Research in finance : a research annual

著者

• Levy, Haim
• Chen, Andrew H.
• Kensinger, John W.
• Biswas, Rita

書誌事項

Research in finance : a research annual

JAI Press, 1979-

• v. 1
• v. 2
• v. 3
• v. 4
• v. 5
• v. 6
• v. 7
• v. 8
• v. 9
• v. 10
• v. 11
• v. 12
• v. 13
• v. 14
• v. 15
• v. 16
• v. 17
• v. 18
• v. 19
• v. 20
• v. 21
• v. 22
• v. 23
• v. 24
• v. 25
• Suppl. 2, 1996

注記

子書誌あり

Vols. 26-29は別書誌(BB02710518)

Vols. 10- other title information dropped

Vols. 1-5, edited by Haim Levy

Vols. 6-25, edited by Andrew H. Chen

Vols. 26-34, edited by John W. Kensinger

Vols. 35-, edited by Rita Biswas

Suppl. 2-, edited by Andrew H. Chen, K. C. Chan

Vols. 18-19: published by: Amsterdam : JAI, an imprint of Elsevier Science

Vols. 18-19: some printings published by: Bingley : Emerald

Vols. 20-23: published by: Oxford : Elsevier, Elsevier/Jai

Vols. 24-25: published by: Bingley : Emerald JAI

Vols. 30- published by: Bingley : Emerald

Vol. 7: 1988. v. 8: 1990. v. 9: 1991. v. 10: 1992. v. 11: 1993. v. 12: 1995. v. 13: 1995. v. 14: 1996. v. 15: 1997. v. 16: 1998. v. 17: 1999. v. 21: 2004. v. 22: 2005

Includes bibliographical references

内容説明・目次

巻冊次

v. 14 ISBN 9780762301201

内容説明

This volume covers such topics as financial distress and capital structure choice; optimal capital structure and valuation of the firm in multiperiod context; regression tests of the present value model of stock prices; and, intra-industry information transfers and stock repurchases.

目次

• Financial distress and capital structure choice, Tim C. Opler and Sheridan Titman
• optimal capital structure and valuation of the firm in multiperiod context - bankruptcy costs, corporate and personal taxes, and non-debt tax shields, Arto Suvas
• regression tests of the present value model of stock prices, Yoon Dokko
• intra-industry information transfers and stock repurchases, Ramesh P. Rao and Diana R. Franz
• bank capital requirements and optimal capital structure for banks, William P. Osterberg and James B. Thomson
• the impact of risk-based capital regulation on a bank's portfolio and insolvency risk, Mei-Ying Liu et al
• determinants of US commercial bank performance - regulatory and econometric issues, P.A.V.B. Swamy et al
• efficiency of Japanese multinational banks in the United States, Iftekhar Hasan and William Curt Hunter
• insolvency, foreign-branch deposits and option-based risk adjusted deposit insurance, Andrew H. Chen and Jacky C. So
• the variable rate put bond - an efficient development for shareholders' wealth preservation under volatile interest rates, Sangphill Kim and Alahassane Diallo
• cross-currency bond option pricing, Jason Z. Wei.

巻冊次

Suppl. 2, 1996 ISBN 9780762301386

内容説明

This supplement covers such topics as returns and volatilities in the Pacific Basin stock and futures markets; relationships among earnings, dividends, stock dividends and stock returns; corporate financial policies under asymmetric information or in the presence of foreign subsidiaries; optimal terms on convertible bonds; price reactions to issuance of subscription rights; and the impact of interlocking ownership on securities returns.

