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ADVANCES IN QUANTITATIVE ANALYSIS OF
FINANCE AND
ACCOUNTING
Volume 4
dito
Cheng-Fe
ADVANCES IN QUANTITATIVE ANALYSIS OF
FINANCE AND
ACCOUNTING
Advances in Quantitative Analysis of Finance and Accounting
Editorial Board
Cheng F. Lee
Mike J. Alderson
James S. Ang
K. R. Balachandran
Thomas C. Chiang
Thomas W. Epps
Thomas J. Frecka
Robert R. Grauer
Puneet Handa
Der-An Hsu
Prem C. Jain
Jevons C. Lee
Wayne Y. Lee
Scott C. Linn
Gerald J. Lobo
Yaw Mensah
Thomas H. Noe
Oded Palmon
Louis O. Scott
Andrew J. Senchak
David Smith
K. C. John Wei
William W.S.Wei
Chunchi Wu
Uzi Yaari
Rutgers University, USA
University of St. Louis, USA
Florida State University, USA
New York University, USA
Drexel University, USA
University of Virginia, USA
University of Notre Dame, USA
Simon Fraser University, Canada
University of Iowa, USA
University of Wisconsin, Milwaukee, USA
Georgetown University, USA
Tulane University, USA
Kent State University, USA
University of Oklahoma, USA
University of Houston, USA
Rutgers University, USA
Tulane University, USA
Rutgers University, USA
Morgan Stanley Dean Witter, USA
University of
Texas,
Austin, USA
Iowa State University, USA
Hong Kong Technical University, Hong Kong
Temple University, USA
Syracuse University, USA
Rutgers University, USA
ADVANCES IN QUANTITATIVE ANALYSIS OF
FINANCE AND
ACCOUNTING
Editor
Cheng-Few Lee
Rutgers University, USA
YJ?
World
Scientific
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ADVANCES IN QUANTITATIVE ANALYSIS OF FINANCE AND ACCOUNTING
Advances in Quantitative Analysis of Finance and Accounting — Vol. 4
Copyright © 2006 by World Scientific Publishing Co. Pte. Ltd.
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Preface to Volume 4
Advances in Quantitative Analysis of Finance and Accounting is an annual
publication designed to disseminate developments in the quantitative analy-
sis of finance and accounting. The publication is a forum for statistical and
quantitative analyses of issues in finance and accounting as well as applica-
tions of quantitative methods to problems in financial management, financial
accounting, and business management. The objective is to promote interaction
between academic research in finance and accounting and applied research in
the financial community and the accounting profession.
The papers in this volume cover a wide range of
topics,
including earnings
management, management compensation, option theory and application, debt
management and interest rate theory, and portfolio diversification.
In this volume, there are 14 papers, seven of them apply accounting
information to earnings management and management compensation: 1. Firm
Performance and Compensation-Based Stock Trading by Corporate Execu-
tives; 2. Management Compensation, Debt Contract, and Earnings Manage-
ment
Strategy;
3. Estimated Operating Cash
Flow,
Reported Cash Flow from
Operating Activities, and Financial Distress; 4. Earnings Surprise and the
Relative Information Content of Short Interest; 5. Group Types and Earn-
ings Management; 6. The
Tendency
of Firm Managers
to
Avoid Small Losses;
7. Beating or Meeting Earnings-Based
Target
Performance in CEOs' Annual
Cash Bonuses.
Two of the remaining seven papers are related to option theory and appli-
cation:
1.
Real
Option
Based Equity
Valuation
Models: An Empirical Analysis;
2.
The Shift Function for the Extended
Vasicek
Model.
Three of the remaining
five papers are related to debt management and interest rate theory: I. Risky
Debt-Maturity Choice under Information Asymmetry;
2.
A
Bayesian
Approach
for
Testing
the Debt Signaling Hypothesis in a Transitional Market: Perspec-
tives
from Egypt; 3. Taking Positive Interest Rates Seriously. The remaining
two papers are related
to
portfolio diversification:
1.
Do
Winners Perform
Better
Than
Losers? A Stochastic Dominance Approach;
2.
Corporate
Diversification
and the Price-Earnings Association.
