图书简介

Volume I: Introduction to Financial Econometrics, Mathematics, Statistics, and Machine Learning (C F Lee); Do Managers Use Earnings Forecasts to Fill a Demand They Perceive from Analysts? (O Barron, J Cao, X Sheng, M Thevenot and B Xin); A Potential Benefit of Increasing Book–Tax Conformity: Evidence from the Reduction in Audit Fees (N-T Kuo and C F Lee); Gold in Portfolio: A Long-Term or Short-Term Diversifier? (F-L Lin, S-Y Yang and Y-F Chen); Econometric Approach to Financial Analysis, Planning, and Forecasting (C F Lee); Forecast Performance of the Taiwan Weighted Stock Index: Update and Expansion (D-Y Ji, H-Y Chen and C F Lee); Parametric, Semi-Parametric, and Non-Parametric Approaches for Option-Bound Determination: Review and Comparison (C F Lee and P G Zhang); Measuring the Collective Correlation of a Large Number of Stocks (W-F Niu and H H-S Lu); Key Borrowers Detected by the Intensities of Their Interactions (F Aleskerov, I Andrievskaya, A Nikitina and S Shvydun); Application of the Multivariate Average F-Test to Examine Relative Performance of Asset Pricing Models with Individual Security Returns (S Rahman and M J Schneider); Hedge Ratio and Time Series Analysis (S-S Chen, C F Lee and K Shresth); Application of Intertemporal CAPM on International Corporate Finance (J-R Chang, M-W Hung and C F Lee); What Drives Variation in the International Diversification Benefits? A Cross-Country Analysis (W-J P Chiou and K Pukthuanthong); A Heteroskedastic Black–Litterman Portfolio Optimization Model with Views Derived from a Predictive Regression (W-H Lin, H-W Teng and C-C Yang); Pricing Fair Deposit Insurance: Structural Model Approach (T Tai, C F Lee, T-S Dai, K L Wang and H-Y Chen); Application of Structural Equation Modeling in Behavioral Finance: A Study on the Disposition Effect (H-H Chang); External Financing Needs and Early Adoption of Accounting Standards: Evidence from the Banking Industry (S I-Ling Wang); Improving the Stock Market Prediction with Social Media via Broad Learning (X Zhang and P S Yu); Sourcing Alpha in Global Equity Markets: Market Factor Decomposition and Market Characteristics (S S Mohanty); Support Vector Machines Based Methodology for Credit Risk Analysis (J Li, M Liu, C F Lee and D Wu); Data Mining Applications in Accounting and Finance Context (W Kwak, Y Shi and C F Lee); Trade-off Between Reputation Concerns and Economic Dependence for Auditors — Threshold Regression Approach (F-C Lin, C-C Chien, C F Lee, H-C Lin and Y-C Lin); ASEAN Economic Community: Analysis Based on Fractional Integration and Cointegration (L A Gil-Alana and H Carcel); Alternative Methods for Determining Option Bounds: A Review and Comparison (C F Lee, Z Zhong, T Tai and H Chuang); Financial Reforms and the Differential Impact of Foreign Versus Domestic Banking Relationships on Firm Value (H-C Yu, C F Lee and B J Sopranzetti); Time-Series Analysis: Components, Models, and Forecasting (C F Lee); Volume II: Itô’s Calculus and the Derivation of the Black–Scholes Option-Pricing Model (G Chalamandaris and A G Malliaris); Durbin–Wu–Hausman Specification Tests (R H Patrick); Jump Spillover and Risk Effects on Excess Returns in the United States During the Great Recession (J Schlossberg and N R Swanson); Earnings Forecasts and Revisions, Price Momentum, and Fundamental Data: Further Explorations of Financial Anomalies (J Guerard and A Mark); Ranking Analysts by Network Structural Hole (R-J Guo, Y Lu and L Xie); The Association Between Book-Tax Differences and CEO