Advances in Quantitative Analysis of Finance and Accounting – serie

Part of a series which discusses advances in the quantitative analysis of finance and accounting, this volume is the fifth in the series.

This is the sixth volume in a series which examines advances in the quantitative analysis of finance and accounting. It discusses: the pitfall of using intuitive judgement in audit scheduling; the underpricing integration of public offerings; and, the use of accruals in income smoothing.

This is the seventh volume in a series which examines advances in the quantitative analysis of finance and accounting.

This is the 8th volume in the series Advances in Quantitative Analysis of Finance and Accounting, edited by Dr. Cheng-Few Lee.

"Advances in Quantitative Analysis of Finance and Accounting" is an annual publication designed to disseminate developments in the quantitative analysis of finance and accounting. The publication 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 and applied research in the financial community and the accounting profession. The papers in this volume cover a wide range of topics including default risk premiums, multi-period contracts, stock market, impact of earnings change on stock price, bank regulation, dividend effect of closed-end mutual funds, income smoothing, and inflation accounting.

The purpose of this paper is to incorporate both skewness and kurtosis explicitly through extending Zhang (1994) to provide bounds for the prices of and expected payoffs for options, given the first two moments of skewness and kurtosis. The rest of this paper is organized as follows. Section II distributions of terminal stock prices with given expected prices, standard deviation, skewness, and kurtosis under the assumption that the underlying asset price is continuously distributed. Similar to the results given in (1), the bounds derived in this paper depend on the information of the cumulative distribution of the underlying asset, However, it is shown in Section II that for each set of moments, there always exists one semi-parametric upper bound which is independent of the information of any distribution of the underlying asset. This semi-parametric upper bound has the same property as that in the case of the first two moments in Zhang (1994), that is, it is always greater than or equal to the distribution dependent bounds.

Part of a series which discusses advances in the quantitative analysis of finance and accounting, this volume is the fourth in the series.

NewsProfessor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959–2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University).Advances in Quantitative Analysis of Finance and Accounting is an annual publication to disseminate developments in the quantitative analysis of finance and accounting. The publication 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 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.

NewsProfessor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959–2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University).Advances in Quantitative Analysis of Finance and Accounting is an annual publication designed to disseminate recent developments in the quantitative analysis of finance and accounting. The publication 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. Its objective is to promote interaction between academic research in finance and accounting with applied research in the financial community and the accounting profession.The chapters in this volume cover a wide range of pressing topics including security analysis and mutual fund management, option pricing theory and application, interest rate spread, and electricity pricing.

NewsProfessor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959–2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University).Advances in Quantitative Analysis of Finance and Accounting, New Series (AQAFANS) is a continuation (with new features) of the similarly titled book series that was previously published by JAI Press from 1991. AQAFANS 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.

NewsProfessor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959–2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University).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.

NewsProfessor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University).Market microstructure is the study of how markets operate and how transaction dynamics can affect security price formation and behavior. The impact of microstructure on all areas of finance has been increasingly apparent. Empirical microstructure has opened the door for improved transaction cost measurement, volatility dynamics and even asymmetric information measures, among others. Thus, this field is an important building block towards understanding today's financial markets. One of the pioneers in the field of market microstructure is David K Whitcomb, who retired from Rutgers University in 1999 after 25 years of service. David generously funded the David K Whitcomb Center for Research in Financial Services, located at Rutgers University. The Center organized a conference at Rutgers in his honor. This conference showcased papers and research conducted by the leading luminaries in the field of microstructure and drew a broad and illustrious audience of academicians, practitioners and former students, all who came to pay tribute to David K Whitcomb. Most of the papers in this volume were presented at that conference and the contributions to this volume are a lasting bookmark in microstructure. The coverage of topics on this volume is broad, ranging from the theoretical to empirical, and covering various issues from market architecture to liquidity and volatility.