This handbook (in 4 volumes) investigates important tools for empirical and theoretical research in finance and accounting. Based on editors' and contributors' years of experience working in the industry, teaching classes, conducting research, writing textbooks, and editing journals on the subject of financial econometrics, mathematics, statistics, and technology, this handbook will review, discuss, and integrate theoretical, methodological, and practical issues of financial econometrics, mathematics, statistics, and machine learning.
Volume 1 lays the groundwork with key methodologies and innovative approaches. From financial econometrics to the application of machine learning in risk management, this volume covers critical topics such as optimal futures hedging and the impacts of CEO compensation on corporate innovation. It also delves into advanced techniques in option bound determination, the influence of economic institutions on banking stability, and the latest in mortgage loan pricing predictions using ML-RNN, along with systemic risk assessment using bivariate copulas.
Volume 2 explores sophisticated financial theories and machine learning applications. Readers will encounter stochastic volatility models and the complexities of implied variance in option pricing, along with in-depth discussions on real and exotic options and the diversification benefits of U.S. international equity funds. This volume also highlights groundbreaking applications of machine learning for stock selection and credit risk assessment, significantly enhancing decision-making processes in the finance sector.
Volume 3 addresses critical issues in corporate finance and risk analysis, with a strong focus on practical implications. It covers the role of international transfer pricing, corporate reorganization, and executive share option plans. Additionally, it presents empirical studies on mutual fund performance and market model forecasting. This volume introduces innovative approaches in hedging, capital budgeting, and nonlinear models in corporate finance research, providing valuable insights for professionals and academics alike.
Volume 4 explores the integration of big data and advanced econometrics in finance. It examines the impact of lead independent directors on earnings management and the dynamic relationship between stock prices and exchange rates. Readers will find cutting-edge techniques in survival analysis, deep neural networks for credit risk, and volatility spillovers during market crises.
Written in a comprehensive manner, the four volumes discuss how to use higher moment theory to analyze investment analysis and portfolio management. In addition, they also discuss risk management theory and its application.
Contents:
- Volume 1:
- Introduction to Financial Technology, Statistics, Econometrics and Risk Management (Cheng Few Lee)
- The Application of Difference-in-Differences in Accounting Studies (Omar Arabiat and Yun Shen)
- Optimal Futures Hedge for Long-Term Investors (Jow-ran Chang)
- An Introductory Note on the Difference-in-Differences and Regression Discontinuity Design for the Accounting and Finance Research (Guanming He, Zhichao Li, and Dongxiao Shen)
- The Application of Machine Learning in Financial Risk Management: A Review (Zeng Li and Wee-Yeap Lau)
- CEO Compensation, Overconfidence, and Corporate Innovation: Evidence from US Listed Firms (Ahmad Juliana and Hai-Chin Yu)
- Parametric, Semi-Parametric, and Non-Parametric Approaches for Option Bound Determination: Review and Comparison (Cheng Few Lee and Peter Guangping Zhang)
- Impact of Economic Institutions on Banking Stability: Evidence from CIS Countries (Nargiz Mammadova, Veronika Belousova and Laszlo Vasa)
- Generalized dividend Behavior Model and Dividend Smoothing: Theory and Empirical Evidence (Cheng Few Lee and James Juichia Lin)
- Mortgage Loan OAS Attribution and Pricing Prediction: An ML-RNN Approach (Thomas Ho, Sang Bin Lee and Bill Ningyuan Qian)
- Factor-Mimicking Portfolios for Consumer Expectations Using Machine-Learning Algorithms (Junbo L Wang and Tengfei Zhang)
