Advances in quantitative analysis of finance and accounting. / New series. Vol. 2

235 Pages·2005·3.459 MB·English

by  Cheng F Lee

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ADVANCES IN QUANTITETIVE ANALYSIS OF
FINANCE AND
ACCOUNTING
New Series Volume 2
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AdvancesinQuantitativeAnalysisofFinanceandAccounting(NewSeries)
EditorialBoard
ChengF.Lee RutgersUniversity, USA
MikeJ.Alderson UniversityofSt.Louis,USA
JamesS.Ang FloridaStateUniversity,USA
K.R.Balachandran NewYorkUniversity, USA
ThomasC.Chiang DrexelUniversity, USA
ThomasW.Epps UniversityofVirginia,USA
ThomasJ.Frecka UniversityofNotreDame,USA
RobertR.Grauer SimonFraserUniversity, Canada
PuneetHanda UniversityofIowa,USA
Der-AnHsu UniversityofWisconsin, Milwaukee,USA
PremC.Jain GeorgetownUniversity, USA
JevonsC.Lee TulaneUniversity, USA
WayneY.Lee KentStateUniversity, USA
ScottC.Linn UniversityofOklahoma,USA
GeraldJ.Lobo UniversityofHouston, USA
YawMensah RutgersUniversity, USA
ThomasH.Noe TulaneUniversity, USA
OdedPalmon RutgersUniversity, USA
LouisO.Scott MorganStanleyDeanWitter,USA
AndrewJ.Senchak UniversityofTexas,Austin,USA
DavidSmith IowaStateUniversity,USA
K.C.JohnWei HongKongTechnicalUniversity, HongKong
WilliamW.S.Wei TempleUniversity, USA
ChunchiWu SyracuseUniversity,USA

UziYaari RutgersUniversity, USA
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ADVANCES IN QUANTITATIVE ANALYSIS OF
FINANCE AND
ACCOUNTING
New Series Volume 2
Editor
Cheng–Few Lee
Rutgers University, USA
World Scientific
NEW JERSEY .LONDON . SINGAPORE . BEIJING . SHANGHAI . HONG KONG . TAIPEI . CHENNAI
Published by
World Scientific Publishing Co. Pte. Ltd.
5 Toh Tuck Link, Singapore 596224
USA office: 27 Warren Street, Suite 401-402, Hackensack, NJ 07601
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 2
Copyright © 2005 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 981-256-164-1
Typeset by Stallion Press
Email: [email protected]
Printed in Singapore.
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Preface to Volume 2
AdvancesinQuantitative AnalysisofFinanceandAccounting (NewSeries)is
anannualpublicationdesignedtodisseminatedevelopmentsinthequantitative
analysis of finance and accounting. It is a forum for statistical and quantita-
tive analyses of issues in finance and accounting, as well as applications of
quantitative methodstoproblemsinfinancialmanagement, financialaccount-
ingandbusinessmanagement.Theobjectiveistopromoteinteractionbetween
academicresearchinfinanceandaccounting, appliedresearchinthefinancial
community, andtheaccounting profession.
Thechaptersinthisvolumecoverawiderangeoftopicsincludingderiva-
tivespricing, hedging, indexsecurities, assetpricing, different exchange trad-
ing,knowledgespillovers andanalystperformance andvoluntary disclosure.
In this volume, there are 12 chapters. Five of them are related to stock
exchange trading, index securities and hedging: 1.Intraday TradingofIsland
(AsReported totheCincinnati Stock Exchange) andNASDAQ;2.TheImpact
ofthe Introduction ofIndex Securities onthe Underlying Stocks: TheCaseof
the Diamonds and the Dow 30; 3. Hedging with Foreign-Listed Single Stock
Futures; 4. Listing Switches from NASDAQto the NYSE/AMEX:Is New York
Issuance a Motive? 5. Using PathAnalysis to Integrate Accounting and Non-
FinancialInformation: TheCaseforRevenueDrivesofInternet Stocks.
Twoofthe12chaptersarerelatedtoderivativessecurities. 1.Multinomial