目次

List of contributors. Preface (A.H. Chen, K.C. Chan). The developing directions of derivatives regulation: a few thoughts (A. Neoh). The lead-lag relationship between the stock market and stock index futures market in Japan (Y. Peter Chung, Jun-Koo Kang and S. Ghon Rhee). Long-memory volatility in stock returns: evidence from four Asia Pacific markets, (Y.K. Tse, A.K.C. Tsui). Corporate financial policy under asymmetric information (E. Terry). Loan guarantees and the optimal financing and investment policies of multinational corporations (A.H. Chen, S.C. Mazumdar). Optimal conversion terms of a corporate convertible bond (A. Low, J. Muthuswamy and S. Sarkar). Security price reaction to rights issues: an extension of the Myers and Majluf model (A. Marsden). Unconditional first and conditional second moment effects: index portfolios and index futures (G.L. Gannon). Return and payout measures in markets with interlocking ownership: some evidence from the Japanese stock exchange ( F. Brioschi, S. Paleari). Stock dividends in Korea: a test of different hypotheses (M.S. Dhatt, Yong H. Kim and S. Mukherji). The cross-section of expected stock returns: further evidence from Hong Kong (J.K. Cheung, R. Chung and Jeong-Bon Kim). Earnings, dividends, and returns: a theoretical model (G. Hobbes, G. Partington and M. Stevenson). Cointegration and tests of present value models: Australian evidence (D. Allen, G. Black and G. MacDonald). The mixture of distributions hypotheses: the price volume relationship in Australian futures markets (A.D. Hall).

巻冊次

v. 15 ISBN 9780762302598

内容説明

This is the 15th volume in a series examining research in finance. It examines issues such as indirect financial distress and sales performance, stock market volatility and the business cycle, the behaviour of futures prices, and curved option pay-offs.

目次

List of contributors. Why do firms undertake intra-firm exchange offers? (K. Shah). Indirect cost of financial distress and sales performance (G.M. Chen, J.K. Cheung and L.J. Merville). Multinational firm and strategic trade policy (M. DasGupta, Seung-Dong Lee). The role of fundamental data and analysts' earnings breadth, forecasts, and revisions in the creation of efficient portfolios (J.B. Guerard, Jr., M. Gultekin and B.K. Stone). Earnings forecasts, revisions, and momentum in the estimation of efficient market-neutral Japanese and U.S. portfolios (J. Blin, S. Bender and J.B. Guerard, Jr.). The noise trader hypothesis: the case of closed-end country funds (C.S. Cheung, C.C.Y. Kwan and J. Lee). Stock market volatility and the business cycle (H. Shawky, S. Caner). An empirical study of the behavior of futures prices (A.H. Chen, M. Milon Cornett and P.G. Nabar). Pricing and informational efficiency of the Nikkei futures options (Kian-Guan Lim, C. Teo). Determinants of banks' deposit insurance liabilities: exogenous versus managerial influences (Jin-Chuan Duan, C.W. Sealey). Coinsurance and private-public partnership in deposit insurance (Van Son Lai, S. Warywoda). An option-based analysis of income-equity participation loans (W.S. Smith). Power over gamma: curved options payoffs (G. de Jager, J.K. Winsen).

巻冊次

v. 16 ISBN 9780762303281

内容説明

This is the 16th volume in a series examining research in finance.

目次

List of contributors. Conditional measures of performance and persistence for pension funds (J.A. Christopherson, W.E. Ferson and D.A. Glassman). Creating and destroying value: spin-offs of prior acquisitions (J.W. Allen et al.). Solving an empirical puzzle in the capital asset pricing model (J. Leusner, J.D. Akhavien and P.A.V.B. Swamy). Finite horizons and the consumption capital asset pricing model (P. Evans, I. Hasan). Mutual funds and asset pricing models in a finite economy (J.S. Ang, Tsong-Yue Lai). Macroforecasting accuracy and gains from stock market timing (Kie Ann Wong, Chi-Keung Woo and Richard Yan-Ki Ho). The effect of seasoned equity offerings on stock prices: a case of diversification versus growth opportunities (S. Nassiripouret al.). Tax uncertainty and equity risk: some empirical evidence (R.G. Stoutm R.A.K. Cox). Beta changes around stock distributions: an extension (T.W. Foster III, E. Scribner). Common stochastic trends in the term structure of interest rate swaps (S.V. Jayanti, S. Tuluca and A.K. Reichert). An empirical analysis of gap management and net interest margin for the U.S. commercial banks (Van Son Lai, M. Kabir Hassan). The interdependency of firms' financing choices and investment decisions: some Canadian evidence (B.B. Francis).

巻冊次

v. 17 ISBN 9780762305650

内容説明

This is the 17th volume in a series examining research in finance.

