內容簡介
內容簡介 Advances in Quantitative Analysis of Finance and Accounting (New Series)is an annual publication designed to disseminate developments in the quantitativeanalysis of finance and accounting. The publication is a forum for statistical andquantitative analyses of issues in finance and accounting as well as applications ofquantitative methods to problems in financial management, financial accounting,and business management. The objective is to promote interaction betweenacademic research in finance and accounting and applied research in the financialcommunity and the accounting profession. The papers in this volume cover a wide range of topics including corporatefinance and debt management, earnings management, equity market, auditing,option pricing theory, and interest rate theory. In this volume there are eleven chapters, five of them are corporate financeand debt management: 1. Liquidity and Adverse Selection: Evidence from theFive-or-Fewer Rule Change; 2. Changing Business Environment and the Valueof Relevance of Accounting Information; 3. Pricing Risky Securities in HiddenMarkov-Modulated Poisson Processes; 4. An Empirical Assessment of AlternativeDividend Expectation Models; 5. Quantitative Market Risk Disclosure, BondDefault Risk and The Cost of Debt: Why Value At Risk? There are two of the othersix chapters which cover interest rate theory: 1. Positive Interest Rates and Yields:Additional Serious Considerations; 2. Collapse of Dimensionality in the InterestRate Term Structure. The remaining four chapters cover financial analysts earnings forecasts, equitymarket, auditing, and option pricing theory. These four papers are: 1. Investors’Apparent Under-weighting of Financial Analysts’ Earnings Forecasts: The Roleof Share Price Scaling and Omitted Risk Factors; 2. Predicting Stock Price byApplying the Residual Income Model and Bayesian Statistics; 3. IntertemporalAssociations Between Non-Audit Services and Auditors’ Tendency to AllowDiscretionary Accruals; 4. Put Option Portfolio Insurance vs. Asset Allocation.