ADVANCES IN QUANTITATIVE ANALYSIS OF FINANCE AND ACCOUNTING. New Series

Transcription

1 ADVANCES IN QUANTITATIVE ANALYSIS OF FINANCE AND ACCOUNTING New Series

2 Advances in Quantitative Analysis of Finance and Accounting (New Series) Editorial Board Cheng F. Lee Rutgers University, USA Mike J. Alderson University of St. Louis, USA James S. Ang Florida State University, USA K. R. Balachandran New York University, USA Thomas C. Chiang Drexel University, USA Thomas W. Epps University of Virginia, USA Thomas J. Frecka University of Notre Dame, USA Robert R. Grauer Simon Fraser University, Canada Puneet Handa University of Iowa, USA Der-An Hsu University of Wisconsin, Milwaukee, USA Prem C. Jain Georgetown University, USA Jevons C. Lee Tulane University, USA Wayne Y. Lee Kent State University, USA Scott C. Linn University of Oklahoma, USA Gerald J. Lobo University of Houston, USA Yaw Mensah Rutgers University, USA Thomas H. Noe Tulane University, USA Oded Palmon Rutgers University, USA Louis O. Scott Morgan Stanley Dean Witter, USA Andrew J. Senchak University of Texas, Austin, USA David Smith Iowa State University, USA K. C. John Wei Hong Kong Technical University, Hong Kong William W. S. Wei Temple University, USA Chunchi Wu Syracuse University, USA Uzi Yaari Rutgers University, USA

3 ADVANCES IN QUANTITATIVE ANALYSIS OF FINANCE AND ACCOUNTING New Series Editor Cheng-Few Lee Rutgers University, USDA rp World Scientific NEW JERSEY LONDON SINGAPORE SHANGHAI - HONG KONG - TAIPEI BANGALORE

4 Published by World Scientific Publishing Co. Pte. Ltd. 5 Toh Tuck Link, Singapore USA office: 27 Warren Street, Suite , Hackensack, NJ UK office: 57 Shelton Street, Covent Garden, London WC2H 9HE British Library Cataloguing-in-Publication Data A catalogue record for this book is available from the British Library. ADVANCES IN QUANTITATIVE ANALYSIS OF FINANCE AND ACCOUNTING (NEW SERIES) VOLUME 1 Copyright 2004 by World Scientific Publishing Co. Pte. Ltd. and Cheng-Few Lee All rights reserved. This book, or parts thereof, may not be reproduced in any form or by any means, electronic or mechanical, including photocopying, recording or any information storage and retrieval system now known or to be invented, without written permission from the Publisher. For photocopying of material in this volume, please pay a copying fee through the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, USA. In this case permission to photocopy is not required from the publisher. ISBN Typeset by Stallion Press enquiries@stallionpress.com Printed in Singapore.

5 Preface to Volume 2 Advances in Quantitative Analysis of Finance and Accounting (New Series) is an annual publication designed to disseminate developments in the quantitative analysis of finance and accounting. It is a forum for statistical and quantitative analyses of issues in finance and accounting, as well as applications 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, applied research in the financial community, and the accounting profession. The chapters in this volume cover a wide range of topics including derivatives pricing, hedging, index securities, asset pricing, different exchange trading, knowledge spillovers and analyst performance and voluntary disclosure. In this volume, there are 12 chapters. Five of them are related to stock exchange trading, index securities and hedging: 1. Intraday Trading of Island (As Reported to the Cincinnati Stock Exchange) and NASDAQ;2.The Impact of the Introduction of Index Securities on the Underlying Stocks: The Case of the Diamonds and the Dow 30; 3.Hedging with Foreign-Listed Single Stock Futures; 4.Listing Switches from NASDAQ to the NYSE/AMEX: Is New York Issuance a Motive? 5.Using Path Analysis to Integrate Accounting and Non- Financial Information: The Case for Revenue Drives of Internet Stocks. Two of the 12 chapters are related to derivatives securities. 1. Multinomial Lattices and Derivatives Pricing;2.Is Covered Call Investing Wise? Evaluating the Strategy Using Risk-Adjusted Performance Measures The other two of the 12 chapters are related to analysts earnings forecast: 1. Voluntary Disclosure of Strategic Operating Information and the Accuracy of Analysts Earnings Forecast;2.CFA Designation, Geographical Location and Analyst Performance. Finally, the other three papers are 1: Value-Relevance of Knowledge Spillovers: Evidence from Three High-Tech Industries; 2.ATeaching Note on the Effective Interest Rate, Periodic Interest Rate and Compounding Frequency; 3.Asset Pricing with Higher Moments: Empirical Evidence from the Taiwan Stock Market. v

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7 Contents Preface to Volume 2 List of Contributors Chapter 1 Multinomial Lattices and Derivatives Pricing 1 George M. Jabbour, Marat V. Kramin, Timur V. Kramin, Stephen D. Young Chapter 2 Chapter 3 Chapter 4 Chapter 5 Chapter 6 Value-Relevance of Knowledge Spillovers: Evidence from Three High-Tech Industries 17 Michael K. Fung Using Path Analysis to Integrate Accounting and Non-Financial Information: The Case for Revenue Drives of Internet Stocks 33 Anthony Kozberg A Teaching Note on the Effective Interest Rate, Periodic Interest Rate and Compounding Frequency 65 Youngsik Kwak, H. James Williams Voluntary Disclosure of Strategic Operating Information and the Accuracy of Analysts Earnings Forecasts 73 Sidney Leung Intraday Trading of Island (As Reported to the Cincinnati Stock Exchange) and NASDAQ 89 Van T. Nguyen, Bonnie F. Van Ness, Robert A. Van Ness v ix vii

