| Description |
1 online resource (x, 242 pages) |
| Series |
Advances in Pacific Basin Business, Economics and Finance ; volume 8 |
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Advances in Pacific Basin business, economics and finance ; v. 8
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| Contents |
Cover -- ADVANCES IN PACIFIC BASIN BUSINESS, ECONOMICS AND FINANCE -- Series Editors: Cheng Few Lee and Min-Teh Yu -- ADVANCES IN PACIFIC BASIN BUSINESS, ECONOMICS AND FINANCE -- Copyright -- EDITORIAL BOARD -- CONTENTS -- LIST OF CONTRIBUTORS -- Divergent Opinion, Trading Information, and Stock Price Co-movements -- Abstract -- 1 Introduction -- 2 Opinion Divergence and Price Co-movement -- 3 Variable Definition and Data -- 3.1 Measuring Stock Price Co-movement -- 3.2 Measuring Investor's Opinion Divergence -- 3.3 Data -- 4 Empirical Results -- 4.1 Results of Multivariate Regressions |
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4.2 Controls for Firm Characteristic and Governance Variables -- 4.3 Price Co-movements in the Bear and Bull Markets -- 4.4 Robustness Checks -- 5 Conclusion -- Acknowledgments -- References -- Assessing Asset Tail Risk with Artificial Intelligence: The Application of Artificial Neural Network -- Abstract -- 1 Introduction -- 2 Risk Properties and Assessments -- 2.1 Value at Risk -- 2.2 Expected Shortfall -- 2.3 Measurement Approaches -- 3 Artificial Neural Network Model -- 4 Data and Samples -- 4.1 Research Assets -- 4.2 Samples -- 5 Empirical Findings -- 5.1 Model Assessment |
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5.1.1 Forecasting Accuracy -- 5.1.2 VaR Backtesting -- 5.1.3 ES Backtesting -- 5.2 Model Specification -- 5.3 In-sample Performance -- 5.4 Out-of-sample Risk Forecast -- 6 Conclusions -- References -- Option Pricing with Markov Switching Stochastic Volatility Models -- Abstract -- 1 Introduction -- 2 Closed-form Option Pricing Formula -- 2.1 Model Setting -- 2.2 The Option Pricing Formula -- 2.2.1 The Moment Generating Function -- 2.2.2 Application to Markov Switching Volatility Models -- 3 An Empirical Example -- 4 Conclusion -- References |
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Further Evidence of Momentum in Corporate Bond Returns -- Abstract -- 1 Introduction -- 2 Data -- 3 Empirical Results -- 3.1 Momentum Effects over Different Return Horizons -- 3.2 Subperiod Analysis -- 3.3 Liquidity and Momentum -- 3.4 The Momentum Effect in the Cross Section of Corporate Bonds -- 4 Conclusions -- References -- The Causes and Consequences of Stock Pledging by Controlling Shareholders: The Case of Taiwan -- Abstract -- 1 Introduction -- 2 Determinants of Stock Pledging by Controlling Shareholders -- 2.1 Firm Attributes -- 2.1.1 Capital -- 2.1.2 Leverage -- 2.1.3 Credit Rating |
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2.2 Market Condition -- 2.2.1 Share Price -- 2.2.2 Beta -- 2.3 Corporate Governance -- 2.3.1 Number of Board Seats -- 2.3.2 Cash Flow Right -- 2.3.3 Types of Control -- 2.3.3.1 Professional Managers -- 2.3.3.2 Cooperative -- 2.3.3.3 Family-controlled Firms -- 2.3.3.4 State-controlled Firms -- 3 Data and Empirical Methodology -- 3.1 Sample Selection -- 3.2 Methodology -- 3.2.1 Determinants of Stock Pledging by Controlling Shareholders -- 3.2.2 Performances of Firms with Stock Pledging -- 4 Empirical Results -- 4.1 Stock Pledging Determinants -- 4.2 Logit Models -- 4.3 Tobit Models |
| Summary |
Advances in Pacific Basin Business, Economics, and Financeis an annual publication designed to focus on interdisciplinary research in finance, economics, accounting and management among Pacific Rim countries |
| Bibliography |
Includes bibliographical references and index |
| Subject |
Finance -- Pacific Area
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International economics.
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Public finance.
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Financial accounting.
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BUSINESS & ECONOMICS -- International -- Economics.
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BUSINESS & ECONOMICS -- Accounting -- Financial.
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BUSINESS & ECONOMICS -- International -- Accounting.
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Commerce
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Economic history
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Finance
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International economic relations
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| SUBJECT |
Pacific Area -- Economic conditions
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Pacific Area -- Commerce
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Pacific Area -- Foreign economic relations
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| Subject |
Pacific Area
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| Form |
Electronic book
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| Author |
Lee, Cheng F., editor.
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Yu, Min-teh, editor.
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| ISBN |
9781838673635 |
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1838673636 |
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9781838673642 |
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1838673644 |
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