.JohnWei HongKongTechnicalUniversity, HongKong WilliamW.S.Wei TempleUniversity, USA ChunchiWu SyracuseUniversity,USA UziYaari RutgersUniversity, USA 5756.tp(cast) 8/2/06 3:02 PM Page 2 ADVANCES IN QUANTITATIVE ANALYSIS OF FINANCE AND ACCOUNTING New Series Volume 2 Editor Cheng–Few Lee Rutgers University, USA World Scientific NEW JERSEY .LONDON . SINGAPORE . BEIJING . SHANGHAI . HONG KONG . TAIPEI . CHENNAI Published by World Scientific Publishing Co. Pte. Ltd. 5 Toh Tuck Link, Singapore 596224 USA office: 27 Warren Street, Suite 401-402, Hackensack, NJ 07601 UK office: 57 Shelton Street, Covent Garden, London WC2H 9HE British Library Cataloguing-in-Publication Data A catalogue record for this book is available from the British Library. ADVANCES IN QUANTITATIVE ANALYSIS OF FINANCE AND ACCOUNTING (NEW SERIES) VOLUME 2 Copyright © 2005 by World Scientific Publishing Co. Pte. Ltd. and Cheng-Few Lee All rights reserved. This book, or parts thereof, may not be reproduced in any form or by any means, electronic or mechanical, including photocopying, recording or any information storage and retrieval system now known or to be invented, without written permission from the Publisher. For photocopying of material in this volume, please pay a copying fee through the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, USA. In this case permission to photocopy is not required from the publisher. ISBN 981-256-164-1 Typeset by Stallion Press Email: [email protected] Printed in Singapore. July13,2005 13:47 WSPC/B272 fm.tex Preface to Volume 2 AdvancesinQuantitative AnalysisofFinanceandAccounting (NewSeries)is anannualpublicationdesignedtodisseminatedevelopmentsinthequantitative analysis of finance and accounting. It is a forum for statistical and quantita- tive analyses of issues in finance and accounting, as well as applications of quantitative methodstoproblemsinfinancialmanagement, financialaccount- ingandbusinessmanagement.Theobjectiveistopromoteinteractionbetween academicresearchinfinanceandaccounting, appliedresearchinthefinancial community, andtheaccounting profession. Thechaptersinthisvolumecoverawiderangeoftopicsincludingderiva- tivespricing, hedging, indexsecurities, assetpricing, different exchange trad- ing,knowledgespillovers andanalystperformance andvoluntary disclosure. In this volume, there are 12 chapters. Five of them are related to stock exchange trading, index securities and hedging: 1.Intraday TradingofIsland (AsReported totheCincinnati Stock Exchange) andNASDAQ;2.TheImpact ofthe Introduction ofIndex Securities onthe Underlying Stocks: TheCaseof the Diamonds and the Dow 30; 3. Hedging with Foreign-Listed Single Stock Futures; 4. Listing Switches from NASDAQto the NYSE/AMEX:Is New York Issuance a Motive? 5. Using PathAnalysis to Integrate Accounting and Non- FinancialInformation: TheCaseforRevenueDrivesofInternet Stocks. Twoofthe12chaptersarerelatedtoderivativessecurities. 1.Multinomial LatticesandDerivativesPricing;2.IsCoveredCallInvestingWise?Evaluating theStrategy UsingRisk-AdjustedPerformanceMeasures Theothertwoofthe12chaptersarerelatedtoanalysts’earningsforecast: 1.VoluntaryDisclosureofStrategicOperatingInformationandtheAccuracyof Analysts’EarningsForecast;2.CFADesignation,GeographicalLocationand AnalystPerformance.Finally,theotherthreepapersare1:Value-Relevanceof KnowledgeSpillovers:EvidencefromThreeHigh-TechIndustries;2.ATeach- ingNoteontheEffectiveInterestRate,PeriodicInterestRateandCompounding Frequency; 3. Asset Pricing with Higher Moments: Empirical Evidence from theTaiwanStockMarket. v July13,2005 13:47 WSPC/B272 fm.tex This page intentionally left blank July13,2005 13:47 WSPC/B272 fm.tex Contents PrefacetoVolume2 v ListofContributors ix Chapter1 MultinomialLatticesandDerivatives Pricing 1 GeorgeM.Jabbour, MaratV.Kramin,TimurV.Kramin, StephenD.Young Chapter2 Value-Relevance ofKnowledgeSpillovers: Evidence fromThreeHigh-TechIndustries 17 MichaelK.Fung Chapter3 UsingPathAnalysistoIntegrate Accounting and Non-Financial Information: TheCaseforRevenue DrivesofInternet Stocks 33 AnthonyKozberg Chapter4 ATeachingNoteontheEffective InterestRate, PeriodicInterestRateandCompounding Frequency 65 YoungsikKwak,H.JamesWilliams Chapter5 Voluntary DisclosureofStrategic Operating Information andtheAccuracyofAnalysts’Earnings Forecasts 73 SidneyLeung Chapter6 IntradayTradingofIsland(AsReportedtothe CincinnatiStockExchange)andNASDAQ 89 VanT.Nguyen,BonnieF.VanNess, RobertA.VanNess vii July13,2005 13:47 WSPC/B272 fm.tex viii Contents Chapter7 TheImpactoftheIntroduction ofIndexSecurities ontheUnderlyingStocks: TheCaseofthe DiamondsandtheDow30 105 BonnieF.VanNess,RobertA.VanNess, RichardS.Warr Chapter8 HedgingwithForeign-Listed SingleStockFutures 129 Mao-weiHung,Cheng-few Lee,Leh-chyanSo Chapter9 AssetPricingwithHigherMoments:Empirical EvidencefromtheTaiwanStockMarket 153 Bing-HueiLin,JerryM.C.Wang Chapter10 ListingSwitchesfromNASDAQto theNYSE/AMEX:IsNewYorkIssuance aMotive? 171 AsliAscioglu, ThomasH.McInish Chapter11 IsCoveredCallInvesting Wise?Evaluating theStrategy UsingRisk-AdjustedPerformanceMeasures 187 KarylB.Leggio,DonaldLien Chapter12 CFADesignation, Geographical Locationand AnalystPerformance 205 PingHsiao,WayneY.Lee Index 219 July13,2005 13:47 WSPC/B272 fm.tex List of Contributors Chapter1 GeorgeM.Jabbour TheGeorgeWashington University 2023GStreet Room530 Washington DC,20052 Tel:202-994-3879 Fax:202-994-5110 Email:[email protected] MaratV.Kramin FannieMaePortfolioStrategyDepartment 2500Wisconsin Avenue,#141 Washington DC,20007 Tel:202-752-6383 Email:[email protected] TimurV.Kramin TatarstanAmericanInvestment Fund AK.ParinaSt.,12-62 Kazan,Tatarstan,Russia StephenD.Young WachoviaSecuritiesEquityDerivativesGroup 5000MorrowickRoad Charlotte, NC28226 Tel:704-715-8215 Email:[email protected] ix
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