- How Does Loan and Funding Mix Differ Across Bank Ownership Types? (Veronika Belousova, Nikolai Chichkanov, Jackline Kraiouchkina, Igor Manzhulin, Vasily Solodkov and Mikhail Sukhov)
- What Drives Variation in the International Diversification Benefits? A Cross-Country Analysis (Wan-Jiun Paul Chiou and Kuntara Pukthuanthong)
- A Heteroskedastic Black-Litterman Portfolio Optimization Model with Views Derived from a Predictive Regression (Wei-Hung Lin, Huei-Wen Teng and Chi-Chun Yang)
- Functional Tail Dependence for Bivariate Copulas with an Application to Systemic Risk (Zhiruo Liu, Donald Lien and Keying Ye)
- Application of Structural Equation Modeling in Behavioral Finance: A Study on the Disposition Effect (Hsin-Hue Chang)
- Risk Analysis of CMBS (Mihlali Tyhopho)
- The REIT Portfolio Adjustments Uncertainty (Kgomotso Makgolokwe, Phumlani Matlakala, and Sive Motha)
- Sourcing Alpha in Global Equity Markets: Market Factor Decomposition and Market Characteristic (Subhransu S Mohanty)
- Support Vector Machines Based Methodology for Credit Risk Analysis (Jianping Li, Mingxi Liu, Cheng Few Lee and Dengsheng Wu)
- Data Mining Applications in Accounting and Finance Context (Wikil Kwak, Yong Shi and Cheng Few Leev)
- Modeling Volatility of Cryptocurrencies through Mathematical Theorems (G V Satya Sekhar)
- ASEAN Economic Community: Analysis Based on Fractional Integration and Cointegration (Luis Alberiko Gil-Alana and Hector Carcel)
- Arbitrage Pricing Theory and Intertemporal Capital Asset Pricing Model (Cheng Few Lee)
- Generalized Information Ratio and Simulation Results (Zhongzhi (Lawrence) He)
- Alternative Methods for Deriving Statistical Distributions of Sharpe Ratio: Review, Comparison, and Critique (Lie-Jane Kao and Cheng Few Lee)
- Net Trade Credit and Firm Performance (Stylianos Asimakopoulos, Filipa Da Silva Fernandes and Yiannis Karavias)
- Volume 2:
- Durbin–Wu–Hausman Specification Tests (Robert H Patrick)
- Jump Spillover and Risk Effects on Excess Returns in the United States During the Great Recession (Jessica Schlossberg and Norman R Swanson)
- Earnings Forecasts and Revisions, Price Momentum, and Fundamental Data: Further Explorations of Financial Anomalies (John Guerard and Andrew Mark)
- Ranking Analysts by Network Structural Hole (Re-Jin Guo, Yingda Lu and Lingling Xie)
- Introduction to Important Finance Theories (Cheng Few Lee)
- Stochastic Volatility Models: Faking a Smile (Dean Diavatopoulos and Oleg Sokolinskiy)
- Normal, Log-Normal Distribution, and Option Pricing Model (Cheng Few Lee)
- The Joint Determinants of Capital Structure and Stock Rate of Return: A LISREL Model Approach (Hong-Yi Chen, Cheng Few Lee and Tzu Tai)
- Implied Variance, Volatility Smile, and CEV Option Pricing Model (Cheng Few Lee and Wen-Chi Yeh)
- Portfolio Insurance and Synthetic Options (Cheng Few Lee)
- Simultaneously Capturing Multiple Dependence Features in Bank Risk Integration: A Mixture Copula Framework (Xiaoqian Zhu, Jianping Li and Dengsheng Wu)
- GPU Acceleration for Computational Finance (Chuan-Hsiang Han)
- Does VIX Truly Measure Return Volatility? (K Victor Chow, Wanjun Jiang and Jingrui Li)
- Exotic Options (Jow-ran Chang)
- Real Option and Fuzzy Real Option (Shin-Yun Wang and Cheng Few Lee)
- Alternative Methods for Determining Option Bounds: A Review and Comparison (Cheng Few Lee, Zhaodong Zhong, Tzu Tai, and Hongwei Chuang)
- Evolution Strategy Based Adaptive Lq Penalty Support Vector Machines with Gauss Kernel for Credit Risk Analysis (Jianping Li, Gang Li, Dongxia Sun and Cheng Few Lee)
- Political Investments and the Winner of Government Grants (Hsuan-Chu Lin, She-Chih Chiu and Hsing-Chu Wang)
- Good-deal Performance Bounds and the Diversification Benefits of US International Equity Closed-end Funds (Jonathan Fletcher)
- Is the Market Portfolio Mean–Variance Efficient? (Robert Grauer)
- Consumption-based Asset Pricing with Prospect Theory and Habit Formation (Jr-Yan Wang and Mao-Wei Hung)