Compensation (K-W Lee and G H-H Yeo); Stochastic Volatility Models: Faking a Smile (D Diavatopoulos and O Sokolinskiy); Entropic Two-Asset Option (T Sebehela); The Joint Determinants of Capital Structure and Stock Rate of Return: A LISREL Model Approach (H-Y Chen, C F Lee and T Tai); Time-Frequency Wavelet Analysis of Stock-Market Co-Movement Between and Within Geographic Trading Blocs (B Kaffel and F Abid); Alternative Methods to Deal with Measurement Error (H-Y Chen, A C Lee and C F Lee); Simultaneously Capturing Multiple Dependence Features in Bank Risk Integration: A Mixture Copula Framework (X Zhu, J Li and D Wu); GPU Acceleration for Computational Finance (C-H Han); Does VIX Truly Measure Return Volatility? (K V Chow, W Jiang and J Li); An ODE Approach for the Expected Discounted Penalty at Ruin in a Jump-Diffusion Model (Y-T Chen, C F Lee and Y-C Sheu); How Does Investor Sentiment Affect Implied Risk-Neutral Distributions of Call and Put Options? (W-M Szu, Y-C Wang and W-R Yang); Intelligent Portfolio Theory and Strength Investing in the Confluence of Business and Market Cycles and Sector and Location Rotations (H Pan); Evolution Strategy-Based Adaptive Lq Penalty Support Vector Machines with Gauss Kernel for Credit Risk Analysis (J Li, G Li, D Sun and C F Lee); Product Market Competition and CEO Pay Benchmarking (I E Brick and D Palia); Equilibrium Rate Analysis of Cash Conversion Systems: The Case of Corporate Subsidiaries (W Chen, B Melamed, O Sokolinskiy and B S Sopranzetti); Is the Market Portfolio Mean–Variance Efficient? (R Grauer); Consumption-Based Asset Pricing with Prospect Theory and Habit Formation (J-Y Wang and M-W Hung); An Integrated Model for the Cost-Minimizing Funding of Corporate Activities Over Time (M C Gupta); Empirical Studies of Structural Credit Risk Models and the Application in Default Prediction: Review and New Evidence (H-H Lee, R-R Chen and C F Lee); Empirical Performance of the Constant Elasticity Variance Option Pricing Model (R R Chen, C F Lee and H-H Lee); The Jump Behavior of a Foreign Exchange Market: Analysis of the Thai Baht (J-R Chang, M-W Hung, C F Lee and H-M Lu); The Revision of Systematic Risk on Earnings Announcement in the Presence of Conditional Heteroscedasticity (C-C Chien, C F Lee and S-C Chiu); Applications of Fuzzy Set to International Transfer Pricing and Other Business Decisions (W Kwak, Y Shi, H Lee and C F Lee); A Time-Series Bootstrapping Simulation Method to Distinguish Sell-Side Analysts’ Skill from Luck (C Su and H Zhang); Acceptance of New Technologies by Employees in Financial Industry (V Belousova, V Solodkov, N Chichkanov and E Nikiforova); Alternative Method for Determining Industrial Bond Ratings: Theory and Empirical Evidence (L-J Kao and C F Lee); An Empirical Investigation of the Long Memory Effect on the Relation of Downside Risk and Stock Returns (C Y-H Chen and T C Chiang); Analysis of Sequential Conversions of Convertible Bonds: A Recurrent Survival Approach (L-J Kao, L-S Chen and C F Lee); Determinants of Euro-Area Bank CDS Spreads (M-E K Agoraki, D A Georgoutsos and G T Moratis); Dynamic Term Structure Models Using Principal Components Analysis Near the Zero Lower Bound (J Juneja); Effects of Measurement Errors on Systematic Risk and Performance Measure of a Portfolio (C F Lee and F C Jen); Forecasting Net Charge-Off Rates of Banks: A PLS Approach (J R Barth, S Joo, H Kim, K B Lee, S Maglic and X Shen); Application of Filtering Methods in Asset Pricing (H Chang and Y Wu); Sampling