目次

List of contributors. Dividend smoothing and stock valuation: an appraisal of variance bounds tests (Yoon Dokko). Divided omissions and forecasts of future earnings: some positive evidence on information content of dividends (M. Bajaj). An empirical analysis of the effects of the FDICIA of 1991 on commercial banks (A.H. Chen, M. Millon Cornett and S.C. Mazumdar and H. Tehranian). Information content in bank lines of credit: evidence from the lender's perspective (R.P. DeGennaro, F.A. Elayan and J.W. Wansley). Regime-switching events studies: an application to commercial bank stock re-purchases (S. Kane, R. Susmel). An accurate analysis of vulnerable loan guarantees (Van Son Lai, Min-TehYu). Deposit insurance, stochastic interest rates, and the regulation of depository institutions (K.T. Au, S.A. Dennis and D.C. Thurston). Self tender offers: free cash flow or signalling? (Sangphil Kim, Meng Rui). An analysis of the product-liability costs borne by prescription drug manufacturers (D.C. Malone, K.L. Rascati and J.D. Martin). The investment management of promotion expenditures (J.B. White, M.P. Miles and W.B. Levernier). Accounting earnings and firm evaluation: the implication of overinvestment (A.I. Duru, R.J. Lyengar). The effect of dual trading on market depth in the S&P 500 futures contract (Hun Y. Park, A. Sarkar). Volume inelasticity in physical commodity markets (M. Dalvi, R. Goon and V. Massaro). The nonexistence of efficient portfolios and its implication for testing the capital asset pricing model (Chang Mo Ahn, J.D. Stanley). The effects of financial liberalization on allocative efficiency: some evidence from Taiwan (Soushan Wu, Sherry Lin, and T.C. Tseng). The impact off-balance sheet derivatives and interest rate swaps on bank risk (M.K. Chaudhry, A.K. Reichert).

巻冊次

v. 18 ISBN 9780762307173

内容説明

This volume consists of original research articles examining timely issues in financial services, asset pricing, and hedging. The articles in the first part of the volume deal with methods for assessing the safety and soundness of banks, rationales for and economic consequences of bank mergers, valuation effects of lender environmental liability, option-theoretic explanations of the closed-end mutual fund discount, and contingent-claims analysis of price-matching refunds. Articles in the second part of the volume study consumption smoothing and the equity premium puzzle, the yield spread of tax-deductible preferred stock, fitting a jump-diffusion model of currency futures options, duration effects on hedge ratios of currency futures, and dynamics between foreign exchange and stock markets in Southeast Asian economies.

目次

List of contributors. Improved methods of treating critical issues in regulating and supervising bank safety and soundness (P.A.V.B. Swamy, T.J. Lutton and P.F. Bartholomew). Economic consequences of financial services industry consolidation (P.A.V.B. Swamy, T.J. Lutton). Secured debt and lender environmental liability (P.A. McGraw, G.S. Roberts). A contingent-claim analysis of the closed-end mutual fund discount puzzle (A.H. Chen, L.J. Merville and C. Won). The "cost" of offering price-matching refund policies: a contingent-claims perspective (S.C. Mazumdar, J. Srivastava). The effect of time complementary on consumption smoothing and the equity premium (C.M. Ahn, I. Joon Kim). A comparison of taxable and tax-deductible preferred yields (A. Murphy). Information inherent in implicit distributions (A. Doffou, J.E. Hillard). Hedging currency risk using futures (V. Bhargava, R. Brooks). Long-run and short-run dynamics between foreign exchange and stock markets: evidence from Thailand and The Philippines (M. Rahman, M. Rahman and M. Mustafa).

