PART V: Index

SUBJECT INDEX

A ABC Bond Corporation, 657-658 Abnormal return, 3, 78 Absolute cost advantage, 3 Absolute priority of claims, 3 Absolute priority rule (APR), 3--4 Absolute purchasing power parity, 4 Accelerated cost recovery system (ACRS), 4 Accelerated depreciation, 4 Account activity, 4 Account analysis, 4 Account executive, 4 Account maintenance, 4 Accounting analytic, 4 Accounting beta, 4-5 Accounting break-even, 5 Accounting earnings, 5, 101 Accounting income, 5 Accounting insolvency, 5 Accounting liquidity, 5 Accounting rate of return (ARR), 5-6 Accounting scandals, 643-648 Accounting, relationship to finance, 6 Accounting-based beta forecasting, 6 Accounting-based performance measures, 6 Accounts payable, 6 Accounts receivable, 6, 397-398 Accounts receivable financing, 6 Accounts receivable turnover, 7, 20 Accreting swap, 7 Accrual, 7 Accrual bond, 7 Accrual swap, 7 Accrued interest, 7 Accumulated benefit obligation (ABO), 7 Accumulation phase, 7 Acid-test ratio, 7, 168, 224 Acquisition, 8 Active bond portfolio management, 8 Active management, 8 Active portfolio, 8, 13 Activity charge, 8 Activity ratios, 8 Acts of bankruptcy, 9 Additions to net working capital, 9 Add-on interest, 9 Add-on rate, 9-10 Adjustable-rate mortgage (ARM), 10, 19 Adjusted beta, 10

Adjusted forecast, 10 Adjusted Jensen Alpha, 470--475 Adjusted Present Value (APV) model, 10 Adjusted Price Value (APV) model (Can't find) ADR, 10, 14 Advance, 10 Advance Commitment, 10 Adverse selection, 544, 634 Affiliate, 10 Affine Jump-Diffusion Model, 681-682 Affinity card, 10 After-acquired clause, 10-11 Aftermarket, 11 After-tax real return, 11 After-tax salvage value, 11 Agency Bond, 11 Agency costs, 11-12 Agency costs, across national borders, 12 Agency problem, 12 Agency securities, 12 Agency theory, 12, 544-545 Agent-based models, 649-654 Agents, 12, 651-652 Aggregation, 13 Aging accounts receivable, 13 Aging schedule of accounts receivable, 13 AU-in-cost, 13 Allocational efficiency, 13 Allowance for loan and lease losses, 13 Alpha, 13, 384 Alternative Minimum Tax (AMT), 14 American Depository Receipt (ADR), 10, 14 American option, 14, 34, 109 Amortization, 14, 168, 200 Amortization schedule for a fixed-rate mortgage, 14 Amortize, 14 Amortizing Swap, 15 Angels, 15, 115 Announcement date, 15 Announcement effect, 15 Annual effective yield, 15, 102 Annual percentage rate (APR), 15, 190 Annualized holding-period return, 15 Annuity, 15-16, 123, 283 Annuity due, 16 Annuity factor, 16 Annuity in advance, 16 Annuity in arrears, 16 Anticipated income theory, 17

818

Antitakeover, 449, 451-453 Antithetic variate method, 17 Applied research, 17 Appraisal ratio, 17 Appraisal rights, 17 Appreciation, 17 Appropriation phase of capital budgeting,

17-18 Arbitrage, 18-19, 74, 224, 235, 278 Arbitrage condition, 18 Arbitrage pricing model, 364, 371 Arbitrage Pricing Theory (APT), 18-19, 460--461 Arbitrageur, 19 ARCH/GARCH Jump-Diffusion Model, 685-687 Arithmetic Average, 19 Arithmetic mean, 19 ARM, 10, 19 Arrears, 20 Artificial intelligence, 649-654 Asian option, 20 Asian tail, 20 Ask price, 20, 194 Asset allocation decision, 20 Asset management ratios, 20-21 Asset market approach, 592-593 Asset pricing, 597-598 Asset pricing models, 364-372 Asset sensitive, 21 Asset swap, 21, 336-337 Asset turnover (ATO), 21 Asset-backed debt securities (ABS), 21-22 Asset-backed security, 22 Asset-based financing, 22 Asset-liability management, 22 Asset-or-nothing call, 22 Asset-or-nothing option, 22 Assets, 22, 79, 99, 119, 123 Assets requirements, 22 Assignment, 22 Assumable mortgage, 22 Asymmetric butterfly spread, 22 Asymmetric information, 251 As-you-like-it option, 22 At the money, 22 Auction market, 22 Audit committee, 643-648 Audit, or control, phase of capital budgeting process,

