Advances in quantitative analysis of finance and accounting. / Vol. 6 PDF
Preview Advances in quantitative analysis of finance and accounting. / Vol. 6
ADVANCES IN QUANTITATIVE ANALYSIS OF FINANCE AND ACCOUNTING vOLUME 6 6741 tp.indd 1 2/1/08 9:14:26 AM TThhiiss ppaaggee iinntteennttiioonnaallllyy lleefftt bbllaannkk ADVANCES IN QUANTITATIVE ANALYSIS OF FINANCE AND ACCOUNTING 6 Volume Editor Cheng-Few Lee Rutgers University, USA World Scientific N E W J E R S E Y • L O N D O N • S I N G A P O R E • B E I J I N G • S H A N G H A I • H O N G K O N G • TA I P E I • C H E N N A I 6741 tp.indd 2 2/1/08 9:14:30 AM 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 – Vol. 6 ADVANCES IN QUANTITATIVE ANALYSIS OF FINANCE AND ACCOUNTING Copyright © 2008 by World Scientific Publishing Co. Pte. Ltd. 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-13 978-981-279-168-9 ISBN-10 981-279-168-X Typeset by Stallion Press Email: [email protected] Printed in Singapore. PohHoon - Advs in Quan Vol 6.pmd 1 5/20/2008, 6:40 PM February18,2008 16:14 spi-b567 AdvancesinQuantitativeAnalysisofFinanceandAccounting:Vol.6 fm Preface to Volume 6 Advances in Quantitative Analysis of Finance and Accounting is an annual publication designedto disseminatedevelopmentsin the quantitative analy- sis of finance and accounting. The publication is a forum for statistical and quantitative analysesof issues in financeand accountingas well as applica- tionsofquantitativemethodstoproblemsinfinancialmanagement,financial accounting,andbusinessmanagement.Theobjectiveistopromoteinteraction betweenacademicresearchinfinanceandaccountingandappliedresearchin thefinancialcommunityandtheaccountingprofession. Thechaptersin this volumecovera widerangeoftopics.In this volume there are 12 chapters,three of them are corporate financeand debtmanage- ment: 1. Collateral Constraints, Debt Management, and Investment Incen- tives, 2. Thirty Years of Canadian Evidence on Stock Splits, Reverse Stock Splits, and Stock Dividends, and 3. Corporate Capital Structure and Firm Value: A Panel Data Evidence From Australia’s Dividend Imputation Tax System.Thereare twooftheotherninechapterswhichcoverearningsman- agement: 1. Why is the Value Relevance of Earnings Lower for High-Tech Firms? and 2. Earnings Management in Corporate Voting: Evidence from Anti-TakeoverCharterAmendments. Three of the other seven chapters discuss equity markets: 1. Evaluating the Robustness of Market Anomaly Evidence, 2. Intraday Volume–Volatility Relation of the DOW: A Behavioral Interpretation, and 3. Determinants of Winner–LoserEffectsinNationalStockMarkets.Twooftheotherfourchap- tersanalyzeoptionsa ndfutures:1.ThePricingofInitialPublicOfferings:An Option Apporach and 2. The Momentum and Mean Reversion Nikkei Index Futures:AMarkovChainAnalysis. The remaining two chapters are related to portfolio diversification and quadratic programming: 1. A Concave Quadratic Programming Marketing StrategyModelwithProductLifeCyclesand2.CorporateCapitalStructure andFirmValue:APanelDataEvidencefromAustralia’sDividendImputation TaxSystem.Insum,thisannualpublicationcoverscorporatefinanceanddebt management,earningsmanagement,optionsandfutures,equitymarket,and portfoliodiversification.Therefore,thematerialcoveredinthispublicationis veryusefulforbothacademicianandpractitionerintheareaoffinance. v February18,2008 16:14 spi-b567 AdvancesinQuantitativeAnalysisofFinanceandAccounting:Vol.6 fm TThhiiss ppaaggee iinntteennttiioonnaallllyy lleefftt bbllaannkk February18,2008 16:14 spi-b567 AdvancesinQuantitativeAnalysisofFinanceandAccounting:Vol.6 fm Contents Preface v ListofContributors ix Chapter1 CollateralConstraints,DebtManagement, andInvestmentIncentives 1 ElettraAgliardiandRainerAndergassen Chapter2 A Concave Quadratic Programming Marketing StrategyModelwithProductLifeCycles 15 PaulY.Kim,ChinW.Yang,CindyHsiao-PingPeng andKenHung Chapter3 EvaluatingtheRobustnessofMarketAnomalyEvidence 27 WilliamD.BrownJr.,ErinA.Mooreand RayJ.PfeifferJr. Chapter4 WhyistheValueRelevanceofEarningsLower forHigh-TechFirms? 49 B.BrianLee,EricPressandB.BenChoi Chapter 5 ThirtyYearsofCanadianEvidenceonStockSplits, ReverseStockSplits,andStockDividends 83 VijayJogandPengChengZhu Chapter6 IntradayVolume—VolatilityRelationoftheDOW: ABehavioralInterpretation 117 AliF.Darrat,ShafiqurRahmanandMaosenZhong Chapter 7 ThePricingofInitialPublicOfferings:AnOption Approach 127 SheenLiu,ChunchiWuandPeterHuaiyuChen vii February18,2008 16:14 spi-b567 AdvancesinQuantitativeAnalysisofFinanceandAccounting:Vol.6 fm viii Contents Chapter8 DeterminantsofWinner–LoserEffects inNationalStockMarkets 143 Ming-ShiunPan Chapter9 EarningsManagementinCorporateVoting: EvidencefromAntitakeoverCharterAmendments 159 Chun-KeungHoi,MichaelLacinaand PatriciaL.Wollan Chapter10 DeterministicPortfolioSelectionModels, SelectionBias,andanUnlikelyHero 179 HerbertE.Phillips Chapter11 CorporateCapitalStructureandFirmValue: APanelDataEvidencefromAustralia’sDividend ImputationTaxSystem 205 AbuTaherMollik Chapter 12 The Momentum and Mean Reversion of Nikkei IndexFutures:AMarkovChainAnalysis 239 KePengandShiyunWang Index 253 February18,2008 16:14 spi-b567 AdvancesinQuantitativeAnalysisofFinanceandAccounting:Vol.6 fm List of Contributors Chapter1 ElettraAgliardi DepartmentofEconomics UniversityofBologna P.zzaScaravilli2,40126Bologna(Italy) Tel:+390512098668 Email:[email protected] RainerAndergassen DepartmentofEconomics UniversityofBologna P.zzaScaravilli2,40126Bologna(Italy) Tel:+390512098666 E-mail:[email protected] Chapter2 PaulY.Kim CollegeofBusinessAdministration ClarionUniversityofPennsylvania Clarion,PA16214 Tel:(814)393-2630 Fax:(814)393-1910 Email:[email protected] ChinW.Yang CollegeofBusinessAdministration ClarionUniversityofPennsylvania Clarion,PA16214 Tel:(814)393-2609 Fax:(814)393-1910 Email:[email protected] ix
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