- Chinese Board Directors with Overseas Experience and Atypical Executive Perks (Wen-Ju Liao, Yaping Guo, and Hao-Chang Sung)
- Empirical Studies of Structural Credit Risk Models and the Application in Default Prediction: Review and New Evidence (Han-Hsing Lee, Ren-Raw Chen and Cheng Few Lee)
- Investor Attention, Fee Structure, and Newly Issued Funds (Hong-Yi Chen, Hsuan-Chi Chen, Christine W Lai, and Pei-Ling Yang)
- A Comprehensive Guide to Machine Learning: From Introduction to Model Selection (Faisal Mahmood, Nazim Hussain, and Younes Ben-Zaied)
- Financial Econometrics, Mathematics, Statistics, and Financial Technology: An Overall View (Cheng Few Lee)
- Applications of Fixed-effect Models to Managerial Risk-taking Incentives (Yin-Siang Huang, Cheng Few Lee, and Chih-Yung Lin)
- A Time-Series Bootstrapping Simulation Method to Distinguish Sell-Side Analysts' Skill from Luck (Rui Cao and Jianing Zhang)
- Application of Machine Learning to Stock Selections Using Dynamic Factors and Rolling Training (Rui Cao and Jianing Zhang)
- Application of Econometric Techniques and Machine Learning Algorithms for Credit Risk Assessment of Small and Medium-sized Enterprises (SMEs) (Bogdan Pleshkevich and Liang Han)
- Pricing Puttable Warrants on Commercial REITs (Khumbuleni V Nengovhela, Siphelele B Matanda, and Justin Brandon)
- Board Demographic, Cognitive Diversity and Firm Performance: A Quantile Regression Approach (Yan Wang, Sercan Demiralay, and Bola Babajide)
- Determinants of Euro-Area Bank CDS Spreads (Maria-Eleni K Agoraki, Dimitris A Georgoutsos and George T Moratis)
- Dynamic Term Structure Models Using Principal Components Analysis Near the Zero Lower Bound (Januj Juneja)
- Effects of Measurement Errors on Systematic Risk and Performance Measure of a Portfolio (Cheng Few Lee and Frank C Jen)
- Futures, Options, Swaps, and Risk Management (Cheng Few Lee)
- Options, Put-Call Parities, and Option Strategies (Cheng Few Lee and Wen-Chi Yeh)
- Sampling Distribution of the Relative Risk Aversion Estimator: Theory and Applications (Marvin J Karson, David C Cheng and Cheng Few Lee)
- Index Option, Option on Index Futures, and Currency Option (Cheng Few Lee)
- Splines, Heat, and IPOs: Advances in the Measurement of Aggregate IPO Issuance and Performance (Zachary A Smith, Mazin A M Al Janabi and Muhammad Z Mumtaz)
- Financial Planning and Strategy (Cheng Few Lee)
- Volume 3:
- Bankruptcy, Workouts, and Corporate Reorganization (Cheng Few Lee)
- International Transfer Pricing of Intellectual Property under Stochastic Demand (Savita A Sahay and Bharat Sarath)
- Constant Elasticity of Variance Option Pricing Model: Detailed Derivation and Implied Variance Estimation (Y L Hsu, T I Lin and Cheng Few Lee)
- Non-Parametric Inference on Risk Measures for Integrated Returns (Henghsiu Tsai, Hwai-Chung Ho and Hung-Yin Chen)
- Applications of Discriminant Analysis, Factor Analysis, Logistic Regression, and KMV-Merton Model in Risk Analyses (Cheng Few Lee)
- The Heterogeneous Investment Horizon and the Capital Asset Pricing Model: Theory and Implications (Cheng F Lee, Chunchi Wu and K C John Wei)
- Errors-in-Variables and Reverse Regression (Shafiqur Rahman and Cheng Few Lee)
- Alternative Method for Determining Industrial Bond Ratings: Theory and Empirical Evidence (Lie-Jane Kao and Cheng Few Lee)
- Regime Switching, Systemic Risk and Financial Stability Dynamics: The Case of the Athens Stock Exchange (Anastassios A Drakos, Georgios P Kouretas, and Leonidas Zarangas)
- Product Market Competition and Real Activities Manipulations: Theory, Implications, and Applications (Cheng Few Lee and Hao-Chang Sung)
- Market Model, CAPM, and Beta Forecasting (Cheng Few Lee)
- International Trades, Capital Regulations, and Efficiency: Evidence from the Banking Sector in China during the Pre-China–US Trade War Era (Hong-Jen Lin and Sunil K Mohanty)
- Performance of Active and Passive Mutual Funds in India — Pre and during COVID (Shejin Joshy and Pradiptarathi Panda)
- Revisiting the Momentum Effect in Taiwan: The Role of Persistency (Hong-Yi Chen, Chia-Hsun Hsieh and Cheng Few Lee)