巻冊次

v. 19 ISBN 9780762309658

内容説明

Since its first appearance in 1979, "Research in Finance" has been publishing papers that cover important and interesting issues in finance and economics. The topics found in the series span a wide range; previous volumes have included papers on corporate financial management policy, asset pricing and investment management, corporate control and governance, bank regulations and management, and the analysis of financial derivatives and their applications in risk management and in venture capital investment. These papers, among others, have made significant contributions to the literature. In this volume, Bajaj, Vijh and Westerfield present evidence showing that ownership structure affects a firm's agency costs of cash flow, which, in turn, influences the market's reaction to changes in the firm's dividend policy. McNabb and Martin examine the relationship between managerial entrenchment and the effectiveness of internal governance mechanisms and the firm performances. In their paper, Kang, Karim and Rutledge apply a relative excess value ratio approach to empirically examine the association between the CEO compensations and the firms' performances. And Almisher, Buell and Kish, using accounting beta as a proxy for ex ante systematic risk of a firm, find a strong positive relationship between the firm's systematic risk and the subsequent degree of underpricing of its IPO. Also in this volume, Kwan and Wilcox show the disparity between accounting and actual cost reductions in bank mergers, and point out the importance of avoiding the accounting bias in reporting the cost reduction in bank mergers. Gunther and Siems empirically find that a desire to hedge balance sheet positions and having a strong capital position are the key motivations for banks' involvement in derivatives activities. Shyu and Reichert examine the key financial and regulatory factors that determine the derivatives activities of both U.S. and foreign banks. In their paper, Yin, Wu and Chen explore the joint effects of the changes in capital regulation and deposit insurance system on banks' returns and risks in Taiwan. Based upon the one-factor equilibrium term structure model of Cox-Ingersoll-Ross, Chen and Chaudhury examine the market values and dynamic interest rate risks of existing swap positions. Chang and Ho derive formula of duration for different bonds under the Heath-Jarrow-Morton model of term structure and compare the relative performances of dynamic and static immunization strategies. In their paper, Boyle, Byoun and Park use intraday transactions data to show that the S&P 500 index option market leads the cash index, and that the lead-lag relation has resulted in a significant bias of the implied volatility that confirms their theoretical conjecture. Finally, Bubna uses a moral hazard model to address issues in the formation of syndicates in venture capital industry and to present some useful policy implications. May the contributions within this volume be of significant interest and usefulness to its readers. And may "Research in Finance" continue to publish papers of the highest caliber, to the benefit of academics and practitioners alike.

目次

Contents Ownership Structure, Agency Costs and Dividend Policy (M. Bajaj et al.). Managerial Entrenchment and the Effectiveness of Internal Governance Mechanisms (M.M. McNabb, J.D. Martin). An Empirical Analysis of the Association Between CEO Compensation and Firm Performance: A Relative Excess Value Ratio Approach J.Kang et al.). The Relationship Between Systematic Risk and Underpricing of the IPO mMrket M.A. Almisher et al.). Hidden Cost Reductions in Bank Mergers: Accounting for More Productive Banks (S.H. Kwan, J.A. Wilcox). The Likelihood and Extent of Banks' Involvement with Interest Rate Derivatives as End Users (J.W. Gunther, T.F. Siems). The Determinants of Derivative Use by U.S. and Foreign Banks (Y.-W. Shyu, A. Reichert). The Impact of Regulatory Changes on Banks' Risks and Returns in Taiwan H.-Y. Yin et al.). The Market Value and Dynamic Interest Rate Risk of Swaps (A.H. Chen, M.M. Chaudhury). The Analysis of Duration and Immunization Strategy Under the HJM Term Structure Framework (C-.C. Chang, J-.C. Ho). The Lead-lag Relation Between Spot and Option Markets and Implied Volatility in Option Prices (P.P. Boyle et al.). Syndication Among Venture Capitalists - When and With Whom (A. Bubna).

巻冊次

v. 20 ISBN 9780762310739

内容説明

Eleven papers in this volume present some current interesting and important research in finance. Based upon the CAPM, Chen and Kane show that double taxation and differential tax rates on a personal and capital-gains income, affect corporate stock values and financial policies in nonneutral ways. Sengupta shows tax evasion decisions of a monopolist in a price-ceiling regulatory environment. In their paper, Osterberg and Thomson empirically examine the impact of state-level deposit preference laws on resolution type and costs for all operating FDIC-BIF insured commercial banks that were closed, or required FDIC financial assistance, from January 1986 through December 1992. Peek and Wilcox show that during periods of international financial crises, or of domestic economic stress, the government-sponsored enterprises (GSEs) are well suited to stabilize mortgage markets. In their paper, Chen, Robinson and Siems empirically show the association between banks' subordinated debt and their loan sales activities and its implications in the transmission mechanism of monetary policy. Also in this volume, Lin et al. use the Granger causality test to examine the linkage between the euro exchange rate and the money supply and GDP in the euro community, as well as its impact on the UK exchange rate and the London stock exchange market index. In their paper, Kane and Muzere extend the Diamond-Dybvig model of bank runs to an open market economy and show that adding the central banks and the IMF, guarantees will reduce, but not eliminate the banking as well as currency crises. The paper by Chung et al. empirically shows the presence of a long memory, property in currency, future markets, and discusses its hedging implications. In their paper, Lee, Lee and Yu develop a valuation model for the pension benefit guarantees that incorporates the plan termination conditions as well as a stochastic interest rate. In a case study, Hung et al. empirically show that the specially designed dividends (SDD) have positive signals in the Taiwan Stock Exchange. Finally, in their paper, Guerard and Mark show that the use of an R&D quadratic term enhances the mean-variance efficient portfolios and stockholder returns.