LatticesandDerivativesPricing;2.IsCoveredCallInvestingWise?Evaluating
theStrategy UsingRisk-AdjustedPerformanceMeasures
Theothertwoofthe12chaptersarerelatedtoanalysts’earningsforecast:
1.VoluntaryDisclosureofStrategicOperatingInformationandtheAccuracyof
Analysts’EarningsForecast;2.CFADesignation,GeographicalLocationand
AnalystPerformance.Finally,theotherthreepapersare1:Value-Relevanceof
KnowledgeSpillovers:EvidencefromThreeHigh-TechIndustries;2.ATeach-
ingNoteontheEffectiveInterestRate,PeriodicInterestRateandCompounding
Frequency; 3. Asset Pricing with Higher Moments: Empirical Evidence from
theTaiwanStockMarket.
v
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Contents
PrefacetoVolume2 v
ListofContributors ix
Chapter1 MultinomialLatticesandDerivatives Pricing 1
GeorgeM.Jabbour, MaratV.Kramin,TimurV.Kramin,
StephenD.Young
Chapter2 Value-Relevance ofKnowledgeSpillovers: Evidence
fromThreeHigh-TechIndustries 17
MichaelK.Fung
Chapter3 UsingPathAnalysistoIntegrate Accounting and
Non-Financial Information: TheCaseforRevenue
DrivesofInternet Stocks 33
AnthonyKozberg
Chapter4 ATeachingNoteontheEffective InterestRate,
PeriodicInterestRateandCompounding Frequency 65
YoungsikKwak,H.JamesWilliams
Chapter5 Voluntary DisclosureofStrategic Operating
Information andtheAccuracyofAnalysts’Earnings
Forecasts 73
SidneyLeung
Chapter6 IntradayTradingofIsland(AsReportedtothe
CincinnatiStockExchange)andNASDAQ 89
VanT.Nguyen,BonnieF.VanNess,
RobertA.VanNess
vii
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viii Contents
Chapter7 TheImpactoftheIntroduction ofIndexSecurities
ontheUnderlyingStocks: TheCaseofthe
DiamondsandtheDow30 105
BonnieF.VanNess,RobertA.VanNess,
RichardS.Warr
Chapter8 HedgingwithForeign-Listed SingleStockFutures 129
Mao-weiHung,Cheng-few Lee,Leh-chyanSo
Chapter9 AssetPricingwithHigherMoments:Empirical
EvidencefromtheTaiwanStockMarket 153
Bing-HueiLin,JerryM.C.Wang
Chapter10 ListingSwitchesfromNASDAQto
theNYSE/AMEX:IsNewYorkIssuance aMotive? 171
AsliAscioglu, ThomasH.McInish
Chapter11 IsCoveredCallInvesting Wise?Evaluating
theStrategy UsingRisk-AdjustedPerformanceMeasures 187
KarylB.Leggio,DonaldLien
Chapter12 CFADesignation, Geographical Locationand
AnalystPerformance 205
PingHsiao,WayneY.Lee
Index 219
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List of Contributors
Chapter1
GeorgeM.Jabbour
TheGeorgeWashington University
2023GStreet
Room530
Washington DC,20052
Tel:[phone]
Fax:[phone]
Email:[email protected]
MaratV.Kramin
FannieMaePortfolioStrategyDepartment
2500Wisconsin Avenue,#141
Washington DC,20007
Tel:[phone]
Email:[email protected]
TimurV.Kramin
TatarstanAmericanInvestment Fund
AK.ParinaSt.,12-62

Kazan,Tatarstan,Russia
StephenD.Young
WachoviaSecuritiesEquityDerivativesGroup
5000MorrowickRoad
Charlotte, NC28226
Tel:[phone]
Email:[email protected]
ix