Encyclopedia of Finance, 2nd edition
TABLE OF CONTENTS
PREFACE
LIST OF CONTRIBUTORS
PART I: TERMINOLOGY AND SHORT ESSAYS
Cheng-Few Lee, Rutgers University, USA
Alice C. Lee, State Street, USA
PART IB:
PART II: PAPERS
1. Deposit Insurance Schemes
James R. Barth, Auburn University and Milken Institute, USA
Cindy Lee, China Trust Bank, USA
Triphon Phumiwasana, Milken Institute, USA
2. Gramm-Leach-Bliley Act: Creating a New Bank for a New Millennium
James R. Barth, Auburn University and Milken Institute, USA
John S Jahera Jr, Auburn University, USA
3. Pre-Furnd Coupon and Zero-Coupon Bonds: Cost of Capital Analysis
Suresh Srivastava, University of Alaska Anchorage, USA
Ken Hung, Texas A&M International University, USA
4. Intertemporal Risk and Currency Risk
Jow-ran Chang, National Tsing Hua University, Taiwan
Mao-wei Hung, National Taiwan University, Taiwan
5. Credit Derivatives
Ren-Raw Chen, Fordham University, USA
Jing-zhi Huang, Penn State University, USA
6. International Parity Conditions and Market Risk
Thomas C. Chiang, Drexel University, USA
7. Treasury Inflation-protected Securities
Quentin C. Chu, University of Memphis, USA
Deborah N. Pittman, Rhodes College, USA
8. Asset Pricing Models
Wayne Ferson, Boston College, USA
9. Conditional Asset Pricing
Wayne Ferson, Boston College, USA
10. Conditional Performance Evaluation
Wayne Ferson, Boston College, USA
11. Working Capital and Cash Flow
Joseph E. Finnerty, University of Illinois, USA
12. Evaluating Fund Performance within the Stochastic Discount Factor Framework
Jonathan Fletcher, University of Strathclyde, UK
13. Duration Analysis and Its Applications
Iraj J. Fooladi, Dalhousie University, Canada
Gady Jacoby, University of Manitoba, Canada
Gordon S. Roberts, York University, Canada
14. Loan Contract Terms
Aron A. Gottesman, Pace University, USA
15. Chinese A and B Shares
Yan He, Indiana University Southeast, USA
16. Decimal Trading in the U.S. Stock Markets
Yan He, Indiana University Southeast, USA
17. The 1997 Nasdaq Trading Rules
Yan He, Indiana University Southeast, USA
18. Reincorporation
Randall A. Heron, Indiana University, USA
Wilbur G. Lewellen, Purdue University, USA
19. Mean Variance Portfolio Allocation
Cheng Hsiao, University of Southern California, USA
Shin-Huei Wang, University of Southern California, USA
20. Online Trading
Chang-tseh Hsieh, University of South Mississippi, USA
21. A Note on the Relationship among the Portfolio Performance Indices under Rank Transformation
Ken Hung, Texas A&M International University, USA
Chin-wei Yang, Clarion University of Pennsylvania, USA
Dwight B. Means, Dr. Dwight B. Means Jr. Consultant, USA
22. Corporate Failure
Jenifer Piesse, University of London, England
Cheng-Few Lee, Rutgers University, USA
Hsein-Chang Kuo, National Chi-Nan University, Taiwan
Lin Lin, National Chi-Nan University, Taiwan
23. Risk Management
Thomas S.Y. Ho, Thomas Ho Company, Ltd., USA
Sang Bin Lee, Hanyang University, Korea
24. Term Structure: Interest Rate Models
Thomas S.Y. Ho, Thomas Ho Company, Ltd., USA
Sang Bin Lee, Hanyang University, Korea
25. Review of REIT and MBS
Cheng-Few Lee, Rutgers University-New Brunswick, USA
Chiuling Lu, Yuan Ze University, Taiwan
26. Experimental Economics and the Theory of Finance
Haim Levy, Hebrew University, Israel
27. Merger and Acquisition
Jenifer Piesse, University of London, England
Lin Lin, National Chi-Nan University, Taiwan
Hsein-chang Kuo, National Chi-Nan University, Taiwan
28. Multi-stage Compound Real Options and Case Study