目次

List of contributors. Introduction. Impact of differential and double taxation on corporate financial policies in an inflationary world (A.H. Chen, E.J. Kane). Price ceiling regulation of a tax evading monopolist (P. Sengupta). Deposit preference legislation and failed banks' resolution costs (W.P. Osterberg, J.B. Thomson). Secondary mortgage markets, GSEs and the changing cyclicality of mortgage flows (J. Peek, J.A. Wilcox). Increasing market discipline on banks: subordinated debt and bank loan sales (A.H. Chen, K.J. Robinson, T.F. Siems). Using zero-non-zero patterned vector autoregressive modelling to test for causality between money supply, GDP growth, the London stock market index and the euro exchange rate (E.J.Y. Lin, et al.). Fragile fixed exchange rates with banking safety net guarantees (S.A. Kane, M.L. Muzere). Long memory in currency futures volatility (C.-F. Chung, M-W. Hung, Y-H. Liu). Valuation of pension benefit guarantees and termination conditions (J.-P. Lee, S.-C. Lee, M.-T. Yu). Stock dividend announcement and information signaling theory: The case of Taiwan (K. Hung, C.-W. Duan, G.I. Nwanna). The optimization of efficient portfolios: The case for an R&D quatratic term (J.B. Guerard, A. Mark).

巻冊次

v. 21 ISBN 9780762311613

内容説明

A total of eleven papers in this volume represent recent research on important topics in finance. The contributions include analyses of issues relating to asset prices, the behaviour of stock returns, and capital-raising activities. Hodges, et al employ stochastic dominance arguments to show that the efficiency of time diversification depends on the degree of autocorrelation in security returns. In their study of the announcement effects of ninety-three minority equity investments, Chan, et. al find a neutral stock price response on average for acquiring firms but a significantly positive response for selling firms. Nguyen, et al provide evidence on the returns structure of U.S. information technology stocks surrounding the bursting of the internet bubble in early 2000. In a study of the informational effects of auditor reputation, Godby and Mahar, Jr. find that implied volatilities for firms audited by Andersen have increased relative to those for firms audited by other Big Five firms. Charaput and Chang find that the usage of installment receipts enhances liquidity in Canadian secondary equity offerings. The contributions to this volume also examine important issues in international finance and financial institutions. Brailsford, et al use a VECM technique to examine Purchasing Power Parity and causality between the yen and the dollar. Sarmas studies the impact of Hong Kong's fixed exchange rate system and Singapore's floating exchange rate system on the correlation between the US and the two respective countries' stock markets. Povel develops a theoretical model to explain multiple banking as a commitment device. Baer, et al develop a model and empirically examine how the creation of a futures clearinghouse can reduce the need for margin in bilateral and multilateral settings. Roberts and Siddiqi provide an empirical analysis of the link between collateralization and the number of lenders in private debt contracts. Finally, Tripp et al empirically examine the relative efficiency of single versus multiple common bond credit unions.

目次

List of Contributors. Introduction. Time diversification and stochastic dominance (C.W. Hodges, H. Levy, J.A. Yoder). Minority equity investments and inter-firm collaborations (S.H. Chan, J.W. Kensinger, A.J. Keown, J.D. Martin). Size and book-to market effects in the returns on information technology stocks (Q.-N. Nguyen, T.A. Fetherston, J.A. Batten). Implied volatilities and auditor reputation: The Andersen case (J. M. Godbey, J.W. Mahar Jr.). Secondary equity offerings: The case of installments receipts (N. Charupat, C.S. Cheung). A new approach to testing PPP: Evidence from the Yen (T.J. Brailsford, J.H.W. Penm, R.D. Terrell). Correlation among stock markets under different exchange rate systems (P. Sarmas). Multiple banking as a commitment not to rescue (P. Povel). Opportunity cost and prudentiality: An analysis of collateral decisions in bilateral and multilateral settings (H.L. Baer, V.G. France, J.T. Moser). Collateralization and the number of lenders in private debt contracts: An empirical analysis (G.S. Roberts, N.A. Siddiqi). An examination of the efficiency of single versus multiple common bond credit unions (J.D. Tripp, P.M. Kenny, D.T. Johnson).