22-23 Audits of project cash flow estimated, 23-24 Autocorrelation, 24, 178 Autocorrelation [Serial correlation], 24 Automated Clearing House system (ACH), 24 Automated clearinghouse, 24 Automated loan machine, 24

SUBJECT INDEX

Automated teller machines (ATM), 24-25 Autoregressive Jump Process Model, 683-684 Availability float, 25 Average accounting return (AAR), 25 Average annual yield, 25 Average collection period, 25 Average cost of capital, 25 Average daily sales, 25 Average exposure, 25 Average price call option, 25 Average price put option, 25-26 Average sales price, 555 Average shortfall, 26 Average Strike Option, 26 Average tax rate, 26

B Back Testing, 27, 500 Back-to-hack transaction, 27 Backward equation, 27 Backwardation, 27 Backwards induction, 27 Bad debts, 27 Balance inquiry, 27 Balance sheet, 27, 65 Balanced funds, 28 Black, 676, 678 (Spelling corrected) Balloon loan, 28 Balloon payment, 28 Bank discount yield, 28 Bank drafts, 28 Bank holding company, 28, 194 Bank of Japan Financial Network System, 28 Bank regulations, 307 Bank returns, 744 Bank runs, 299-306 Bank supervision, 299-306 Bank-discount interest, 28-29 Banker's acceptance, 29 Bankers bank, 29 Banking crisis, 299-306 Banking instability, 299-306 Banking laws, 307-312 Bankrupt, 29 Bankruptcy, 9, 29-30 Bankruptcy costs, 29-30 Banks,21,28-29,32, 34,48,53-54,66, 72,116,146,163,175,

186, 191, 193, 232, 238, 279 Barbell, 30 Bargain-purchase-price option, 30 Barrier option, 30 Barriers, 275 Base case, 30

Base rate, 30 Basic IRR rule, 30 Basic research, 30 Basic swap, 30 Basis, 31, 37, 48, 54 Basis Point, 31 Basis risk, 31 Basis swap, 31 Basket Credit Default Swap, 31 Basket default swaps, 341-342 Basket Option, 31 Baumol's economic order quantity model, 31-32 Bear CD, 32 Bear Spread, 32 Bearer bond, 32 Benchmark, 32,617-618 Benchmark analysis, 32 Benchmark error, 32 Benchmark model, 405 Benchmark portfolio, 36, 114, 384 Benchmark rate, 32 Beneficiary, 32, 145 Benefit/cost ratio, 32 Bermudan Option, 32 Bernoulli Jump Process, 678-679 Best efforts offering, 33 Best-efforts underwriting, 33 Beta, 33-34, 129, 369-370 Beta or Beta Coefficient, 33-34, 129, 369-370 Beta pricing model, 369-370 Bid, 34 Bid price, 34 Bid-ask spread, 34 Bidder, 34 Bid-offer spread, 34 Bid-to-cover ratio, 362 BIF, 34 Bill of lading, 34 Binary option, 34 Binomial option-pricing model, 34 Binomial process, 34 Binomial tree, 34 Bivariate normal distribution, 34 Black's Model (Formula), 34--35 Black-Scholes formula, 35, 197 Black-Scholes Model, 501, 507-508 Black-Scholes option pricing model, 35-36 Blank check, 36 Blanket lien, 36 Blanket mortgage, 36 Block house, 36 Block sale, 36 Block transactions, 36 Board Broker, 36

SUBJECT INDEX

Board of directors, 36 Board of Governors of the Federal Reserve System,

36 Bogey, 36

819

Bond, 36--38,44, 54, 59, 65,69-70,73, 83, 105,108, 117, 122, 125-126, 131, 133, 138-139, 145, 147, 155, 158, 171, 185, 186, 192,200,211, 221-222,228,233,242,245,254, 263-264, 272, 277, 293, 295, 314--316

Bond broker, 36 Bond equivalent yield of the T-bill, 37 Bond fund, 37 Bond Option, 37 Bond price volatility, 415 Bond ratings, 37-38 Bond Valuation, 38 Bond Yield, 38 Bond-equivalent basis, 37 Book cash, 38 Book value, 38-39 Book value equity, 38 Book value per share, 39 Bootstrapping, 39 Borrow, 39 Borrowing constraints, 596 Borrowing portfolio, 39 Bounce a check, 39 Boundary condition, 39 Bounded rationality, 649 Box spread, 39 Branch banking, 39 Break point, 39--40 Break-even analysis, 40, 131 Break-even point, 40 Brennan and Schwartz two factor model, 506 Bridge loan, 40 Broker, 36, 40, 89, 125, 128 Brokered deposit, 40 Brokered market, 40 Brownian motion, 40, 132 Bubble theory (of speculative markets), 40 Budget deficit, 40 Bulge bracket firms, 40 Bull CD, 41 Bull Spread, 41 Bullet loan, 41 Bullish, bearish, 41 Bundling, unbundling, 41 Burden, 41, 189, Business cycle, 41--42 Business failure, 42 Business risk, 42 Business strategy matrix, 42 Butterfly spread, 22, 42 Buying the index, 42

