Research in Finance

by Chen

• ISBN13: 9780762312771
• ISBN10: 0762312777
• Format: Hardcover
• Copyright: 2006-07-12
• Publisher: Elsevier Science & Technology

Summary

This volume contains contributions on a range of important issues in current financial research. Topics include 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.*A valuable addition to the research of finance*Contains contributions from key figures the world of finance*Offers broad coverage

Table of Contents

LIST OF CONTRIBUTORS	vii
INTRODUCTION
Andrew H. Chen	ix
CORPORATE OWNERSHIP IS NOT ALWAYS THE BEST POLICY
John W. Kensinger and Stephen L. Poe	1	(32)
THE INFORMATION CONTENT OF CORPORATE INVESTMENT ANNOUNCEMENTS: THE CASE OF JOINT VENTURES
Arthur J. Keown, Paul Laux and John D. Martin	33	(40)
AN EXPANDED STUDY ON THE STOCK MARKET TEMPERATURE ANOMALY
Melanie Cao and Jason Wei	73	(40)
VALUE AND GROWTH INVESTING IN ASIAN STOCK MARKETS 1991-2002
Joseph Kang and David Ding	113	(28)
AN ANALYSIS OF STOCK PARTICIPATION ACCRETING REDEMPTION QUARTERLY-PAY SECURITIES
K.C. Chen, Friderica Widyasari Dewi and Lijie Zhu	141	(20)
INVESTMENT INCENTIVES IN PROJECT FINANCE IN THE PRESENCE OF PARTIAL LOAN GUARANTEES
Van Son Lai and Issouf Soumaré	161	(26)
PRICING OPTIONS WITH PRICE LIMITS AND MARKET ILLIQUIDITY
Chuang-Chang Chang, Huimin Chung and Tin-I Wang	187	(28)
THE INCREASING INTEGRATION AND COMPETITION OF FINANCIAL INSTITUTIONS AND OF FINANCIAL REGULATION
James A. Wilcox	215	(24)
A MODEL OF LIQUIDITY AND BANK RESERVES
Stephen A. Kane and Mark L. Muzere	239	(34)
AN INVESTIGATION OF THE MID-LOAN RELATIONSHIP BETWEEN BANK LENDERS AND BORROWERS
Aron A. Gottesman and Gordon S. Roberts	273	(32)
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 and R.D. Terrell	305	(22)
EXCHANGE RATE COINTEGRATION ACROSS CENTRAL BANK REGIME SHIFTS
Jose A. Lopez	327