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v. 7, 1997 ISBN 9780762301249
内容説明
This seventh volume in the series covers a variety of topics in financial planning and forecasting.
目次
E/P ratio anomaly and time-variation in expected stock returns: Finnish evidence (J.-P. Kallunki). Valuing investments that reduce time-to-market in the semiconductor industry (Wenyih Lee et al.). Economic determinants of ROE adjustments in the electric utility industry (E.T. Nwaeze). Quantitative laws of the accounting deviations caused by inflation (G.E. Gamot). An empirical examination of calls of convertible bonds when they are out of the money (H.S. Bhabra et al.). An intelligent stock selection system based on the expert system and rule induction technologies (T. Seng-cho Chou et al.).A three-factor path-independent specification of the Heath, Jarrow, and Morton term structure model (Chen Guo). Debt and inventory accounting choices: tests of the cash-flow signaling and tax-shield substitution theories (P. Hughes, R. Trezevant). On the pitfall of using intuitive judgment in audit scheduling (Shui F. Lam et al.). Improved transfer pricing based on shadow prices: segmental information (Kang-Hong Han).
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v. 8, 1998 ISBN 9780762303335
内容説明
This eighth volume in the series covers a variety of topics in financial planning and forecasting, including: the change in earnings response coefficient around dividend omissions; estimating spin-off values; and, forbearance, deposit insurance, and the market value of savings and loan associations.
目次
List of contributors. The change in earnings response coefficient around dividend omissions (K.C. Chan). An examination of proxies of information asymmetry (R.J. Best et al.). An empirical test of a stochastic cash flow theory of evaluating credit (J.Callaghan, A. Murphy). Measuring risk-based premium and capital requirement for insurers (Chuang-Chang Chang et al.). Classification procedures and prediction of failure/distress (H. Espahbodi et al.). Normed distribution-free testing for identically distributed residuals (S. Kane). Estimating spin-off values: a new approach (A. Cy Heidari, J.K. Zumwalt). Re-examinations on corporate issues of currency warrants: a case study of financial innovation profits (Chuang-Chang Chang). The relation of analysts' forecast dispersion with business risk, financial risk, and information availability (M. Parkash, W.K. Salatka). Forebearance, deposit insurance, and the market value of savings and loan associations (J.C. So, J.Z. Wei).
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v. 9, 2000 ISBN 9780762306343
内容説明
Part of a series which focuses on advances in futures and options research, this volume discusses a variety of topics in the field.
目次
Production, self-organized criticality, and stock prices: further evidence against random walk (A. Chandra, S. Agrawal and K. Wiesenfeld). Mathematical programming and portfolio optimizations: a clarification (M.J. Tarrazo). The importance of reliability in realizing returns (S. Ng, Y-K Ng). Deregulation and the market valuation of earnings and assets for electric utilities (E.T. Nwaeze). A flotation-cost adjusted capital asset pricing model (J.L. Heck, S.J. Cochran). Association between accounting and market-based variables: a canonical correlation approach with U.S. data (T. Salmi et al.). Financial distress and firm value (R.B. Whitaker). The "green shoe" and other factors impacting the issuance of IPOs (R.J. Kish, K.M. Hogan and G.T. Olson). Empirical dynamic stochastic models for firm dividends (E.P. Kao, P. Kumar). The dynamic classification of financial ratios: evidence from Europe of a simplified factor structure (J.L. Gallizo, P. Gargallo and M. Salvador). Forward exchange market efficiency revisited: robust cointegration testing and dynamic rationality (R. Varadan et al.). Short and long run tests of the Fisher hypothesis (K. Shrestha, S.S Chen). An alternative explanation of the market reaction to dividend changes (H. Manakyan, K. Liano and G.C. Huang).
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v. 10, 2001 ISBN 9780762308262
内容説明
In this issue, there are thirteen high-quality and interesting papers to deal with the issue of Financial Analysis, Planning and Forecasting. Out of these thirteen papers, we can classify them into two major groups i.e. Risk Analysis and Financial Evaluation Models. The Risk Analysis group includes five papers as follows: time-varying accounting betas and risk estimation for thinly traded stocks: Finnish evidence; additional evidence on managerial ownership and risk taking behavior in banking industry; a DSS approach to managing the risks of online trading; estimating exchange rate exposure of U.S. MNC's operating in South America; analyzing the risks inherent in the Proctor and Gamble-Bankers trust levered swap contract. The financial evaluation models group consists of seven papers as follows: contextual accrual and cash flow based valuation models: impact of multinationality and corporate reputation; predicting changes in cash flow; valuing repurchasing corporations with the discounted dividend model: theory and application; the role of taxes in the composition of the firm's retirement plans; the valuation of the multinationality of U.S. multinational firms; cross-classification models: comparative empirical findings; and an extension of break-even analysis for financial planning. In addition to these two groups, there is a paper using survey approach to banking operations entitled 'Organizational Features, Operating Procedures, and Overdue Loans': empirical findings from a Commercial Bank's opinion survey in Taiwan. In summary, this issue is useful for readers who are interested in risk analysis and alternative financial evaluation models.