Distribution of the Relative Risk Aversion Estimator: Theory and Applications (M J Karson, D C Cheng and C F Lee); Volume III: Social Media, Bank Relationships and Firm Value (C-H Chao and H-C Yu); Splines, Heat, and IPOs: Advances in the Measurement of Aggregate IPO Issuance and Performance (Z A Smith, M A M Al Janabi and M Z Mumtaz); The Effects of the Sample Size, the Investment Horizon and the Market Conditions on the Validity of Composite Performance Measures: A Generalization (S-N Chen and C F Lee); The Sampling Relationship Between Sharpe’s Performance Measure and its Risk Proxy: Sample Size, Investment Horizon and Market Conditions (S-N Chen and C F Lee); VG NGARCH versus GARJI Model for Asset Price Dynamics (L-J Kao and C F Lee); Why do Smartphone and Tablet Users Adopt Mobile Banking? (V Belousova and N Chichkanov); Non-Parametric Inference on Risk Measures for Integrated Returns (H Tsai, H-C Ho and H-Y Chen); Copulas and Tail Dependence in Finance (W-C Lai and K-L Goh); Some Improved Estimators of Maximum Squared Sharpe Ratio (S K Choy and B-q Yang); Errors-in-Variables and Reverse Regression (S Rahman and C F Lee); The Role of Financial Advisors in M&As: Do Domestic and Foreign Advisors Differ? (K-S Chuang); Discriminant Analysis, Factor Analysis, and Principal Component Analysis: Theory, Method, and Applications (C F Lee); Credit Analysis, Bond Rating Forecasting, and Default Probability Estimation (C F Lee); Market Model, CAPM, and Beta Forecasting (C F Lee); Utility Theory, Capital Asset Allocation, and Markowitz Portfolio-Selection Model (C F Lee); Single-Index Model, Multiple-Index Model, and Portfolio Selection (C F Lee); Sharpe Performance Measure and Treynor Performance Measure Approach to Portfolio Analysis (P Chiou and C F Lee); Options and Option Strategies: Theory and Empirical Results (C F Lee); Decision Tree and Microsoft Excel Approach for Option Pricing Model (J-R Chang and J Lee); Statistical Distributions, European Option, American Option, and Option Bounds (C F Lee); A Comparative Static Analysis Approach to Derive Greek Letters: Theory and Applications (C F Lee and Y Xiao); Fundamental Analysis, Technical Analysis, and Mutual Fund Performance (C F Lee); Bond Portfolio Management, Swap Strategy, Duration, and Convexity (C F Lee); Synthetic Options, Portfolio Insurance, and Contingent Immunization (C F Lee); Alternative Security Valuation Model: Theory and Empirical Results (C F Lee); Opacity, Stale Pricing, Extreme Bounds Analysis, and Hedge Fund Performance: Making Sense of Reported Hedge Fund Returns (Z A Smith, M A M Al Janabi and M Z Mumtaz); Does Quantile Co-Integration Exist Between Gold Spot and Futures Prices? (H-C Yu, C-J Lee and D-T Hsieh); Bayesian Portfolio Mean–Variance Efficiency Test with Sharpe Ratio’s Sampling Error (L-J Kao, H C Soo and C F Lee); Does Revenue Momentum Drive or Ride Earnings or Price Momentum? (H-Y Chen, S-S Chen, C-W Hsin and C F Lee); Technical, Fundamental, and Combined Information for Separating Winners from Losers (H-Y Chen, C F Lee and W-K Shih); Optimal Payout Ratio Under Uncertainty and the Flexibility Hypothesis: Theory and Empirical Evidence (C F Lee, M C Gupta, H-Y Chen and A C Lee); Sustainable Growth Rate, Optimal Growth Rate, and Optimal Payout Ratio: A Joint Optimization Approach (H-Y Chen, M C Gupta, A C Lee and C F Lee); Cross-Sectionally Correlated Measurement Errors in Two-Pass Regression Tests of Asset-Pricing Models (T Gramespacher, A Bänziger and N Hilber); Asset Pricing with