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| 001 |
1905895 |
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20171111234742.0 |
| 008 |
070316s2007 ne ob 000 0 eng d |
| 020 |
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|a 9780080467481
|q (electronic bk.)
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| 020 |
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|a 0080467482
|q (electronic bk.)
|z 9780762313457
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| 040 |
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|a N$T
|b eng
|e pn
|z 0762313455
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| 050 |
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4 |
|a HG173
|b .R47eb vol. 23
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| 245 |
0 |
0 |
|a Research in finance.
|c edited by Andrew H. Chen.
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| 250 |
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|a 1st ed.
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| 260 |
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|a Amsterdam ;
|b Elsevier JAI,
|c 2007.
|a Oxford :
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| 300 |
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|a 1 online resource (1 volume).
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| 490 |
1 |
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|a Research in finance,
|x 0196-3821
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| 504 |
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|a Includes bibliographical references.
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| 505 |
0 |
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|a Cover -- Copyright page -- Contents -- List of Contributors -- Introduction -- Chapter 1. Fixed Income Fund Performance across Economic States -- 1. Introduction -- 2. Empirical Methods -- 3. Stochastic Discount Factor Models -- 4. The Data -- 5. Estimating the Stochastic Discount Factor Models on Passive Benchmarks -- 6. Fixed Income Fund Performance in Relation to Characteristics -- 7. Fund Performance in Relation to Style -- 8. Concluding Remarks -- Notes -- Acknowledgments -- References -- Appendix: Invariance of Performance Measures to the Number of Funds -- Chapter 2. Determinants of the Long Term Excess Performance of American Depository Receipts Listed on the New York Stock Exchange -- 1. Introduction -- 2. Literature Review -- 3. Data and Methods -- 4. Results and Implications -- 5. Summary -- References -- Chapter 3. Kernel Bandwidth Applications to the Euro and the U.S. Mutual Fund Movements -- 1. Introduction -- 2. The use of the Forgetting Factor in Financial Time-Series Modelling -- 3. Understanding the Forgetting Factor via Kernel Regression -- 4. Prediction of the Euro's Exchange Rate -- 5. Summary -- Notes -- References -- Chapter 4. Fragmentation of Day Versus Night Markets -- 1. Electronic Communications Networks and the Routing of Orders -- 2. Data and Research Design -- 3. Results -- 4. Summary -- Notes -- References -- Chapter 5. The Share Price and Trading Volume Reactions of U.S.-Listed Foreign Banks to the Financial Services Modernization act of 1999. 1. Introduction -- 2. Overview of the GLB. 3. Theory and Literature Review -- 4. Hypotheses Development -- 5. Sample and Methods -- 6. Empirical Results -- 7. Conclusion -- Notes -- References -- Appendix -- Chapter 6. Upper Bounds for American Options -- 1. Introduction -- 2. The Fundamental Upper Bound Requirements -- 3. New Generalized Claims as Upper Bounds -- 4. Implications of Upper Bounds -- 5. A Quasi-Bound -- 6. Sample S & P 100 Option Quotes -- 7. Summary and Conclusions -- Notes -- Acknowledgment -- References -- Chapter 7. A Spread-Based Model for the Valuation of Credit Derivatives with Correlated.
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| 505 |
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|a Defaults and Counter-Party Risks -- 1. Introduction -- 2. Literature Review -- 3. The Model -- 4. Numerical Results -- 5. Conclusions -- Notes -- Acknowledgment -- References -- Chapter 8. The Evolution of Corporate Borrowers: Prime Versus LIBOR. 1. Introduction -- 2. Theory -- 3. Previous Research -- 4. Database Description -- Theoretical Considerations / 5. The Choice to Borrow at Prime -- 6. Regression Analysis Descriptive Statistics -- The Choice of Prime Versus LIBOR. 8. Multivariate Regression Analysis: Factors Influencing Spreads / 7. Logistic Regression Analysis -- 9. Conclusions -- Notes -- Acknowledgment -- References -- Chapter 9. The Determinants of Private Debt Source -- 1. Introduction -- 2. Literature Review -- 3. Hypotheses -- 4. Model -- 5. Data -- 6. Model Estimation -- 7. Analysis -- 8. Impact on Shareholder Wealth -- 9. Robustness Checks --T.
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| 650 |
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0 |
|a Finance.
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| 650 |
|
7 |
|a BUSINESS & ECONOMICS
|x Finance.
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| 700 |
1 |
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|a Chen, Andrew H.
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| 856 |
4 |
0 |
|u http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=185811
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|b 5a0466a36c5ad14ac1eef3b7
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