目次
Time-Varying Accounting Betas and Risk Estimation for Thinly Traded Stocks: Finnish Evidence (J. Juntila, J.P. Kallunki and T. Martikainen. Contextual Accrual and Cash Flow Based Valuation MOdels: Impact of Multi nationality and Corporate Reputation (A.R.Belkaoui). Valuing Repurchasing Corporations with the Discounted Dividend Model: Theory and Application (Douglas J. Lamdin). The Role of Taxes in the Composition of the Firm's Retirement Plans (H.A. Mazes). Predicting Changes in Cash Flow (H and P. Espahbodi, R. Espahbodi and E. Mansfield). Additional Evidence on Managerial Ownership and Risk Taking Behavior in Banking Industry (S.W. Lee). A DDS Approach to Managing the Risks of Online Trading (C.T. Hsieh, B. Lin, L. Cheng-Few). Estimating Exchange Rate Exposure of U.S. MNCs Operating in South America (A.D. Martin and P.M. Poli). Organizational Features, Operating Procedures and Overdue Loans: Empirical Findings from a Commercial Bank's Opinion Survey in Taiwan (N.N.H. Liao and G. Yen). The Valuation of the Multi nationality of U.S. Multinational Firms (A.R.Belkaoui). Cross-Classification Models: Comparative Empirical Findings (A. G. Maggina). Financial Analysis, Planning and Forecasting for Anheuser-Busch Companies (J. Rich).
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v. 11, 2003 ISBN 9780762310166
内容説明
There are ten papers in this volume. They are: An Empirical Examination of The Intraday Return Volatility Process - this paper presents a comprehensive analysis of the distributional and time-series properties of intraday returns. The purpose is to determine whether a GARCH model that allows for time variance in a process can adequately represent intraday return volatility. The Valuation of New Product Introduction Under Uncertain Competition: A Real Option Approach - this paper investigates how a stochastic competition process in a two-factor real option model could affect the value of future product development opportunities. Our results also indicate that product development opportunities are more valuable: in a more volatile environment; when the window of opportunities is longer; and when the competitive intensity is lower. Earnings, Dividends, and Equity Value of Multinational Firms - this paper develops and tests a valuation model, whose main prediction is that equity value is a function of earnings, dividends and book value, where the function depends on the relative level of multinationality. Benford's Law and Its Application in Financial Fraud Detection - this paper has discussed Benford's law, which explains that the leading (first or leftmost) digit in a series of natural numbers is not evenly distributed among the digits 1 to 9. The main purpose of this study actually seeks to explore a new methodological approach to datamining that can be of some real practical value; especially to the auditors and forensic accountants in detecting financial frauds. Estimation of the Degree of Integration in the U.S. Maturity Rates Using Semiparametric Techniques - this paper examines the order of integration of several U.S. Treasury maturity rates by means of using semiparametric techniques. The results show that the order of integration of the one and three year maturity rates is strictly above. It oscillates around one in case of the five-year rate, and the values are strictly below 1 (and thus showing mean reversion), for the seven and ten-year rates. On Country-Fund Price Behavior-An Empirical Analysis of Cointegrating Factors - this paper provides empirical evidence on the price behavior of closed-end country funds. Using the data from 47 closed-end single-country funds, we examine three Cointegrating factors to describe the long-run behavior of country-fund share prices. They are: the Net Asset Value (NAV), foreign stock-market indexes, and the U.S. stock market index. Strategic Capital Budgeting: the Abandonment Option with Political Risk - this paper investigates the strategic role of political risk and timing in the capital budgeting process that includes both investment and disinvestments. The model developed in the paper highlights the role of the probability of an investment ending political event in the capital budgeting process. Time Series Model Complexity and Firm Valuation: the Case of AR1 Firms Versus Non-AR1 Firms - this study examines the effect of the complexity of quarterly earnings generating time series models on firm valuation. The examination is limited to the comparison between AR1 firms and non-AR1 firms, and the evaluations are based on the levels approach. Results consistently show that the association between quarterly stock prices and quarterly earnings is higher for AR1 firms than that for non-AR1 firms. The effect of firm size is also investigated. Debt Covenant Violation and the Value Relevance of Accounting Information - this study documents that investors exercise their liquidation option on firms facing less severe financial distress than bankruptcy filings. This study finds that the valuation shift from earnings to book value of equity in the violation manifestation period is reversed in the post-violation recovery period. This suggests that the valuation distortion in the pre-violation period is temporary rather than permanent. What's Next: Merger in the Lebanese Banking Sector - this paper studies banking preference and behavior of Lebanese people. If small banks are to survive, the findings of the study reaffirm the importance of vertically merging banks in Lebanon. The reliance on digital technology is increasing every day. To deepen the problem, small Lebanese banks are finding themselves in a digital environment that affects their ability to compete in a fierce environment.
