发布求助
文献互助 智能选刊 最新文献

Advances in Pacific Basin Business, Economics and Finance最新文献

筛选
英文 中文
Limited Attention, Motivated Institutional Investors, and IPO Survivability 有限的关注、有动机的机构投资者和IPO的生存能力
Advances in Pacific Basin Business, Economics and Finance Pub Date : 2021-07-22 DOI: 10.1108/S2514-465020210000009001
Haoyu Gao, R. Jiang, Wei Liu, Junbo Wang, Chunchi Wu
{"title":"Limited Attention, Motivated Institutional Investors, and IPO Survivability","authors":"Haoyu Gao, R. Jiang, Wei Liu, Junbo Wang, Chunchi Wu","doi":"10.1108/S2514-465020210000009001","DOIUrl":"https://doi.org/10.1108/S2514-465020210000009001","url":null,"abstract":"Using initial public offering (IPO) involuntary delisting data, this chapter examines whether and how motivated institutional investors affect the survivability of IPO firms. The empirical evidence shows that the likelihood of future delisting is much lower for IPOs with more motivated institutional investors. This impact is more pronounced for firms with higher information asymmetry. The motivated institutional investors also facilitate better post-IPO operating performance. The results are consistent with the prediction of the limited attention theory.","PeriodicalId":228644,"journal":{"name":"Advances in Pacific Basin Business, Economics and Finance","volume":"82 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121166361","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Prelims 预备考试
Advances in Pacific Basin Business, Economics and Finance Pub Date : 2021-07-22 DOI: 10.1108/s2514-465020210000009015
{"title":"Prelims","authors":"","doi":"10.1108/s2514-465020210000009015","DOIUrl":"https://doi.org/10.1108/s2514-465020210000009015","url":null,"abstract":"","PeriodicalId":228644,"journal":{"name":"Advances in Pacific Basin Business, Economics and Finance","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124525726","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Managing Credit Card Fraud Risks by Autoencoders 通过自动编码器管理信用卡欺诈风险
Advances in Pacific Basin Business, Economics and Finance Pub Date : 2021-07-22 DOI: 10.1108/S2514-465020210000009012
C. Chang
{"title":"Managing Credit Card Fraud Risks by Autoencoders","authors":"C. Chang","doi":"10.1108/S2514-465020210000009012","DOIUrl":"https://doi.org/10.1108/S2514-465020210000009012","url":null,"abstract":"This chapter introduces a risk control framework on credit card fraud instead of providing a solely binary classifier model. The anomaly detection approach is adopted to identify fraud events as the outliers of the reconstruction error of a trained autoencoder (AE). The trained AE shows fitness and robustness on the normal transactions and heterogeneous behavior on fraud activities. The cost of false-positive normal transactions is controlled, and the loss of false-negative frauds can be evaluated by the thresholds from the percentiles of reconstruction error of trained AE on normal transactions. To align the risk assessment of the economic and financial situation, the risk manager can adjust the threshold to meet the risk control requirements. Using the 95th percentile as the threshold, the rate of wrongly detecting normal transactions is controlled at 5% and the true positive rate is 86%. For the 99th percentile threshold, the well-controlled false positive rate is around 1% and 83% for the truly detecting fraud activities. The performance of a false positive rate and the true positive rate is competitive with other supervised learning algorithms.","PeriodicalId":228644,"journal":{"name":"Advances in Pacific Basin Business, Economics and Finance","volume":"96 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116668698","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Option Pricing with Markov Switching Stochastic Volatility Models 基于马尔可夫切换随机波动率模型的期权定价
Advances in Pacific Basin Business, Economics and Finance Pub Date : 2020-09-09 DOI: 10.1108/s2514-465020200000008003
Yiying Cheng