William T. Lin, Tamkang University, Taiwan
Cheng-Few Lee, Rutgers University-New Brunswick, USA
Chang-wen Duan, Tamkang University, Taiwan
29. Market Efficiency Hypothesis
Melody Lo, University of Southern Mississippi, USA
30. The Microstructure/Micro-finance Approach to Exchange Rates 591
Melody Lo, University of Southern Mississippi, USA
31. Arbitrage and Market Frictions
Shashidhar Murthy, Rutgers University – Camden, USA
32. Fundamental Tradeoffs Associated with the Publicly Trade Corporation
Joseph P. Ogden, State University of New York at Buffalo, USA
33. The Mexican Peso Crisis
Fai-nan Perng, The Central Bank of China, Taiwan
34. Portfolio Performance Evaluation
Lalith P. Samarakoon, University of St. Thomas, USA
Tanweer Hasan, Roosevelt University, USA
35. Call Auction Trading
Robert A. Schwartz, City University of New York, USA
Reto Francioni, The Swiss Stock Exchange, Swiss
36. Market Liquidity
Robert A. Schwartz, City University of New York, USA
Lin Peng, City University of New York, USA
37. Market Makers
Robert A. Schwartz, City University of New York, USA
Lin Peng, City University of New York, USA
38. Structure of Securities
Robert A. Schwartz, City University of New York, USA
Lin Peng, City University of New York, USA
39. Accounting Scandals and Implications for Directors: Lessons from Enron
Pearl Tan, Nanyang Technology University, Singapore
Gillian Yeo, Nanyang Technology University, Singapore
40. On Agent-Based Computational Finance
Nicholas S. P. Tay, University of San Francisco, USA
41. The Asian Bond Market
Khairy Tourk, Illinois Institute of Technology, USA
42. Cross-Border Mergers and Acquisitions
Geraldo M. Vasoncellos, Lehigh University, USA
Richard J. Kish, Lehigh University, USA
43. Jump Diffusion Model
Shiu-Huei Wang, University of Southern California, USA
44. Networks, Nodes, and Priority Rules
Daniel G. Weaver, Rutgers University, USA
45. The Momentum Trading Strategy
K.C. John Wei, Hong Kong University of Science and Technology, HK
46. Equilibrium Credit Rationing and Monetary Non-Neutrality in a Small Open Economy
Ying Wu, Salisbury University, USA
47. Policy Coordination between Wages and Exchange Rates in Singapore
Ying Wu, Salisbury University, USA
48. The Le Chatelier Principle of the Capital Market Equilibrium
Chin-Wei Yang, Clarion University of Pennsylvania, USA
Ken Hung, Texas A&M International University, USA
John A. Fox, The Fox Consultant Incorporated, USA
49. MBS Valuation and Prepayments
C. H Ted Hong, BeyondBond Inc., USA
Wen-Ching Wang, Robeco Investment Management, USA
50. The Impacts of IMF Bailouts in International Debt Crises
Zhaohui Zhang, Long Island Univesity – C. W. Post, USA
Khondkar E. Karim, Rochester Institute of Technology, USA
51. Corporate Governance
Bikki Jaggi, Rutgers University-New Brunswick, USA
52. A Survey Article on International Banking
James P. Winder, Rutgers University-New Brunswick, USA
53. Hedge Funds: Overview, Strategies, and Trends
John M. Longo, Rutgers University, USA
54. An Appraisal of Modeling Dimensions for Performance Appraisal of Global Mutual Funds
G. V. Satya SeKhar, Gandhi Institute of Technology and Management Studies, India
55. Structural Credit Risk Models: Endogenous Versus Exogenous Default
Michael B. Imerman, Princeton University, USA
56. Arbitrage and the Role of Corporations in Corporate Finance
James S. Ang, Florida State University, USA
Yingmei Cheng, Florida State University, USA
57. Equity Premium Puzzle: The Distributional Approach
