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Research in Finance : Research in Finance - Andrew H. Chen

Research in Finance

Research in Finance

By: Andrew H. Chen (Editor)

Hardcover Published: 24th March 2005
ISBN: 9780762311613
Number Of Pages: 263

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A total of eleven papers in this volume represent recent research on important topics in finance. The contributions include analyses of issues relating to asset prices, the behavior of stock returns, and capital-raising activities. Hodges, et al. employ stochastic dominance arguments to show that the efficiency of time diversification depends on the degree of autocorrelation in security returns. In their study of the announcement effects of ninety-three minority equity investments, Chan, et. al. find a neutral stock price response on average for acquiring firms but a significantly positive response for selling firms. Nguyen, et al. provide evidence on the returns structure of U.S. information technology stocks surrounding the bursting of the internet bubble in early 2000. In a study of the informational effects of auditor reputation, Godby and Mahar, Jr. find that implied volatilities for firms audited by Andersen have increased relative to those for firms audited by other Big Five firms. Charaput and Chang find that the usage of installment receipts enhances liquidity in Canadian secondary equity offerings.

The contributions to this volume also examine important issues in international finance and financial institutions. Brailsford, et al. use a VECM technique to examine Purchasing Power Parity and causality between the yen and the dollar. Sarmas studies the impact of Hong Kong's fixed exchange rate system and Singapore's floating exchange rate system on the correlation between the US and the two respective countries' stock markets. Povel develops a theoretical model to explain multiple banking as a commitment device. Baer, et al. develop a model and empirically examine how thecreation of a futures clearinghouse can reduce the need for margin in bilateral and multilateral settings. Roberts and Siddiqi provide an empirical analysis of the link between collateralization and the number of lenders in private debt contracts. Finally, Tripp et al. empirically examine the relative efficiency of single versus multiple common bond credit unions.

List of Contributorsp. vii
Introductionp. ix
Time Diversification and Stochastic Dominancep. 1
Minority Equity Investments and Inter-Firm Collaborationsp. 17
Size and Book-to-Market Effects in the Returns on Information Technology Stocksp. 45
Implied Volatilities and Auditor Reputation: The Andersen Casep. 93
Secondary Equity Offerings: The Case of Installments Receiptsp. 113
A New Approach to Testing PPP: Evidence from the Yenp. 135
Correlation Among Stock Markets Under Different Exchange Rate Systemsp. 155
Multiple Banking as a Commitment Not to Rescuep. 175
Opportunity Cost and Prudentiality: An Analysis of Collateral Decisions in Bilateral and Multilateral Settingsp. 201
Collateralization and the Number of Lenders in Private Debt Contracts: An Empirical Analysisp. 229
An Examination of the Efficiency of Single VS. Multiple Common Bond Credit Unionsp. 253
Table of Contents provided by Ingram. All Rights Reserved.

ISBN: 9780762311613
ISBN-10: 0762311614
Series: Research in Finance : Book 21
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 263
Published: 24th March 2005
Country of Publication: US
Dimensions (cm): 23.5 x 15.88  x 1.91
Weight (kg): 0.54

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