{"title":"Option Pricing with Markov Switching Stochastic Volatility Models","authors":"Yiying Cheng","doi":"10.1108/s2514-465020200000008003","DOIUrl":"https://doi.org/10.1108/s2514-465020200000008003","url":null,"abstract":"Recently, there has been much progress in developing Markov switching stochastic volatility (MSSV) models for financial time series. Several studies consider various MSSV specifications and document superior forecasting power for volatility compared to the popular generalized autoregressive heteroscedasticity (GARCH) models. However, their application to option pricing remains limited, partially due to the lack of convenient closed-form option pricing formulas which integrate MSSV volatility estimates. We develop such a closed-form option pricing formula and the corresponding hedging strategy for a broad class of MSSV models. We then present an example of application to two of the most popular MSSV models: Markov switching multifractal (MSM) and component-driven regime switching (CDRS) models. Our results establish that these models perform well in one-day-ahead forecasts of option prices.","PeriodicalId":228644,"journal":{"name":"Advances in Pacific Basin Business, Economics and Finance","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114111319","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Index 指数
Advances in Pacific Basin Business, Economics and Finance Pub Date : 2020-09-09 DOI: 10.1108/s2514-465020200000008012
{"title":"Index","authors":"","doi":"10.1108/s2514-465020200000008012","DOIUrl":"https://doi.org/10.1108/s2514-465020200000008012","url":null,"abstract":"","PeriodicalId":228644,"journal":{"name":"Advances in Pacific Basin Business, Economics and Finance","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126531747","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A New Perspective on the Fama–French Five-factor Model Fama-French五因素模型的新视角
Advances in Pacific Basin Business, Economics and Finance Pub Date : 2019-08-21 DOI: 10.1108/s2514-465020190000007005
Hsuan-Yu Liu, Cindy S.H. Wang
{"title":"A New Perspective on the Fama–French Five-factor Model","authors":"Hsuan-Yu Liu, Cindy S.H. Wang","doi":"10.1108/s2514-465020190000007005","DOIUrl":"https://doi.org/10.1108/s2514-465020190000007005","url":null,"abstract":"This chapter re-examines the Fama–French (FF) five-factor asset pricing model proposed by Fama and French (2015), since this model has a failure to capture the lower average returns on small stocks and its performance could not fully satisfy the original definitions of those considered factors. From the viewpoint of the econometrics analysis, we consider the inferior performance could be potentially caused by the spurious effect in the five-factor model, which could mislead the statistical inference and yield biased empirical results. We thus employ the CO-AR estimation by Wang and Hafner (2018) to prove the usefulness of the FF five-factor model. Empirical results demonstrate with the CO-AR estimation, the five-factor model indeed properly captures the lower average returns on small stocks and illustrate the sustainability of efficiency of the market, which is in contrast to the findings of Fama and French (2015). However, we propose a new perspective on the seminal five-factor model.","PeriodicalId":228644,"journal":{"name":"Advances in Pacific Basin Business, Economics and Finance","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115055208","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Empirical Analysis of Economic Policy Uncertainty and Stock Returns in Asian Markets 亚洲市场经济政策不确定性与股票收益的实证分析
Advances in Pacific Basin Business, Economics and Finance Pub Date : 2019-08-21 DOI: 10.1108/s2514-465020190000007004
T. Chiang
{"title":"Empirical Analysis of Economic Policy Uncertainty and Stock Returns in Asian Markets","authors":"T. Chiang","doi":"10.1108/s2514-465020190000007004","DOIUrl":"https://doi.org/10.1108/s2514-465020190000007004","url":null,"abstract":"This chapter tests the market risk and economic policy uncertainty (EPU) of five Asian stock market returns and finds positive and significant intertemporal relations between excess stock returns and conditional volatility/downside risk. The results support positive risk-return relations across five Asian markets after controlling for the lagged dividend yield and the change in EPU (\u0000\u0000\u0000Δ\u0000\u0000\u0000EPU). The evidence strongly indicates that excess stock returns are negatively correlated with the \u0000\u0000\u0000\u0000Δ\u0000\u0000\u0000EPUs. This finding holds true not only for the domestic market but also for external sources. The negative effect of \u0000\u0000\u0000Δ\u0000\u0000\u0000EPU is more profound from the US and global markets as compared with those from the Europe, Japanese, and domestic markets and suggests that a pathway to forming an optimal strategy for portfolio risk management depends on developing an effective hedging strategy against the impact of \u0000\u0000\u0000Δ\u0000\u0000\u0000EPUs from US/global markets.","PeriodicalId":228644,"journal":{"name":"Advances in Pacific Basin Business, Economics and Finance","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116508878","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