[...]... market value of equity and various accounting numbers reported in the financial statements For example, Landsman (1986), Barth (1991), and Shevlin (1991) examine the role of balance sheet measures in equity valuation Other studies such as Ball and Brown (1968), Barth, Beaver, and Landsman (1992), Collins and Kothari (1989), and Collins, Maydew, and Weiss (1997) examine an alternative income statement approach... 516-877 -46 18 Fax: 516-877 -46 07 Email: yang@adelphi.edu Chapter 13 Ben-Hsien Bao School of Accounting and Finance Hong Kong Polytechnic University, Hong Kong Tel.: 852-2766-7078 Email: afbhbao@inet.polyu.edu.hk xvi List of Contributors Da-Hsien Bao Accounting and Finance Department College of Business Rowan University New Jersey, USA Tel: 856-256 -45 00 Ext 3031 Email: bao@rowan.edu Chapter 14 Enlin Pan... Best Department of Accounting and Finance University of West Georgia Carrollton, GA 30118, USA Tel.: 678-839 -48 12 Email: rbest@westga.edu Chapter 7 Min-Jeng Shiue Department of Accounting National Taipei University, Taiwan Tel: 886-2-2502 -46 54 Ext 1 841 2 Fax: 886-2-2506-0730 Email: smj@mail.ntpu.edu.tw Chan-Jane Lin Department of Accounting National Taiwan University 1 Roosevelt Rd Sec 4 Taipei, Taiwan... Department of Business Management National Sun Yat-sen University 70 Lien-hai Rd Kaohsiung 8 04, Taiwan, R.O.C Tel.: 886-7-52 546 61 Fax: 886-7-52 546 62 Email: vwliu@mail.nsysu.edu.tw Chapter 4 Sheen Liu Williamson College of Business Administration Youngstown State University Youngstown, OH 44 5 04, USA Tel.: 330- 941 -7 149 Fax: 330- 941 - 145 9 Email: sheenxliu@yahoo.com Chunchi Wu Lee Kong Chian School of Business Singapore... ggpam@mail.npust.edu.tw xiv List of Contributors Chapter 10 Wing-Keung Wong Department of Economics National University of Singapore 1 Arts Link, Singapore 117570 Tel: 65-68 74- 60 14 Fax: 65-6775-2 646 Email: ecswwk@nus.edu.sg Howard E Thompson Department of Finance, Investment and Banking University of Wisconsin-Madison 975 University Avenue Madison, WI 53706, USA Tel: 608-831- 245 6 Fax: 608-262-6378 Email:... total common equity interest in the company, including common stock outstanding adjusted for treasury stocks, capital surplus, and retained earnings (COMPUSTAT item number A60; mnemonic CEQ) (3) The number of common shares outstanding at the year end, excluding treasury stocks and scrip (COMPUSTAT item number A25; mnemonic CSHO) (4) The income before extraordinary items and discontinued operations available... used in this study using Park's test (see Gujarati, 1992) and found no evidence of heteroscedasticity The results of our tests indicate an R2 of 0.00 and a f-value of 0.00 for the variables (Xit) and (Bit), an indication of homoscedasticity 5.3 Results from Model 1 Firms in the full sample were ranked according to accounting profitability (Xjt/Bit-\), the proxy for firm efficiency (q), and separated into... X Wei School of Accounting and Finance The Hong Kong Polytechnic University Hung Horn, Hong Kong Tel.: 852-2766-7056 Fax: 852-2330-9 845 Email: afweix@inte.polyu.edu.hk Ying-Foon Chow Department of Finance Chinese University of Hong Kong Shatin, New Territories Hong Kong Tel.: 852-2609-7638 Fax: 852-2603-6586 Email: yfchow@baf.msmail.cuhk.edu.hk Chapter 11 Shyan Yuan Lee Department of Finance National... is convex in both earnings and book value, and that the relative explanatory power of earnings and book value vary with accounting profitability Collins, Pincus, and Xie (1999) supplement the basic earnings capitalization model with book value in order to address the loss firm anomaly With their revised model, they show that the anomalous results disappear and that the earnings coefficient of the basic... observed by Collins, Pincus, and Xie (1999) in that book value appears to be a correlated omitted variable in Model 3, leading to an upward bias in the coefficient of earnings (y) A comparison of the results of Models 1 and 4 for the growth firms shows that Model 4 also has a noticeably lower explanatory power than does Model 1, even though it has two terms in place of the book value in Model 1 In addition, . ADVANCES IN QUANTITATIVE ANALYSIS OF
FINANCE AND
ACCOUNTING
Volume 4
dito
Cheng-Fe
ADVANCES IN QUANTITATIVE ANALYSIS OF
FINANCE AND
ACCOUNTING. enquiries@stallionpress.com
Printed in Singapore by World Scientific Printers (S) Pte Ltd
Preface to Volume 4
Advances in Quantitative Analysis of Finance and Accounting is
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