Advances in Pacific Basin business, economics and finance / edited by Cheng-Few Lee, Professor MinTeh Yu.

Format:

Book

Contributor:

Lee, Cheng F., editor.

Yu, Min-teh, editor.

Series:

Advances in Pacific Basin Business, Economics and Finance Series

Advances in Pacific Basin business, economics and finance ; Volume 8

Language:

English

Subjects (All):

Pacific Area-Economic conditions.

Pacific Area--Economic conditions.

Physical Description:

1 online resource (x, 242 pages).

Edition:

1st ed.

Place of Publication:

Bingley, England : Emerald Publishing, [2020]

Summary:

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.

Contents:

Cover

ADVANCES IN PACIFIC BASIN BUSINESS, ECONOMICS AND FINANCE

Series Editors: Cheng Few Lee and Min-Teh Yu

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

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

Option Pricing with Markov Switching Stochastic Volatility Models

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

Further Evidence of Momentum in Corporate Bond Returns

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

The Causes and Consequences of Stock Pledging by Controlling Shareholders: The Case of Taiwan

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

4.1 Stock Pledging Determinants

4.2 Logit Models

4.3 Tobit Models

4.4 Firm Performances

4.4.1 Accounting Performance

4.4.2 Financial Performance

5 Conclusions

Japanese SEOs Before the Lost Decade: A Revisit of the Long-Run Stock Performance

2 Data and Methodologies

3 Performance of Equal-Weighted Portfolios

4 Performance of Value-Weighted Portfolios

5 Fama-French Three-factor Results

6 Conclusion

Firm Characteristics and Capital Structure: Evidence from ASEAN-4 Economies

2 Capital Structure Theories and Hypotheses

2.1 Capital Structure Theories

2.1.1 Trade-off Theory

2.1.2 Pecking Order Theory

2.2 Hypotheses

2.2.1 Size

2.2.2 Profitability

2.2.3 Tangibility

2.2.4 Nondebt Tax Shields

2.2.5 Summary.

3 Data and Model Specification

3.1 Data Sample

3.2 Definitions of Variables

3.3 Dynamic Model Specification

3.4 Postestimation Efficiency Tests

4.1 Results

4.1.1 Descriptive Statistics

4.1.2 Empirical Model

4.1.3 Empirical Results and Discussion

Impact of Oversubscription Ratio and Trading Volume on IPO First THREE-day Initial Return

2 Literature Review

3 Data and Methodology

4 Results

Does Participating in Physical Activities Raise Starting Salaries of Female College Graduates? Evidence from an Asian Society

2 Literature Review and Conceptual Framework

3 Empirical Method

4 Data

4.1 Data Source

4.2 Key Variable and Indicators

4.2.1 Indicator-Participation in Physical Activities

4.2.2 Indicator-Intensity of Participation in Physical Activities

4.2.3 Indicator-Persistence of Participation in Physical Activities

4.3 Data Statistics

5 Empirical Results and Discussion

5.1 Effects of Participation and Intensity of Physical Activities

5.2 Persistence of Participation in Physical Activities

A1 Postestimation Tests of the IV Approach

A2 Full Results Estimated Using the OLS and IV Approaches

On Market Property Right, Its Cost Components and Economic Significance

1 Introduction and Literature Review on Market Definition

2 Market Property Right Is an Aggregation of Rights Comprising a Series of Market Rules and System Arrangements

3 Cost Components of Market Property Right

4 Economic Significance of Studying the Cost Components of Market Property Right

The Spillover Effect of the US-China Trade War on Taiwan's Economy*

2 Methodology.

2.1 Recursive Dynamic Framework

2.2 Closure

2.3 Trade Shocks and Empirical Works

3 Simulation Results

3.1 Sectoral Shifts

3.2 Some Qualifications of the Simulation Results

4 Trade Similarity Index and Market Share

5 Policy Implications

6 Summary and Conclusions

Tariff Schedules of China Retaliations and Similarity Indexes in China's Market

INDEX.

Notes:

Includes index.

Description based on print version record.

Description based on publisher supplied metadata and other sources.

ISBN:

1-83867-363-6

OCLC:

1195457807