- A Comparative Analysis of Hedging Determination for Three Alternative International Equity Index Futures (Fu-Lai Lin)
- A Simulation-Based Approach to Design Dual-Class Shares and the 'Wedge' between Voting Rights and Cash Flow Rights (Hubert de La Bruslerie)
- Political Institutions and Cost Stickiness: International Evidence (Nan-Ting Kuo and Cheng Few Lee)
- Does Individual Auditor Quality Contribute to Firm Value? Evidence from the Market Valuation on Corporate Cash Holdings (Nan-Ting Kuo, Shu Li, Ya-Guang Du and Cheng Few Lee)
- Capital Budgeting with Multiple Criteria and Multiple Decision Makers: Update (Wikil Kwak, Yong Shi, Heeseok Lee and Cheng F Lee)
- Bond Portfolio Management, Swap Strategy, Duration, and Convexity (Cheng Few Lee)
- Effects of Executive Share Option Plans on Shareholder Wealth and Firm Performance: The Singapore Evidence (Gillian H H Yeo, Sheng-Syan Chen, Kim Wai Ho and Cheng Few Lee)
- Linear Conditional Expectation, Return Distributions, and Capital Asset Pricing Theories (K C John Wei, Cheng F Lee and Alice C Lee)
- Opacity, Stale Pricing, Extreme Bounds Analysis, and Hedge Fund Performance: Making Sense of Reported Hedge Fund Returns (Zachary A Smith, Mazin A M Al Janabi and Muhammad Z Mumtaz)
- Does Quantile Co-Integration Exist Between Gold Spot and Futures Prices? (Hai-Chin Yu, Chia-Ju Lee and Der-Tzon Hsieh)
- Bayesian Portfolio Mean–Variance Efficiency Test with Sharpe Ratio's Sampling Error (Lie-Jane Kao, Huei Ching Soo and Cheng Few Lee)
- Does CEO Power Affect the Association between CEO Compensation and Tangible Assets Impairments? (Kin-Wai Lee, Cheng Few Lee, and Gillian Hian-Heng Yeo)
- Technical, Fundamental, and Combined Information for Separating Winners from Losers (Hong-Yi Chen, Cheng Few Lee and Wei-Kang Shih)
- Optimal Payout Ratio Under Uncertainty and the Flexibility Hypothesis: Theory and Empirical Evidence (Cheng Few Lee, Manak C Gupta, Hong-Yi Chen and Alice C Lee)
- Nonlinear Models in Corporate Finance Research: Review, Critique, and Extensions (Sheng-Syan Chen, Kim Wai Ho, Cheng Few Lee and Keshab Shrestha)
- Cross-Sectionally Correlated Measurement Errors in Two-Pass Regression Tests of Asset-Pricing Models (Thomas Gramespacher, Armin Bänziger, and Norbert Hilber)
- A New Application of Fuzzy Set Theory to the Black–Scholes Option Pricing Model (Cheng Few Lee, Gwo-Hshiung Tzeng and Shin-Yun Wang)
- Two-Stage Models for the Analysis of Information Content of Equity-Selling Mechanisms Choices (Cheng Few Lee and Yi Lin Wu)
- Estimation Procedures of Using Five Alternative Machine Learning Methods for Predicting Credit Card Default (Huei-Wen Teng and Michael Lee)
- Piecewise Forecasting the Interest Rates from Dynamic Nelson–Siegel Model (Meng-Jou Lu and Ying-I Lee)
- Option Price and Stock Market Momentum in China (Jianping Li, Yanzhen Yao, Yibing Chen and Cheng Few Lee)
- Advancement of Optimal Portfolio Models with Short-Sales and Transaction Costs: Methodology and Effectiveness (Wan-Jiun Paul Chiou and Jing-Rung Yu)
- The Path Leading up to the New IFRS 16 Leasing Standard: How was the Restructuring of Lease Accounting Received by Different Advocacy Groups? (Christian Blecher and Stephanie Kruse)
- Implied Variance Estimates for Black–Scholes and CEV OPM: Review and Comparison (Cheng Few Lee, Yibing Chen and John Lee)
- Crisis Impact on Stock Market Predictability (Rajesh Mohnot)
- How Many Good and Bad Funds are There, Really? (Wayne Ferson and Yong Chen)
- Difference-in-Differences Methods and Path Analysis in Corporate Cash Holding Policy (Hsuan-Chi Chen and Chien-Lin Lu)
- Volume 4:
- An Integral Equation Approach for Bond Prices with Applications to Credit Spreads (Yu-Ting Chen, Cheng Few Lee and Yuan-Chung Sheu)
- The Relationship between Stock Ownership and the Effect of Investor Tax Status on Dividend Tax Capitalization: Theory and Empirical Evidence (Nan-Ting Kuo, Cheng Few Lee and Fu-Lai Lin)
- Dynamic Relationship between Stock Prices and Exchange Rates for G-7 Countries (Chien-Chung Nieh and Cheng Few Lee)