820 SUBJECT INDEX

c Calendar Spread, 43 Calibration, 43 Call,43-44, 74, 84,171,173,220,222,249,291,623-629 Call auctions, 623-629, 638 Call deferment periods, 43 Call loan, 43 Call money rate, 43 Call option, 43 Call premium, 43 Call price of a bond, 43 Call protected, 43 Call protection, 43 Call provision, 43 Call risk, 44 Callable, 44 Callable bonds, 44 Call-loan money rate, 44 CAMELS, 44 Cancelable Swap, 44 Cannibalization, 44 Cap, 44, 150 Cap Rate, 44 Capital, 9, 17, 44--47, 242, 271, 285, 290, 393--404 Capital allocation decision, 45 Capital allocation line (CAL), 45 Capital Asset Pricing Model, 45, 153-154, 366-367, 459--460 Capital budgeting, 45, 207 Capital flow, 705 Capital gains, 45 Capital lease, 45--46 Capital market equilibrium, 724--727 Capital market line, 46 Capital market securities, 46 Capital markets, 46 Capital rationing, 46 Capital structure, 46--47, 63 Capital structure ratios, 46--4 7 Capital surplus, 47 Capital-labor ratio, 47 Caplets, 47 CAPM, 45, 153-154, 366-367, 459--460 CAPM Model, 45, 153-154, 366-367, 459--460 Capped option, 48 Captive finance company, 48 Car, 48 Card bank, 48 Cardinal utility, 48 Carry, 48 Carry market, 48 Carrying costs, 48 Carrying value, 48 CARs, 48 Carve outs, 48

Cash basis, 48 Cash break-even, 49 Cash budget, 49 Cash budget process, 49 Cash commodity, 49 Cash concentration systems, 49-50 Cash conversion cycle, 50-51 Cash cow, 51 Cash cycle, 51, 402--403 Cash delivery, 51 Cash disbursement systems, 51 Cash discounts, 52 Cash equivalents, 52 Cash flow after interest and taxes, 52 Cash flow cycle, 401--403 Cash flow from operations, 52 Cash flow mapping, 52 Cash flow matching, 52 Cash flow timeline, 52--53 Cash flows, 53 Cash letter, 53 Cash management, 395-396, 400--401 Cash-market, 53 Cash offer, 53 Cash settlement, 53 Cash transaction, 53 Cash/bond selection, 53 Cash-and-carry, 53, 233 Cashier's check, 53 Cash-or-nothing call, 53 Cashout, 53 Cash-to-cash asset cycle, 53 Cash-to-cash liability cycle, 54 Cash-to-cash working capital cycle, 54 CAT Bond, 54 CD basis, 54 Central bank, 54 Central limit theorem, 54 Certainty effect, 520-521 Certainty equivalent, 54 Certificates of deposit, 54 Certification effect, 54 Certified check, 54 Certified Financial Planner (CFP), 55 Change in net working capital, 55 Changes in fixed assets, 55 Chapter, 55-56 Characteristic line, 56 Charge-off, 56 Charter, 56 Chartered Financial Analyst (CF A), 56 Chartists, 56 Cheapest to deliver, 56 Check kiting, 56

