Advances in Quantitative Analysis of Finance and Accounting: Volume 7

is an annual publication designed to disseminate developments in the quantitative

analysis of finance and accounting. The publication is a forum for statistical and

quantitative analyses of issues in finance and accounting as well as applications of

quantitative methods to problems in financial management, financial accounting,

and business management. The objective is to promote interaction between

academic research in finance and accounting and applied research in the financial

community and the accounting profession.

The papers in this volume cover a wide range of topics including corporate

finance and debt management, earnings management, equity market, auditing,

option pricing theory, and interest rate theory.

In this volume there are eleven chapters, five of them are corporate finance

and debt management: 1. Liquidity and Adverse Selection: Evidence from the

Five-or-Fewer Rule Change; 2. Changing Business Environment and the Value

of Relevance of Accounting Information; 3. Pricing Risky Securities in Hidden

Markov-Modulated Poisson Processes; 4. An Empirical Assessment of Alternative

Dividend Expectation Models; 5. Quantitative Market Risk Disclosure, Bond

Default Risk and The Cost of Debt: Why Value At Risk? There are two of the other

six chapters which cover interest rate theory: 1. Positive Interest Rates and Yields:

Additional Serious Considerations; 2. Collapse of Dimensionality in the Interest

Rate Term Structure.

The remaining four chapters cover financial analysts earnings forecasts, equity

market, auditing, and option pricing theory. These four papers are: 1. Investors’

Apparent Under-weighting of Financial Analysts’ Earnings Forecasts: The Role

of Share Price Scaling and Omitted Risk Factors; 2. Predicting Stock Price by

Applying the Residual Income Model and Bayesian Statistics; 3. Intertemporal

Associations Between Non-Audit Services and Auditors’ Tendency to Allow

Discretionary Accruals; 4. Put Option Portfolio Insurance vs. Asset Allocation.