目次
An Empirical Examination of The Intraday Return Volatility Process (S. Rahman, K.P. Ang). The Valuation of New Product Introduction Under Uncertain Competition: A Real Option Approach (S.-S. Chen, et al.). Earnings, Dividends, and Equity Value of Multinational Firms (A. Riah-Belkaoui). Benford's Law and Its Application in Financial Fraud Detection (K. Kumar, S. Bhattacharya). Estimation of the Degree of Integration in the U.S. Maturity Rates Using Semiparametric Techniques (L. Gil-Alana). On Country-Fund Price Behavior-An Empirical Analysis of Cointegrating Factors (T. Chiang, D. Kim). Strategic Capital Budgeting: the Abandonment Option with Political Risk (E. Clark). Time Series Model Complexity and Firm Valuation: the Case of AR1 Firms Versus Non-AR1 Firms (B.-H. Bao, D.-H. Bao). Debt Covenant Violation and the Value Relevance of Accounting Information (W. Cready, et al.). What's Next: Merger in the Lebanese Banking Sector (A. Charbaji).
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v. 5, 1994 ISBN 9781559384216
内容説明
This fifth volume in the series covers such topics as common factors and intertemporal variability of mutual fund betas, speculative dynamics, and a cost-benefit rule for corporate pension enrichments.
目次
- Common factors and intertemporal variability of mutual fund betas, Larry J. Lockwood and L. Soundrarajan
- speculative dynamics - the case of mastershares, Samir K. Barura and Jayanth R. Varma
- a cost-benefit rule for corporate pension enrichments, Johad D. Nadir
- capital gain realization by investment funds and associated tax costs, Michael H. Morris and Kevin Scanlon
- a universal performance measure - an empirical investigation, Charyl J. Frolich
- rule 12B-1 - "a sen" gift to mutual fund managers, William P. Dukes and James B. Wilcox
- investment horizon and mutual fund performance - a theoretical analysis and empirical, Cheng-Few Lee and Jack Clark Francis
- review, integration and critique of mutual fund performance studies, Cheng-Few Lee and Shafiqur Rahman
- model specification, information asymmetry and anti-takeover defences, Beni Lauterbach et al
- the role of corporate pension assetse and liabilities in determining the market value of equity, V. Gopalakrishnan and Timothy F. Sugrue. (Part contents).
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v. 6, 1995 ISBN 9781559389761
内容説明
This sixth volume in the series covers a variety of topics in financial planning and forecasting.
目次
- The influence of anti-takeover charter provisions on capital structure decisions, W. Pugh et al
- the conventional method flotation cost adjustment in public utilities - shareholder and ratepayer approaches, W. Beranek, K. Howe
- estimating required new external funds and sustainable growth - simultaneous-equation approach, K. Shin
- the effects of capital structure on foreign acquisitions of U.S. of target firms, G. Ndubizu et al
- corporate interactional diversification and performance - a comprehensive analysis of risk and return, P. Siegel et al
- mergers in the U.S. - a case study in robust time series, J. Guerard, J. McDonald
- cash flow correlation, debt maturity choice and asymmetric information, G.Goswami et al
- the cost and value of slack, G. Tsetsekos
- a cubic programming acquisitions model for reciprocal service cost functions - an application of nonnegative matrix theory, C.W. Yang, D. Means
- inflation and net operating income - an integration and extension, C.-F. Lee et al
- an empirical examination on Taiwan's Bull and Bear Floaters Black versus Hull-White approach, D.-Y. Hwang
- economic conditions and dividend announcements - a new approach to signalling hypothesis, H. Manakyan et al.
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