SUBJECT INDEX

Chief financial officer (CFO), 56 Chinese A shares, 435-438 Chinese B shares, 435-438 Chinese wall, 56 Chooser option, 56-57 Class of options, 57 Classic hedge strategy, 57 Classifiers, 649 Clean price of bond, 57 Clearing, 57 Clearing margin, 57 Clearinghouse, 57-58 Clearinghouse association, 57 Clearinghouse Automated Payment System (CHAPS), 57 Clearinghouse Interbank Payment System (CHIPS), 57-58 Clientele effect, 58 Closed-end (mutual) fund, 58 Clustering, 439 CMO, 58 Coefficient of determination, 58 Coefficient of variation, 58 Co-evolution, 649 Collar, 59, 150, 295 Collar width, 59 Collateral, 59 Collateral trust bond, 59 Collateralized bonds, 59 Collateralized Debt Obligation, 59 Collateralized mortgage obligation (CMO), 59 Collected balances, 59 Collection float, 59, 124 Collection policy, 59 Collective bargaining, 715-722 Collect-on-delivery option, 59 Colletaralized Bond Obligation (CBO), 655-659 Combination, 59, 65, 109, 141 Combined leverage, 59-60 Commercial draft, 60 Commercial loan theory, 60 Commercial paper, 60-61 Commission broker, 61 Commitment, 10, 61 Commitment fee, 61 Committed line of credit, 61 Commodity Futures Trading Commission, 61 Commodity spread, 61 Commodity swap, 61 Commodity-indexed bonds, 61 Common stock, 61 Common stock equivalents, 61-62 Common-base-year financial statements, 62 Common-size financial statements, 62 Comparative static analysis for option pricing model, 62 Comparison, 62, 617-618

Comparison universe, 62 Compensating balances, 62 Competitive bidders, 359-363 Competitive bidding issue, 62-63 Competitive environment, 634--636 Competitive offer, 63 Complete portfolio, 63 Complex adaptive system, 649 Complex capital structure, 63 Component analysis, 63 Component VaR, 491-500 Composite-based beta forecasting, 63 Composition, 63 Compound interest, 63 Compound option, 64, 562 Compound value, 64 Compounding, 64, 67 Compounding frequency, 64 Compounding swap, 64 Computer simulation, 649 Concave function, 64 Concentration banking, 64 Concentration.risk, 64 Conditional alpha, 384--391 Conditional beta, 384--391 Conditional expectations, 376 Conditional Jump Dynamics, 684--685 Conditional performance, 405-413 Conditional Probability Analysis (CPA), 483-484 Conditional sales contract, 64 Conditional Value at Risk (C-VaR), 64--65 Confidence index, 65 Configura! weights, 520 Confirmation, 65 Conflict between bondholders and stockholders, 65 Conflicts of interest, 604--609 Conglomerate acquisition, 65 Conglomerate combination, 65 Conservatism, 700 Conservator, 65 Consol, 65 Consolidated, 65, 638, 689 Consolidated balance sheet, 65 Consolidated markets, 638, 689 Consolidation, 66 Constant dividend growth model, 66 Constant elasticity variance (CEV) model, 66 Constant growth model, 66 Constant maturity swap (CM swap), 66 Constant maturity treasury swap (CMT swap), 66 Constructive sale, 66 Consumer bank, 66 Consumer credit, 66 Consumer price index, 359-363

821

822

Consumption, 364--372 Consumption asset, 66 Contingent claim, 66 Contingent immunization, 67, 419 Contingent liabilities, 67 Contingent pension liability, 67 Continuous compounding, 67 Continuous discounting, 67 Continuous markets, 638 Continuous trading, 623-642 Continuously compounded interest rate, 67 Contract amount, 67 Contract devices, 609 Contract interest rate, 67 Contract month, 67 Contract specification, 67 Contracting costs, 67, 276 Contractual efficiency, 447-455 Contribution margin, 67-68 Control variate method, 68 Controller, 68 Convenience yield, 68 Conventional, 68, 123, 617-618 Conventional mortgage, 68 Convergence property, 68 Conversion, 68, 126 Conversion factor, 68 Conversion fee, 68 Conversion premium, 68 Conversion price,· 68 Conversion ratio, 68 Conversion value, 68 Convertible bonds, 69, 342-343 Convertible debt, 69 Convertible risk, 69 Convertible securities, 69 Convex, 70 Convexity, 70, 102, 417-418 Convexity adjustment, 70 Copula function, 70 Core capital, 70 Core deposits, 70 Corporate bonds, 70, 422-423, 658-659 Corporate charter, 44 Corporate failure, 477-488 Corporate governance, 646-648 Corporate law, 447 Corporate leverage, 70 Corporate loans, 428, 430-431 Corporations, 70-71, 604--609 Correlation, 71-72 Correlation coefficient, 71-72 Correspondent bank, 72 Cost of capital, 25, 288