巻冊次

v. 22 ISBN 9780762312771

内容説明

This volume contains contributions on important topics in current finance research. Topics include the impact of recent reform in corporate governance, the stock price reactions to the joint venture announcements, the temperature, and the financial signals, the pricing of SPARQs, the incentive effects in project finance with government financial guarantees, the option pricing models with price limits and market liquidity, the benefits of financial competition and regulation, the banking theories on the required reserves and the impact of mid-loan bank lending, and the new tests PPP and the cointegration test of foreign exchange rates with regime shifts.

目次

1. Corporate Ownership Isnt Always the Best Policy (J.W. Kensinger, S. L. Poe). 2. The Information Content Of Corporate Investment Announcements: The Case Of Joint Ventures. (A. J. Keown, P. Laux, J. D. Martin). 3. An Expanded Study On The Stock Market Temperature Anomaly. (M. Cao, J.Wei). 4. Value and Growth Investing In Asian Stock Markets 1991-2002. (J. Kang, D.Ding). 5. An Analysis Of Stock Participation Accreting Redemption Quarterly-Pay Securities (K.C. Chen, F. Widyasari Dewi, L. Zhu). 6. Investment Incentives In Project Finance In The Presence Of Partial Loan guarantees. (V. Son Lai, I. Soumare). 7. Pricing Options with Price Limits and Market Illiquidity. (C.-C. Chang, Huimin Chung, T.-I. Wang). 8. The Increasing Integration and Competition of Financial Institutions and Of Financial Regulations. (J. A. Wilcox). 9. A Model of Liquidity and Bank Reserves. (S. A. Kane, Mark L. Muzere). 10. An Investigation of the Mid-Loan Relationship between Bank Lenders And Borrowers. (A. A. Gottesman, G. S. Roberts). 11. Zero-Non-Zero Patterned Vector Error Correction Modelling For I(2) Cointegrated Time Series With Applications In Testing Ppp And Stock Market Relationships. (T.J. Brailsford, J.H.W. Penm, R.D. Terrell). 12. Exchange Rate Cointegration across Central Bank Regime Shifts. (J. A. Lopez).

巻冊次

v. 23 ISBN 9780762313457

内容説明

This volume contains contributions on a range of important issues in current financial research. Topics included are - the performance of fixed income mutual funds in different economic states, the determinants of long-term excess performance of the ADRs on the NYSE, the models for forecasting the Euro/US Dollar exchange rates and the U.S. mutual funds movements, the fragmentation in day and night markets, the market reactions of the U.S.-listed foreign banks to the passage of the GLB Act of 1999, the upper bounds for American options, the spread-based models for the valuation of credit derivatives, the empirical evidence on the evolution of corporate borrowers, the determinants of private debt source, and the underlying causes and resolution policies for the systematic banking crises. This is a valuable addition to the research of finance. It contains contributions from key figures the world of finance; and offers broad coverage.

目次

FIXED INCOME FUND PERFORMANCE ACROSS ECONOMIC STATES DETERMINANTS OF THE LONG TERM EXCESS PERFORMANCE OF AMERICAN DEPOSITORY RECEIPTS LISTED ON THE NEW YORK STOCK EXCHANGE KERNEL BANDWIDTH APPLICATIONS TO THE EURO AND THE U.S. MUTUAL FUND MOVEMENTS COMPETITION IN IPO UNDERWRITING: TIME SERIES EVIDENCE FRAGMENTATION OF DAY VERSUS NIGHT MARKETS THE SHARE PRICE AND TRADING VOLUME REACTIONS OF U.S.-LISTED FOREIGN BANKS TO THE FINANCIAL SERVICES MODERNIZATION ACT OF 1999 UPPER BOUNDS FOR AMERICAN OPTIONS A SPREAD-BASED MODEL FOR THE VALUATION OF CREDIT DERIVATUIVES WITH CORRELATED DEFAULTS AND COUNTER-PARTY RISKS THE EVOLUTION OF CORPORATE BORROWERS: PRIME VERSUS LIBOR THE DETERMINANTS OF PRIVATE DEBT SOURCE SYSTEMIC BANKING CRISES

