Advances in Pacific Basin Business, Economics and Finance.

Cover -- ADVANCES IN PACIFIC BASIN BUSINESS, ECONOMICS AND FINANCE -- Series Editors: Cheng Few Lee and Min-Teh Yu -- ADVANCES IN PACIFIC BASIN BUSINESS, ECONOMICS AND FINANCE -- Copyright -- EDITORIAL BOARD -- CONTENTS -- LIST OF CONTRIBUTORS -- Divergent Opinion, Trading Information, and Stock Price Co-movements -- Abstract -- 1 Introduction -- 2 Opinion Divergence and Price Co-movement -- 3 Variable Definition and Data -- 3.1 Measuring Stock Price Co-movement -- 3.2 Measuring Investor's Opinion Divergence -- 3.3 Data -- 4 Empirical Results -- 4.1 Results of Multivariate Regressions -- 4.2 Controls for Firm Characteristic and Governance Variables -- 4.3 Price Co-movements in the Bear and Bull Markets -- 4.4 Robustness Checks -- 5 Conclusion -- Acknowledgments -- References -- Assessing Asset Tail Risk with Artificial Intelligence: The Application of Artificial Neural Network -- Abstract -- 1 Introduction -- 2 Risk Properties and Assessments -- 2.1 Value at Risk -- 2.2 Expected Shortfall -- 2.3 Measurement Approaches -- 3 Artificial Neural Network Model -- 4 Data and Samples -- 4.1 Research Assets -- 4.2 Samples -- 5 Empirical Findings -- 5.1 Model Assessment -- 5.1.1 Forecasting Accuracy -- 5.1.2 VaR Backtesting -- 5.1.3 ES Backtesting -- 5.2 Model Specification -- 5.3 In-sample Performance -- 5.4 Out-of-sample Risk Forecast -- 6 Conclusions -- References -- Option Pricing with Markov Switching Stochastic Volatility Models -- Abstract -- 1 Introduction -- 2 Closed-form Option Pricing Formula -- 2.1 Model Setting -- 2.2 The Option Pricing Formula -- 2.2.1 The Moment Generating Function -- 2.2.2 Application to Markov Switching Volatility Models -- 3 An Empirical Example -- 4 Conclusion -- References -- Further Evidence of Momentum in Corporate Bond Returns -- Abstract -- 1 Introduction -- 2 Data -- 3 Empirical Results.

3.1 Momentum Effects over Different Return Horizons -- 3.2 Subperiod Analysis -- 3.3 Liquidity and Momentum -- 3.4 The Momentum Effect in the Cross Section of Corporate Bonds -- 4 Conclusions -- References -- The Causes and Consequences of Stock Pledging by Controlling Shareholders: The Case of Taiwan -- Abstract -- 1 Introduction -- 2 Determinants of Stock Pledging by Controlling Shareholders -- 2.1 Firm Attributes -- 2.1.1 Capital -- 2.1.2 Leverage -- 2.1.3 Credit Rating -- 2.2 Market Condition -- 2.2.1 Share Price -- 2.2.2 Beta -- 2.3 Corporate Governance -- 2.3.1 Number of Board Seats -- 2.3.2 Cash Flow Right -- 2.3.3 Types of Control -- 2.3.3.1 Professional Managers -- 2.3.3.2 Cooperative -- 2.3.3.3 Family-controlled Firms -- 2.3.3.4 State-controlled Firms -- 3 Data and Empirical Methodology -- 3.1 Sample Selection -- 3.2 Methodology -- 3.2.1 Determinants of Stock Pledging by Controlling Shareholders -- 3.2.2 Performances of Firms with Stock Pledging -- 4 Empirical Results -- 4.1 Stock Pledging Determinants -- 4.2 Logit Models -- 4.3 Tobit Models -- 4.4 Firm Performances -- 4.4.1 Accounting Performance -- 4.4.2 Financial Performance -- 5 Conclusions -- References -- Japanese SEOs Before the Lost Decade: A Revisit of the Long-Run Stock Performance -- Abstract -- 1 Introduction -- 2 Data and Methodologies -- 3 Performance of Equal-Weighted Portfolios -- 4 Performance of Value-Weighted Portfolios -- 5 Fama-French Three-factor Results -- 6 Conclusion -- Acknowledgments -- References -- Firm Characteristics and Capital Structure: Evidence from ASEAN-4 Economies -- Abstract -- 1 Introduction -- 2 Capital Structure Theories and Hypotheses -- 2.1 Capital Structure Theories -- 2.1.1 Trade-off Theory -- 2.1.2 Pecking Order Theory -- 2.2 Hypotheses -- 2.2.1 Size -- 2.2.2 Profitability -- 2.2.3 Tangibility -- 2.2.4 Nondebt Tax Shields -- 2.2.5 Summary.

3 Data and Model Specification -- 3.1 Data Sample -- 3.2 Definitions of Variables -- 3.3 Dynamic Model Specification -- 3.4 Postestimation Efficiency Tests -- 4 Empirical Results -- 4.1 Results -- 4.1.1 Descriptive Statistics -- 4.1.2 Empirical Model -- 4.1.3 Empirical Results and Discussion -- 5 Conclusion -- References -- Impact of Oversubscription Ratio and Trading Volume on IPO First THREE-day Initial Return -- Abstract -- 1 Introduction -- 2 Literature Review -- 3 Data and Methodology -- 4 Results -- 5 Conclusions -- References -- Does Participating in Physical Activities Raise Starting Salaries of Female College Graduates? Evidence from an Asian Society -- Abstract -- 1 Introduction -- 2 Literature Review and Conceptual Framework -- 3 Empirical Method -- 4 Data -- 4.1 Data Source -- 4.2 Key Variable and Indicators -- 4.2.1 Indicator-Participation in Physical Activities -- 4.2.2 Indicator-Intensity of Participation in Physical Activities -- 4.2.3 Indicator-Persistence of Participation in Physical Activities -- 4.3 Data Statistics -- 5 Empirical Results and Discussion -- 5.1 Effects of Participation and Intensity of Physical Activities -- 5.2 Persistence of Participation in Physical Activities -- 6 Conclusion -- References -- A1 Postestimation Tests of the IV Approach -- A2 Full Results Estimated Using the OLS and IV Approaches -- On Market Property Right, Its Cost Components and Economic Significance -- Abstract -- 1 Introduction and Literature Review on Market Definition -- 2 Market Property Right Is an Aggregation of Rights Comprising a Series of Market Rules and System Arrangements -- 3 Cost Components of Market Property Right -- 4 Economic Significance of Studying the Cost Components of Market Property Right -- References -- The Spillover Effect of the US-China Trade War on Taiwan's Economy* -- Abstract -- 1 Introduction -- 2 Methodology.

2.1 Recursive Dynamic Framework -- 2.2 Closure -- 2.3 Trade Shocks and Empirical Works -- 3 Simulation Results -- 3.1 Sectoral Shifts -- 3.2 Some Qualifications of the Simulation Results -- 4 Trade Similarity Index and Market Share -- 5 Policy Implications -- 6 Summary and Conclusions -- References -- Tariff Schedules of China Retaliations and Similarity Indexes in China's Market -- INDEX.

Advances in Pacific Basin Business, Economics, and Financeis an annual publication designed to focus on interdisciplinary research in finance, economics, accounting and management among Pacific Rim countries.

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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.