The Role of Duration and Trades in the Information Assimilation Process of the US Treasury Market 期限和交易在美国国债市场信息同化过程中的作用
Advances in Pacific Basin Business, Economics and Finance Pub Date : 2019-08-21 DOI: 10.1108/S2514-465020190000007007
Peter Chen, K. Man, Junbo Wang, Chunchi Wu
{"title":"The Role of Duration and Trades in the Information Assimilation Process of the US Treasury Market","authors":"Peter Chen, K. Man, Junbo Wang, Chunchi Wu","doi":"10.1108/S2514-465020190000007007","DOIUrl":"https://doi.org/10.1108/S2514-465020190000007007","url":null,"abstract":"We examine the informational roles of trades and time between trades in the domestic and overseas US Treasury markets. A vector autoregressive model is employed to assess the information content of trades and time duration between trades. We find significant impacts of trades and time duration between trades on price changes. Larger trade size induces greater price revision and return volatility, and higher trading intensity is associated with a greater price impact of trades, a faster price adjustment to new information and higher volatility. Higher informed trading and lower liquidity contribute to larger bid–ask spreads off the regular daytime trading period.","PeriodicalId":228644,"journal":{"name":"Advances in Pacific Basin Business, Economics and Finance","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114428585","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Determinants of Bank Performance in Chile, Colombia, and Mexico 智利、哥伦比亚和墨西哥银行绩效的决定因素
Advances in Pacific Basin Business, Economics and Finance Pub Date : 2019-08-21 DOI: 10.1108/s2514-465020190000007012
A. Serrano
{"title":"Determinants of Bank Performance in Chile, Colombia, and Mexico","authors":"A. Serrano","doi":"10.1108/s2514-465020190000007012","DOIUrl":"https://doi.org/10.1108/s2514-465020190000007012","url":null,"abstract":"In this chapter, I analyze the behavior of banks in Chile, Colombia, and Mexico between 2005 and 2014. With data from the regulatory institutions of these countries, I show the influence of their institutions on the performance of banks. The World Bank provides two main datasets that measure the institutional characteristics of each country. Their doing business data set computes the ease of doing business while the governance data set measures the effectiveness of government and the perception that people have of their own governments. The results show that voice and accountability, which is a variable that measures the ability of citizens to select their government and participate in society, has a strong effect in the performance of loans. However, these institutional variables seem to have little effect on the volatility of profits.","PeriodicalId":228644,"journal":{"name":"Advances in Pacific Basin Business, Economics and Finance","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115818503","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
A Consumption-based Evaluation of the Cat Bond Market 基于消费的Cat债券市场评估
Advances in Pacific Basin Business, Economics and Finance Pub Date : 2019-08-21 DOI: 10.1108/S2514-465020190000007002
Stephan Dieckmann
{"title":"A Consumption-based Evaluation of the Cat Bond Market","authors":"Stephan Dieckmann","doi":"10.1108/S2514-465020190000007002","DOIUrl":"https://doi.org/10.1108/S2514-465020190000007002","url":null,"abstract":"I build an equilibrium model trying to reconcile investor preferences with several features of the cat bond market. The driving force behind the model is a habit process, in that catastrophes are rare economic shocks that could bring investors closer to their subsistence level. The calibration requires shocks with an impact between −1% and −3% to explain a reasonable level of cat bond spreads. Such investor preferences are not only able to generate realistic cat bond returns and price comovement among different perils, but may also able to explain why cat bonds offer higher rewards compared to equally rated corporate bonds.","PeriodicalId":228644,"journal":{"name":"Advances in Pacific Basin Business, Economics and Finance","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134261538","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信