巻冊次

v. 24 ISBN 9780762313778

内容説明

This volume contains contributions on a range of important issues in current research in finance and economics. Topics include the IPO underwriting spreads, the moral hazard problems in bank regulation as well as in the cost of deposit insurance, the loan yield spreads, and the aggregate bank performance at the state-level. The topics in global investments such as diversification benefits, overreaction and seasonality among international stock markets are also included in this volume. The contributions to this volume also address the appropriate asset allocation of hedge funds, the effects of partial hedging in incentive stocks and options, the relation between board size and firm performance, the impact of higher oil prices on stock market returns, and the futures hedging effectiveness with alternative settlement specifications in the contracts. This volume contains articles contributed by leading experts in finance and economics. It includes articles on the hot topics of oil-prices and hedge-funds.

目次

Competition in IPO underwriting: Time series evidence. Can delegating bank regulation to market forces really work?. Internal model-based capital standard and the cost of deposit insurance. Lead lenders and loan pricing. Regional economic conditions and aggregate bank performance. Who benefits more from global diversification? An over-time perspective. Overreaction and seasonality in Asian stock indices: Evidence from Korea, Hong Kong and Japan. A mean-Gini approach to asset allocation involving hedge funds. Incentive stocks and options with trading restrictions: not as restricted as we thought. Board size and firm performance in the property-liability insurance industry. The role of higher oil prices: A case of major developed countries. The futures hedging effectiveness with liquidity risk under alternative settlement specifications. Introduction. List of Contributors. Edited by. Copyright page.

巻冊次

v. 10 ISBN 9781559384247

内容説明

Part of a series which offers an insight into research into finance, this volume covers a range of topics including: the disciplinary role of debt in a hierarchical organization; the optimality of equity issue strategies; and inflation, financial structure and the Q-theory of investment.

目次

• The disciplinary role of debt in a hierarchical organization, Gerald Garvey and Pete L. Swan
• rights versus underwriting - optimality of equity issue strategies, Sankar De and Prafulla Nabar
• overreaction, rational expectations, and the relationship between security prices and trading volume, Frank J. Fabozzi et al
• specification of the term structure of interest rates - a dimensional approach to nonlinear asset pricing models, Tim C. Opler
• inflation, financial structures and the Q-theory of investment - an empirical analysis of short-run and long-run causal relations, William P. Osterberg
• assessing corporate restructuring - an empirical investigation of acquisition into asset arbitrage, Christopher Coyne et al
• composite forecasting of annual corporate earnings, John B. Guerard, Jr. and Bernell K. Stone
• fiscal policy with sector differences in unemployment regimes and fix-flex prices, Sumon C. Mazumdar and Bhaswar Moitra
• on the use of the statistical market-value accounting model (SMVAM) in thrifts, Asll Demirgruc-Kunt and James B. Thomson
• systematic patterns in treasury bill returns and spreads, Ramon P. DeGenarro and Alahassane Diallo.

巻冊次

v. 13 ISBN 9781559385787

内容説明

This is the 13th volume in a series on research in finance. This volume covers such topics as liquidity and market microstructure, predictability and time-varying risk in world equity markets and the structure of price discounts on private equity placements.

