Contents -- Preface -- List of Contributors -- Chapter 1 The Least Cost Superreplicating Portfolio for Short Puts and Calls in The Boyle-Vorst Model with Transaction Costs Guan-Yu Chen, Ken Palmer and Yuan-Chung Sheu -- 1. Introduction -- 2. Preliminaries -- 3. General Contingent Claims in the Two-Period Case -- 4. Least Cost Superreplicating Portfolios for Short Puts and Calls in the Two-Period Case -- 5. An Example with Path-Dependent Least Cost Superreplicating Portfolios -- References -- Chapter 2 Testing of Nonstationarities in the Unit Circle, Long Memory Processes, and Day of the Week Effects in Financial Data Guglielmo Maria Caporale, Luis A. Gil-Alana and Mike Nazarski -- 1. Introduction -- 2. Testing of Nonstationarities in the Unit Circle -- 3. A Monte Carlo Simulation Study -- 4. Two Empirical Applications -- 4.1. The Eurodollar rate -- 4.2. The Dow Jones index -- 5. Conclusions -- Acknowledgments -- References -- Chapter 3 Equity Restructuring via Tracking Stocks: Is there any Value Added? Beni Lauterbach and Joseph Vu -- 1. Introduction -- 2. Why Issue Tracking Stocks? -- 2.1. Information explanations -- 2.2. The diversification discount motive -- 2.3. Investor clientele -- 2.4. Agency perspectives -- 2.5. Other motivations -- 3. Market Response to Tracking Stock Announcements -- 4. The Long-Term Response of Parent Stocks -- 5. Summary and Conclusions -- Acknowledgments -- References -- Chapter 4 Stock Option Exercises and Discretionary Disclosure Wei Zhang and Steven F. Cahan -- 1. Introduction -- 2. Prior Literature -- 2.1. Disclosure -- 2.2. Disclosure and option grants -- 2.3. Disclosures, option exercises, and privation information -- 3. Hypothesis -- 4. Method -- 4.1. Measurements of main variables -- 4.2. Model specification -- 5. Results -- 5.1. Sample and descriptive statistics.

5.2. Regression results from partitioned samples -- 5.3. Results from regressions with interactions -- 6. Discussion and Conclusion -- References -- Chapter 5 Do Profit Warnings Convey Information About the Industry? Dave Jackson, Jeff Madura and Judith Swisher -- 1. Introduction -- 2. Related Literature and Hypotheses -- 2.1. Related literature -- 2.2. Factors that could influence industry effects -- 3. Sample Selection -- 4. Descriptive Statistics -- 5. Industry Effects -- 5.1. Industry effects partitioned by pre- and post-RFD -- 5.2. Industry effects partitioned by SIC classification -- 5.3. Industry effects partitioned by size of the surprise -- 5.4. Industry effects partitioned by the revaluation of the warning firm -- 5.5. Industry effects partitioned by size of the warning firm -- 5.6. Industry effects partitioned by analyst coverage of the warning firm -- 6. Multivariate Analysis -- 6.1. Multivariate model -- 6.2. Results of multivariate analysis -- 6.3. Results of the multivariate analysis applied to pre- and post-RFD periods -- 7. Conclusion -- Acknowledgments -- References -- Chapter 6 Are Whisper Forecasts more Informative than Consensus Analysts' Forecasts? Erik Devos and Yiuman Tse -- 1. Introduction -- 2. Hypotheses -- 2.1. Accuracy of whisper forecasts -- 2.2. Accuracy of whisper forecasts for high-growth firms -- 2.3. Accuracy of whisper forecasts for high-tech firms -- 2.4. Effects of regulation FD on whisper forecast accuracy -- 3. Data -- 3.1. Sample -- 3.2. Descriptive statistics -- 4. Accuracy of Whisper and Consensus Forecasts -- 4.1. Full sample results -- 4.2. Accuracy of whisper and consensus forecast in different types of firms -- 4.2.1. High-tech versus non-nigh-tech firms -- 4.2.2. Whisper and analyst forecast errors by book to market ratio quartiles -- 4.3. The impact of regulation FD on whisper and consensus forecasts.