Disequilibrium Price Adjustment: Theory and Empirical Evidence (C F Lee, C-M Tsai and A C Lee); Volume IV: A Dynamic CAPM with Supply Effect Theory and Empirical Results (C F Lee, C-M Tsai and A C Lee); Estimation Procedures of Using Five Alternative Machine Learning Methods for Predicting Credit Card Default (H W Teng and M Lee); Alternative Methods to Derive Option Pricing Models: Review and Comparison (C F Lee, Y Chen and J Lee); Option Price and Stock Market Momentum in China (J Li, Y Yao, Y Chen and C F Lee); Advancement of Optimal Portfolio Models with Short-Sales and Transaction Costs: Methodology and Effectiveness (W-J P Chiou and J-R Yu); The Path Leading up to the New IFRS 16 Leasing Standard: How was the Restructuring of Lease Accounting Received by Different Advocacy Groups? (C Blecher and S Kruse); Implied Variance Estimates for Black–Scholes and CEV OPM: Review and Comparison (C F Lee, Y Chen and J Lee); Crisis Impact on Stock Market Predictability (R Mohnot); How Many Good and Bad Funds are There, Really? (W Ferson and Y Chen); Constant Elasticity of Variance Option Pricing Model: Integration and Detailed Derivation (Y L Hsu, T L Lin and C F Lee); An Integral Equation Approach for Bond Prices with Applications to Credit Spreads (Y-T Chen, C F Lee and Y-C Sheu); Sample Selection Issues and Applications (H-L Chuang and S-Y Chiu); Time Series and Neural Network Analysis (K C Tseng, O Kwon and L C Tjung); Covariance Regression Model for Non-Normal Data (T Zou, R Luo, W Lan and C-L Tsai); Impacts of Time Aggregation on Beta Value and R² Estimations Under Additive and Multiplicative Assumptions: Theoretical Results and Empirical Evidence (Y Xiao, Y Tang and C F Lee); Large-Sample Theory (S Poshakwale and A Mandal); Impacts of Measurement Errors on Simultaneous Equation Estimation of Dividend and Investment Decisions (C F Lee and F-L Lin); Big Data and Artificial Intelligence in the Banking Industry (T R Yu and X Song); A Non-Parametric Examination of Emerging Equity Markets Financial Integration (K Yang, S Wahab, B Kolluri and M Wahab); Algorithmic Analyst (ALAN) — An Application for Artificial Intelligence Content as a Service (T Hong, D Lee and W Wang); Survival Analysis: Theory and Applications in Finance (F Gao and X He); Pricing Liquidity in the Stock Market (D Du and O Hu); The Evolution of Capital Asset Pricing Models: Update and Extension (Y-C Shih, S-S Chen, C F Lee and P-J Chen); The Multivariate GARCH Model and its Application to East Asian Financial Market Integration (Y Tsukuda, J Shimada and T Miyakoshi); Review of Difference-in-Difference Analyses in Social Sciences: Application in Policy Test Research (W H Greene and M Liu); Using Smooth Transition Regressions to Model Risk Regimes (L A Gallagher, M C Hutchinson and J O’Brien); Application of Discriminant Analysis, Factor Analysis, Logistic Regression, and KMV-Merton Model in Credit Risk Analysis (C F Lee and H-C Yu); Predicting Credit Card Delinquencies: An Application of Deep Neural Networks (T Sun and M A Vasarhalyi); Estimating the Tax-Timing Option Value of Corporate Bonds (P H Chen, S Liu and C Wu); DCC-GARCH Model for Market and Firm-Level Dynamic Correlation in S&P 500 (P Chen, C Wu and Y Zhang); Using Path Analysis to Integrate Accounting and Non-Financial Information: The Case for Revenue Drivers of Internet Stocks (A Kozberg); The Implications of Regulation in the Community Banking Sector: Risk and Competition (G McKee and A Kagan);

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