| Edition |
1st ed. |
| Description |
1 online resource (1 volume). |
| Physical Medium |
polychrome |
| Description |
text file |
| Series |
Research in finance,
0196-3821
|
|
Research in finance,.
0196-3821
|
| Bibliography |
Includes bibliographical references. |
| Contents |
Cover -- Copyright page -- Contents -- List of Contributors -- Introduction -- Chapter 1. Fixed Income Fund Performance across Economic States -- 1. Introduction -- 2. Empirical Methods -- 3. Stochastic Discount Factor Models -- 4. The Data -- 5. Estimating the Stochastic Discount Factor Models on Passive Benchmarks -- 6. Fixed Income Fund Performance in Relation to Characteristics -- 7. Fund Performance in Relation to Style -- 8. Concluding Remarks -- Notes -- Acknowledgments -- References -- Appendix: Invariance of Performance Measures to the Number of Funds -- Chapter 2. Determinants of the Long Term Excess Performance of American Depository Receipts Listed on the New York Stock Exchange -- 1. Introduction -- 2. Literature Review -- 3. Data and Methods -- 4. Results and Implications -- 5. Summary -- References -- Chapter 3. Kernel Bandwidth Applications to the Euro and the U.S. Mutual Fund Movements -- 1. Introduction -- 2. The use of the Forgetting Factor in Financial Time-Series Modelling -- 3. Understanding the Forgetting Factor via Kernel Regression -- 4. Prediction of the Euro's Exchange Rate -- 5. Summary -- Notes -- References -- Chapter 4. Fragmentation of Day Versus Night Markets -- 1. Electronic Communications Networks and the Routing of Orders -- 2. Data and Research Design -- 3. Results -- 4. Summary -- Notes -- References -- Chapter 5. The Share Price and Trading Volume Reactions of U.S.-Listed Foreign Banks to the Financial Services Modernization act of 1999. 1. Introduction -- 2. Overview of the GLB. 3. Theory and Literature Review -- 4. Hypotheses Development -- 5. Sample and Methods -- 6. Empirical Results -- 7. Conclusion -- Notes -- References -- Appendix -- Chapter 6. Upper Bounds for American Options -- 1. Introduction -- 2. The Fundamental Upper Bound Requirements -- 3. New Generalized Claims as Upper Bounds -- 4. Implications of Upper Bounds -- 5. A Quasi-Bound -- 6. Sample S & P 100 Option Quotes -- 7. Summary and Conclusions -- Notes -- Acknowledgment -- References -- Chapter 7. A Spread-Based Model for the Valuation of Credit Derivatives with Correlated. |
|
Defaults and Counter-Party Risks -- 1. Introduction -- 2. Literature Review -- 3. The Model -- 4. Numerical Results -- 5. Conclusions -- Notes -- Acknowledgment -- References -- Chapter 8. The Evolution of Corporate Borrowers: Prime Versus LIBOR. 1. Introduction -- 2. Theory -- 3. Previous Research -- 4. Database Description -- Theoretical Considerations / 5. The Choice to Borrow at Prime -- 6. Regression Analysis Descriptive Statistics -- The Choice of Prime Versus LIBOR. 8. Multivariate Regression Analysis: Factors Influencing Spreads / 7. Logistic Regression Analysis -- 9. Conclusions -- Notes -- Acknowledgment -- References -- Chapter 9. The Determinants of Private Debt Source -- 1. Introduction -- 2. Literature Review -- 3. Hypotheses -- 4. Model -- 5. Data -- 6. Model Estimation -- 7. Analysis -- 8. Impact on Shareholder Wealth -- 9. Robustness Checks --T. |
| Summary |
A total of 12 papers in this volume represent some current research on important topics in finance. The contributions include analyses of issues relating to the recent reforms on corporate governance, the behaviour of stock returns, the option pricing models, the financial regulation and banking theory, and the international finance. |
| Local Note |
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America |
| Subject |
Finance.
|
|
Finance. |
| Genre/Form |
Electronic books.
|
| Added Author |
Chen, Andrew H.
|
| Other Form: |
Print version: Research in finance. Vol. 23. 1st ed. Amsterdam ; Oxford : Elsevier JAI, 2007 0762313455 9780762313457 (OCoLC)72869010 |
| ISBN |
9780080467481 (electronic book) |
|
0080467482 (electronic book) |
|
9780762313457 |
|
0762313455 |
|