8 viii Contents Chapter 7 The Impact of the Introduction of Index Securities on the Underlying Stocks: The Case of the Diamonds and the Dow Bonnie F. Van Ness, Robert A. Van Ness, Richard S. Warr Chapter 8 Hedging with Foreign-Listed Single Stock Futures 129 Mao-wei Hung, Cheng-few Lee, Leh-chyan So Chapter 9 Chapter 10 Chapter 11 Chapter 12 Asset Pricing with Higher Moments: Empirical Evidence from the Taiwan Stock Market 153 Bing-Huei Lin, Jerry M. C. Wang Listing Switches from NASDAQ to the NYSE/AMEX: Is New York Issuance a Motive? 171 Asli Ascioglu, Thomas H. McInish Is Covered Call Investing Wise? Evaluating the Strategy Using Risk-Adjusted Performance Measures 187 Karyl B. Leggio, Donald Lien CFA Designation, Geographical Location and Analyst Performance 205 Ping Hsiao, Wayne Y. Lee Index 219

9 List of Contributors Chapter 1 George M. Jabbour The George Washington University 2023 G Street Room 530 Washington DC, Tel: Fax: jabbour@gwu.edu Marat V. Kramin Fannie Mae Portfolio Strategy Department 2500 Wisconsin Avenue, #141 Washington DC, Tel: marat_kramin@fanniemae.com Timur V. Kramin Tatarstan American Investment Fund AK. Parina St., Kazan, Tatarstan, Russia Stephen D. Young Wachovia Securities Equity Derivatives Group 5000 Morrowick Road Charlotte, NC Tel: steve.young1@wachovia.com ix

10 x List of Contributors Chapter 2 Michael K. Fung Department of Business Studies Hong Kong Polytechnic University Hung Hom Kowloon Hong Kong Tel: (852) Fax: (852) afmikef@inet.polyu.edu.hk Chapter 3 Anthony Kozbergh Zicklin School of Business CUNY Baruch College PO Box B New York, NY Tel: anthony_kozberg@baruch.cuny.edu Chapter 4 Youngsik Kwak Department of Accounting and Finance School of Management Delaware State University Dover, Delaware Tel: ykwak@desu.edu H. James Williams School of Business North Carolina Central University Durham, North Carolina Tel: hwillian@wpo.nccu.edu

11 List of Contributors xi Chapter 5 Sidney Leung Department of Accountancy City University of Hong Kong Tat Chee Avenue, Kowloon Hong Kong Tel: (852) Fax: (852) acsleung@cityu.edu.hk Chapter 6 Van. T. Nguyen University of Mississippi College of Business, Holman Hall University, MS Tel: vnguyen@bus.olemiss.edu Bonnie F. Van Ness University of Mississippi College of Business, Holman Hall University, MS Tel: bvanness@bus.olemiss.edu Robert A. Van Ness University of Mississippi College of Business, Holman Hall University, MS Tel: rvanness@bus.olemiss.edu Chapter 7 Bonnie F. Van Ness University of Mississippi Department of Finance

12 xii List of Contributors School of Business Administration P.O. Box 1848 University, MS Tel: Fax: Robert A. Van Ness University of Mississippi Department of Finance School of Business Administration P.O. Box 1848 University, MS Tel: Fax: Richard S. Warr Department of Business Management College of Management Box 7229 North Carolina State University Raleigh, NC Tel: Fax: Chapter 8 Mao-wei Hung College of Management National Taiwan University No. 1, Section 4 Roosevelt Road Taipei, Taiwan hung@mba.ntu.edu.tw Cheng-few Lee Department of Finance Rutgers University

13 List of Contributors xiii 94 Rockafeller Road Piscataway. NJ Tel: Fax: Leh-chyan So College of Management National Taiwan University No.1,Section4 Roosevelt Road Taipei, Taiwan Chapter 9 Bing-Huei Lin Department of Business Administration National Taiwan University of Science and Technology No. 43, Section 4 Keelung Road Taipei 104, Taiwan Tel: Fax: linbh@ba.ntust.edu.tw Jerry M. C. Wang Department of Business Administration National Taiwan University of Science and Technology Chapter 10 Asli Ascioglu Assistant Professor of Finance Bryant College 1150 Douglas Pike Smithfield, RI Tel: ascioglu@bryant.edu

14 xiv List of Contributors Thomas H. McInish Professor and Wunderlich Chair of Finance The University of Memphis Memphis, TN Tel: Chapter 11 Karyl B. Leggio Bloch School of Business and Public Administration University of Missouri at Kansas City Kansas City, Missouri Tel: Fax: Donald Lien College of Business University of Texas at San Antonio San Antonio, Texas Tel: Fax: Chapter 12 Ping Hsiao Department of Finance College of Business San Francisco State University San Francisco, CA Wayne Y. Lee Department of Finance Sam M. Walton College of Business Administration University of Arkansas Fayetteville, AR 72701