Advances in Quantitative Analysis of Finance and Accounting

　　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. 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 corporate
finance and debt management, earnings management, equity market, auditing,
option pricing theory, and interest rate theory.

　　In this volume there are eleven chapters, five of them are corporate finance
and debt management: 1. Liquidity and Adverse Selection: Evidence from the
Five-or-Fewer Rule Change; 2. Changing Business Environment and the Value
of Relevance of Accounting Information; 3. Pricing Risky Securities in Hidden
Markov-Modulated Poisson Processes; 4. An Empirical Assessment of Alternative
Dividend Expectation Models; 5. Quantitative Market Risk Disclosure, Bond
Default Risk and The Cost of Debt: Why Value At Risk? There are two of the other
six chapters which cover interest rate theory: 1. Positive Interest Rates and Yields:
Additional Serious Considerations; 2. Collapse of Dimensionality in the Interest
Rate Term Structure.

　　The remaining four chapters cover financial analysts earnings forecasts, equity
market, auditing, and option pricing theory. These four papers are: 1. Investors’
Apparent Under-weighting of Financial Analysts’ Earnings Forecasts: The Role
of Share Price Scaling and Omitted Risk Factors; 2. Predicting Stock Price by
Applying the Residual Income Model and Bayesian Statistics; 3. Intertemporal
Associations Between Non-Audit Services and Auditors’ Tendency to Allow
Discretionary Accruals; 4. Put Option Portfolio Insurance vs. Asset Allocation.

【作者簡介】

Center for Pacific Basin, Business, Economics, and Finance Research

James S. Ang The Florida State University, U.S.A.
Christopher B. Barry Texas Christian University, U.S.A.
Stephen J. Brown New York University, U.S.A.
Edwin Burmeister Duke University, U.S.A.
Carl R. Chen The University of Dayton, U.S.A.
Ren-Raw Chen Rutgers University, U.S.A.
Son N. Chen National Chengchi University, Taiwan
Cheol S. Eun Georgia Institute of Technology, U.S.A.
Jack C. Francis Baruch College, U.S.A.
Chin-Wen Hsin Yuan-Ze University, Taiwan
Ping Hsiao San Francisco State University, U.S.A.
Dong Cheol Kim Rutgers University, U.S.A.
Stanley J. Kon Smith-Breedan Associate, Inc., U.S.A.
Yun Lin National Taiwan University, Taiwan
Scott C. Linn University of Oklahoma, U.S.A.
William T. Moore University of South Carolina, U.S.A.
R. Richardson Petti University of Houston, U.S.A.
C. W. Sealy University of North Carolina –Charlotte, U.S.A.

Preface to Volume 7 vii
List of Contributors xi

★Chapter 1 Liquidity and Adverse Selection: Evidence from the Five- or-Fewer Rule Change         1
Olgun Fuat Sahin, Pattarake Sarajoti
★Chapter 2 Investors’ Apparent Under-weighting of Financial Analysts’ Earnings Forecasts: The Role of Share Price Scaling and Omitted Risk Factors                                                     21
Pieter T. Elgers, May H. Lo, Emily L. Xu
★Chapter 3 Changing Business Environment and the Value Relevance of Accounting Information     49
Virginia Cortijo, Dan Palmon, Ari Yezegel
★Chapter 4 Predicting Stock Price by Applying the Residual Income Model and Bayesian Statistics    71
Huong N. Higgins, Qunfang Flora Lu
★Chapter 5 Pricing Risky Securities in Hiddden Markov-Modulated Poisson Processes              95
Yu-Chuan Huang, Shih-Kuei Lin, Chin-Wen Wu
★Chapter 6 An Empirical Assessment of Alternative Dividend Expectation Models                 121
Ping Zhou, William Ruland
★Chapter 7 Intertemporal Associations between Non-Audit Services and Auditors’ Tendency to Allow Discretionary Accruals                                                                  149
Myungsoo Son, Kung H. Chen, Aaron D. Crabtree
★Chapter 8 Quantitative Market Risk Disclosure, Bond Default Risk and the Cost of Debt: Why Value at Risk?   175
Hongtao Guo
★Chapter 9 Positive Interest Rates and Yields: Additional Serious Considerations                     215
Jonathan Ingersoll
★Chapter 10 Collapse of Dimensionality in the Interest Rate Term Structure                          249
Enlin Pan, Liuren Wu
★Chapter 11 Put Option Portfolio Insurance vs. Asset Allocation             253
Ken Johnston, John Hatem

Index