- Covariance Regression Model for Non-Normal Data (Tao Zou, Ronghua Luo, Wei Lan and Chih-Ling Tsai)
- Impacts of Time Aggregation on Beta Value and R2 Estimations Under Additive and Multiplicative Assumptions: Theoretical Results and Empirical Evidence (Yuanyuan Xiao, Yushan Tang and Cheng Few Lee)
- Impact of Lead Independent Directors on Firms' Earnings Management (Yuan-Teng Hsu, Cheng Few Lee, Chih-Yung Lin and Ning Tang)
- Investment, Financing, Dividend, and Production Policies: Review and Integration (Cheng Few Lee and Alice C Lee)
- Big Data and Artificial Intelligence in the Banking Industry (T Robert Yu and Xuehu Song)
- A Non-Parametric Examination of Emerging Equity Markets Financial Integration (Ke Yang, Susan Wahab, Bharat Kolluri and Mahmoud Wahab)
- Algorithmic Analyst (ALAN) — An Application for Artificial Intelligence Content as a Service (Ted Hong, Daniel Lee and Wenching Wang)
- Survival Analysis: Theory and Applications in Finance (Feng Gao and Xiaomin He)
- An Intertemporal CAPM Approach to Evaluate Mutual Fund Performance (Jow-Ran Chang, Mao-Wei Hung and Cheng Few Lee)
- Large Shareholders, Board Structure, and Corporate Value: Evidence from China (Yu-Tai Yang and Hai-Chin Yu)
- The Multivariate GARCH Model and its Application to East Asian Financial Market Integration (Yoshihiko Tsukuda, Junji Shimada and Tatsuyoshi Miyakoshi)
- The Influences of Information Demand and Supply on Stock Price Synchronicity (Yu-Fen Chen, Cheng Few Lee and Fu-Lai Lin)
- Using Smooth Transition Regressions to Model Risk Regimes (Liam A Gallagher, Mark C Hutchinson and John O'Brien)
- The Effect of IFRS Adoption on Acquisition Premiums: Evidence from Selected ASEAN Countries (Yeni Januarsi and Tsung-ming Yeh)
- Predicting Credit Card Delinquencies: An Application of Deep Neural Networks (Ting Sun and Miklos A Vasarhalyi)
- Estimating the Tax-Timing Option Value of Corporate Bonds (Peter Huaiyu Chen, Sheen Liu and Chunchi Wu)
- DCC-GARCH Model for Market and Firm-Level Dynamic Correlation in S&P 500 (Peimin Chen, Chunchi Wu and Ying Zhang)
- Distilling the Signals: Leveraging LASSO for Finance Research (Lakshmi Shankar Ramachandran)
- Counterfactual Approach for Sequential Mediators in Mediation Analysis: A Suitable Methodological Approach for the Banking and Finance Literature? (Salvatore Polizzi)
- Nonlinear Effects of Temperature on Returns and Investor Optimism–Pessimism from Winner and Loser Stocks (Chai Liang Huang, Lai Ferry Sugianto and Mu Shu Yun)
- Volatility Spillovers during the Chinese Stock Market Crisis: A MEM-Based Approach (Hua Chen, Domenico Tarzia, Giovanni Vittorino and Andros Gregoriou)
- The Capitalised Generalised Autoregressive Conditional Heteroskedasticity (Katlego Kola and Tumellano Sebehela)
- The Paradoxical Prices of Options (Gianluca Marcato and Tumellano Sebehela)
- Convolution Approach for Value at Risk Estimation (Yam Wing Siu)
- Analysis of Macquarie Group's Value at Risk Using GARCH Models (Di Tang, Yun Liu and Ya Li)
- Multimodality in the Likelihood Function of GARCH Model (Farrukh Mahmood and Saud Ahmed Khan)
- Testing the Real Option Hypothesis on the Declining Open-Market Repurchase Announcement Returns (David K Ding, Hardjo Koerniadi and Chandrasekhar Krishnamurti)
- A New Evidence to Assess the Asset Pricing Model: An Empirical Investigation Based on Bayesian Network (Fatma Hachicha, Sahar Charfi and Ahmed Hachicha)
- Epstein–Zin, Weil Preferences and the Value of Information (Richard E Kihlstrom)
- Factorial Price Discovery (Mthokozisi Magazi)
- Alternative Methods of Measuring Real Earnings Management in R&D and SG&A Expenses (Wen-Ju Liao, Cheng Few Lee and Hao-Chang Sung)
- Entropy and the Estimation of Joint Probability (Jeffrey Stokes)
- Block Recursive Systems in Asset Pricing Models and Extension (William P Lloyd and Cheng F Lee)
- Sentimental Performance in the Listed Real-Estate Industry (Mthokozisi Magazi)
Readership: Finance, accounting and economics undergraduate students and graduate students; academics in the fields of finance and accounting.