目次

• Liquidity and market microstructure - an empirical comparison of the specialist system versus multiple market makers, Marc R. Reinganum
• predictability and time-varying risk in world equity markets, Wayne E. Ferson and Campbell R. Harvey
• further results on the small sample properties of the generalised method of moments - tests of latent variable models, Wayne E. Ferson and Stephen R. Foerster
• on the mean standard deviation frontier of stochastic discount factor in the presence of regime shifts, Mao-Wei Hung
• fixed-price offering, underwriters' discriminatory allocation and IPO underpricing, Joseph C. Kang
• the structure of price dis-counts on private equity placements, Myron J. Gordon and Ashwani K. Srivastave
• the wealth effects of liquidity gains from option listings, Michael D. Schinski and D. Michael Long
• the asset flexibility option and the value of deposit insurance, Peter Ritchken, James B. Thomson, Ramon P. De-Gennaro, and Anlong Li
• debt structure, insider ownership, and dividend policy - a test of the substitutability hypo-thesis in an agency framework, Chenchuramaiah T. Bathala, Oswald D. Bowlin, and Ramesh P. Rao
• an interactive multi-objective programming approach to the capital expenditure planning, V. M. Jog, W. Michalowski and T. Trzaskalik
• some further examination of the event study method of analysis, George M. Frankfurter and Helmut Schneider.

巻冊次

v. 12 ISBN 9781559387811

内容説明

This is the twelfth volume in a series on research in finance. This volume covers such topics as multiple signalling models of corporate financial policy, debt maturity and taxes, and bondholder reactions to increases in leverage.

目次

• A multiple signalling model of corporate financial policy, S. Viswanathan
• debt maturity and taxes, Jose Correia Guedes
• bondholder reaction to increases in leverage, John David Simpson
• stock market volatility after the crash, Haim Levy and James Yoder
• on implied stock prices and observed stock prices, Ralph William Sanders Jr and Barry Schachter
• end-of-day security price movements and the conception of trading at the close, Thomas F. Gosnell
• the regulatory safety net and bank moral hazard behaviour - a contingent-claims analysis, Andrew H. Chen and Sumon C. Mazumdar
• on the valuation of private loan guarantee - wealth effects and government insurance protection, Van Son Lai
• delegated takeover resistance - the optimal auction design approach, S. Nagarajan
• valuation of forward exchange contracts in continuous-time derivative asset framework, Jongmoo Jay Choi and Shmuel Hauser
• an examination of survival rates of newly listed firms in Australia, Li-Anne E. Woo et al.

巻冊次

v. 25 ISBN 9781848554467

内容説明

This volume contains contributions on a range of important issues in current research in finance and economics. Topics include the design of a country's financial safety nets, the effective policies of acquiring failed banks in reducing moral hazard problems, the voluntary disclosure of real options by corporate managers, and the interrelationship between the housing and general economic activities. Some important topics such as the choice between stock and options as compensation vehicles in the presence of bankruptcy risk, the NUA tax benefits in asset allocation in the retirement accounts, the heuristic approach of using ri/stdi to select securities in forming efficient portfolio, and the arbitrage opportunity in index options at the initial stage are also included in this volume. Finally, the contributions to this volume also address some problems that include the explanations of risk premiums on futures contracts, the optimal hedging decision in futures markets, and the pricing of Asian options subject to credit risk.

目次

List of Contributors. Introduction. Financial safety nets: Why Do They keep expanding?. A positive analysis of bank failure resolution policies. Bank failure resolution policies and subordinated debt. Voluntary disclosure of real options: When and how it can be done. Non-linear modelling of the relationship between price movements in the OECD housing markets and significant economic activities. Stock or options? An economical justification for using stocks as a compensation tool. The NUA benefit and optimal investment in company stock in 401(k) accounts. Identifying securities to buy: The heuristic ri. Arbitrage opportunities and efficiency of an option market at its initial stage: The case of KOSPI 200 options in Korea. Hedging pressure and delivery risk explanations of futures risk premia. Timing the value-at-risk hedge. The pricing of Asian options with default risk. Research in Finance. Research in Finance. Copyright page.

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詳細情報

• NII書誌ID(NCID): BA06618327
• ISBN:
  • 0892320435
  • 089232130X
  • 0892322187
  • 0892322799
  • 0892325879
  • 0892326506
  • 0892327960
  • 0892329696
  • 1559383399
  • 1559384247
  • 1559386517
  • 1559387815
  • 1559385782
  • 0762301201
  • 0762302593
  • 076230328X
  • 0762305657
  • 9780762307173
  • 9780762309658
  • 0762310731
  • 0762311614
  • 9780762312771
  • 9780762313457
  • 9780762313778
  • 9781848554467
  • 0762301384
• 出版国コード: us
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Greenwich, Conn.
• ページ数/冊数: v.
• 大きさ: 24 cm
• 分類:
  • NDC7 : 340