Advances in Pacific Basin business, economics and finance /

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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.

Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Lee, Cheng F. (Editor ), Yu, Min-teh (Editor )
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Bingley, UK : Emerald Publishing, 2020.
Colección:Advances in Pacific Basin business, economics and finance ; v. 8.
Temas:
Finance > Pacific Area.
Finances > Pacifique, Région du.
International economics.
Public finance.
Financial accounting.
BUSINESS & ECONOMICS > International > Economics.
BUSINESS & ECONOMICS > Accounting > Financial.
BUSINESS & ECONOMICS > International > Accounting.
Commerce
Economic history
Finance
International economic relations
Pacific Area > Economic conditions.
Pacific Area > Commerce.
Pacific Area > Foreign economic relations.
Pacifique, Région du > Conditions économiques.
Pacifique, Région du > Commerce.
Pacifique, Région du > Relations économiques extérieures.
Pacific Area
Acceso en línea:Texto completo
Texto completo
Tabla de Contenidos:
  • 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
  • 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
  • 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
  • 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
  • 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

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