4.4. What determines relative accuracy? -- 5. Abnormal Returns Around Earnings Announcements -- 6. Conclusions -- Acknowledgments -- References -- Chapter 7 Earning Forecast-Based Return Predictions: Risk Proxies in Disguise? Le (Emily) Xu -- 1. Introduction -- 2. Literature Review -- 2.1. Discussion of ELP -- 2.2. Predictable error patterns in analysts' forecasts of earnings -- 3. Hypothesis Development -- 4. Data and Variable Definitions -- 5. Methodology and Empirical Results -- 5.1. Adjustments of analysts' forecasts -- 5.2. Accuracy of the adjusted analysts' forecasts -- 5.3. Differentiation of market mispricing vs. omitted risk factor for ELP -- 6. Conclusion -- Acknowledgments -- References -- Chapter 8 On Simple Binomial Approximations for Two Variable Functions in Finance Applications Hemantha S. B. Herath and Pranesh Kumar -- 1. Introduction -- 2. Nelson-Ramaswamy Instantaneous Volatility Stabilization Transformation -- 3. Transform for Two Variables -- 3.1. Product of the underlying variables: a= b= 1, i.e., F= F(S1, S2, t)= S1S2 -- 3.2. Relative value of the underlying variables a= 1, b= -1, i.e., F= F(S1, S2, t)= S1/ S2 -- 3.3. Geometric average of underlying variables a= b= 0.5, i.e., F= F(S1, S2, t)= ( S1S2) (1/2) -- 4. Log-Transformed Variables -- 4.1. Sum of log-transformed variables:a = b = 1 , i.e., F = F(S1, S2, t) = ln(S1S2) = ln(S1) + ln(S2) -- 4.2. Difference of log-transformed variables:a = 1 ,b = -1 , i.e., F = F(S1, S2, t) = ln(S1/S2) = ln(S1) - ln(S2) -- 5. Numerical Accuracy -- 6. Conclusions -- Acknowledgments -- References -- Chapter 9 The Prime Rate-Deposit Rate Spread and Macroeconomic Shocks Bradley T. Ewing and Jamie Brown Kruse -- 1. Introduction -- 2. A Simple Model of the Lending and Deposit Markets -- 3. The Rate Spread and Macroeconomic Variables -- 4. The Data.

5. Vector Autoregression and Generalized Impulse Response Analysis -- 6. Discussion of Results -- 7. Concluding Remarks -- Acknowledgments -- References -- Chapter 10 The Long-Run Performance of Firms that Issue Tracking Stocks Charmen Loh -- 1. Introduction -- 2. Data Selection and Description -- 3. Research Methodology -- 4. Results -- 4.1. Holding-period returns -- 4.2. Profitability, growth, and valuation comparison -- 5. Summary and Conclusions -- Acknowledgment -- References -- Chapter 11 Differences in Underpricing Returns Between REIT IPOs and Industrial Company IPOs William Dimovski and Robert Brooks -- 1. Introduction -- 2. Some Previous IPO Research -- 3. Data and Methods -- 4. Results -- 5. Conclusion -- Acknowledgment -- References -- Chapter 12 Performance of Canadian Mutual Funds and Investors Rajeeva Sinha and Vijay Jog -- 1. Introduction -- 2. Literature on Performance and Trading Behavior of Mutual Funds -- 3. Assessing Performance and Persistence -- 3.1. Performance of mutual funds -- 3.2. Performance of mutual fund investors -- 3.3. Performance persistence -- 4. Data -- 5. Empirical Findings -- 5.1. Fund performance and returns to investors -- 5.2. Turnover and Performance -- 5.3. Expenses and performance -- 5.4. Age of funds and performance -- 6. Conclusions -- References -- Chapter 13 Identifying Major Shocks in Market Volatility and Their Impact on Trading Strategies Pauline Shum and Kevin X. Zhu -- 1. Introduction -- 2. Identifying Unexpectedly Large Shifts in Market Volatility -- 2.1. Variance change points -- 2.2. Intensity of news arrival -- 2.3. Comparison between realized volatility and implied volatility -- 3. Contrarian and Momentum Strategies -- 3.1. Sample selection and portfolio formation -- 3.2. Conditional Jensen's alpha -- 3.3. Market-adjusted cumulative average returns -- 3.4. Results.

3.4.1. Conditional Jensen's alphas -- 3.4.2. MACARs -- 3.4.3. Discussion -- 4. Conclusion -- References -- Chapter 14 The September Phenomenon of US Equity Market Anthony Yanxiang Gu and John T. Simon -- 1. The Data -- 2. Empirical Findings -- 3. Factors Related to the September Effect -- 4. Conclusion -- References -- Chapter 15 Fundamental Drivers of Electricity Prices in the Pacific Northwest Chi-Keung Woo, Ira Horowitz, Nate Toyama, Arne Olson, Aaron Lai and Ray Wan -- 1. Introduction -- 2. The Mid-C Hub -- 3. The Data Set -- 4. The Empirical Results -- 4.1. The GARCH model -- 4.2. The GARCH estimates and their implications -- 5. Conclusions -- Acknowledgment -- References -- Index.