Nadezhda Safronova, University of Karlsruhe, Germany
58. Understand Ginnie Mae Reverse mortgage H-REMICs: Its program and cash flow analysis
C. H. Ted Hong, Beyondbond Inc., USA
George H. Lee, Beyondbond Inc., USA
59. An Analysis of Risk Treatment in the Field of Finance
Fernando Gómez-Bezares, Deusto Business School, Spain
Fernando R. Gómez-Bezares, The Boston Consulting Group, Spain
60. The Trading Performance of Dynamic Hedging Models: Time Varying Covariance and Volatility Transmission
Michael T. Chng, Deakin University, Australia
Gerard L. Gannon, Deakin University, Australia
61. Portfolio Insurance Strategies
Lan-Chih Ho, Central Bank of the Republic of China (Taiwan), Taiwan
62. Time-Series and Cross-Sectional Tests of Asset Pricing Models
Kyung-Jin Choi, Korea University, Korea
Dongcheol Kim, Korea University, Korea
Soon-Ho Kim, Korea University, Korea
63. Alternative Methods for Estimating Firm’s Growth Rate
Ivan C. Brick, Rutgers University, USA
Hong-Yi Chen, National Central University, Taiwan
Cheng-Few Lee, Rutgers University, USA
64. A Comparison of Formulas to Compute Implied Standard Deviation
James S. Ang, Florida State University, USA
Gwoduan David Jou, National Taiwan University, Taiwan
Tsong-Yue Lai, California State University-Fullerton, USA
65. Securities Transaction Taxes: Literature And Key Issues
Anna Pomeranets, Bank of Canada, Canada
66. Financial Control and Transfer Pricing
Savita A. Sahay, Rutgers University, USA
67. Alternative Models for Evaluating Convertible Bond: Review and Integration
Lie-Jane Kao, Kainan University, Taiwan
Cheng Few Lee, Rutgers University, USA
Po-Cheng Wu, Kainan University, Taiwan
68. A Rationale for Hiring Irrationally Overconfident Managers
Oded Palmon, Rutgers University, USA
Itzhak Venezia, Hebrew University, Jerusalem, Israel
69. The Statistical Distribution Method, Decision Tree Method, and Simulation Method on Capital Budgeting
Cheng-Few Lee, Rutgers University, USA
Tzu Tai, Rutgers University, USA
70. Valuation of interest tax shields
Michael Dothan, Willamette University, USA
71. Usefulness of cash flow statements
Savita A. Sahay, Rutgers University, USA
72. Nonlinear Models in Corporate Finance Research: Review, Critique, and Extensions
Sheng-Syan Chen, National Taiwan University, Taiwan
Kim Wai Ho, Nanyang Technological University, Singapore
Cheng-Few Lee, Rutgers University, USA
Keshab Shrestha, National University of Singapore, Singapore
73. Futures Hedge Ratios: A Review
Sheng-Syan Chen, National Taiwan University, Taiwan
Cheng-Few Lee, Rutgers University, USA
Keshab Shrestha, National University of Singapore, Singapore
74. Credit Risk Modeling: A General Framework
Ren-Raw Chen, Fordham University, USA
PART III: APPENDIX
Cheng-Few Lee, Rutgers University
Alice C. Lee, State Street
APPENDIX A. Derivation of Dividend Discount Model
APPENDIX B. Derivation of DOL, DFL, AND DCL
APPENDIX C. Derivation of Crossover Rate
APPENDIX D. Capital Budgeting Decisions with Different Lives
APPENDIX E. Derivation of Minimum-Variance Portfolio
APPENDIX F. Derivation of an Optimal weight Portfolio Using the Sharpe Performance Measure
APPENDIX G. Applications of the Binomial Distribution to Evaluate Call Options
Appendix H. Derivation of Modigliani and Miller (M&M) Proposition I and II with Taxes
Appendix I. Derivation of Capital Market Line (CML)
Appendix J. Derivation of Capital Market Line (SML)
Appendix K. Derivation of Black-Scholes Option Pricing Model
PART IV: REFERENCES
PART V: INDEX
Subject Index
Author Index