SUBJECT INDEX

Cost of carry, 72 Cost of common equity, 72 Cost of debt, 72 Cost of equity capital, 72 Cotango, 72-73 Counterparties, 73 Country risk, 73 Country selection, 73 Coupon, 73 Coupon bond, 73, 162 Coupon collateralization, 314 Coupon interest rate (Coupon rate), 73, 295 Coupon pre-funded bond, 314 Coupon-reinvestment risk, 73 Covariance, 73, 246 Covenants, 73-74, 232 Coverage ratios, 74 Covered call, 74 Covered interest arbitrage, 74 Covered write, 74 Crack spread, 74 Credit bureau, 74 Credit check, 74 Credit default swaps, 336 Credit department, 74 Credit derivatives, 74--75, 336-343 Credit enhancement, 75, 658 Credit exposure, 75 Credit file, 75 Credit instrument, 75 Credit limit, 75 Credit period, 75 Credit quality, 75 Credit rating, 75 Credit ratings transition matrix, 75 Credit rationing, 705-713 Credit risk, 75-76 Credit scoring, 76 Credit scoring model, 76 Credit sensitive notes, 76 Credit spread, 428 Credit spread option, 76, 340-341 Credit union, 76 Credit Value at Risk, 76 Credit-linked notes (CLNs), 76-77 CreditMetrics model, 77 Creditor, 77 Creditors' committee, 77 Critical mass order flow, 623 Critical value, 570-571 Cross hedge, 77 Cross holdings, 77 Cross rate, 77 Cross-border, 664--674

Cross-sectional analysis, 77 Crown jewels, 77-78 Crush spread, 78 Cum dividend, 78 Cumulative abnormal return (CAR), 78 Cumulative average residual (CAR), 78 Cumulative distribution function, 78 Cumulative dividend, 78 Cumulative normal distribution function, 78 Cumulative probability, 78 Cumulative prospect theory, 520-537 Cumulative voting, 78-79 Currency, 79 Currency crisis, 744 Currency risk, 79, 324-334 Currency selection, 79 Currency swap, 79 Currency-translated index, 79 Current account, 79 Current account deficit, 610--616 Current asset, 79 Current exposure, 79 Current liabilities, 79-80 Current ratio, 80 Current yield, 80 Customer information file, 80 Customer profitability analysis, 80 Cyclical liquidity needs, 80

D Date of payment, 81 Date of record, 81 Dates convention, 81 Day count, 81 Day order, 81 Day trade, 81 Day trading center, 464, 466 Daylight overdrafts, 81 Days in receivables, 81 Days sales outstanding, 81 Days' receivables, 81 De facto, 81 De novo branch, 81 Dealer market, 81 Dealer reserve, 81 Debenture, 82, 265 Debit card, 82 Debt, 82, 163, 237, 265, 280, 744-749 Debt capacity, 82 Debt displacement, 82 Debt ratio, 82 Debt service, 82 Debtor-in-possession financing, 82

SUBJECT INDEX

Debt-to-assets ratio, 82 Debt-to-equity ratio, 82 Decimal trading, 439-441 Decimalization, 439-441 Decision support systems, 464 Decision trees, 82 Decision weights, 520-538 Declaration date, 82, 91 Dedicated capital, 82 Dedication strategy, 82-83 Deed of trust, 83 Deep-discount bond, 83 Defalcation, 83 Default, 83, 171 Default correlation, 83 Default premium, 83 Default probability (DD), 83 Default probability density, 83 Default risk, 83 Default swap, 31, 83, 337-339, 341-342 Defeasance, 83-84 Deferred annuities, 84 Deferred availability credit items, 84 Deferred call, 84 Deferred down rebate option, 84 Deferred nominal life annuity, 84 Deferred payment option, 84 Deferred rebate option, 84 Deferred swap, 84 Deferred taxes, 84 Deferred up rebate option, 84 Deferred-strike options, 84 Deficit, 40, 85 Defined benefit plans, 85 Defined contribution plans, 85 Degree of combined leverage (DCL), 85 Degree of financial leverage (DFL), 85-86 Degree of operating leverage (DOL), 86 Delaware, 447-455 Delinquent account, 86 Deliverable instrument, 86 Delivery, 86, 172 Delivery date, 86 Delivery point, 86 Delivery price, 86 Delta, 87 Delta neutral portfolio, 87 Delta-gamma approximation, 87 Delta-hedging, 87 Delta-normal methodology, 493-497 Demand deposit, 87 Demand shock, 87 Denomination, 87 Deposit insurance, 299-306

823

824

Depositor Discipline, 299-300 Depository transfer check (DTC), 87 Depreciation, 4, 87, 93, 265 Depreciation tax shield, 87 Derivative, 74-75, 87, 214, 288, 336-343 Derivative asset/contingent claim, 87 Derivative security, 87, 214 Derman and Toy model, 501, 510 Detachable warrant, 88 Devaluation trap, 729-742 Development projects, 88 DI system, 88 Diagonal spread, 88 Differential equation, 88, 159, 260 Diffusion process, 88, 676--677 Digital option, 88 Dilution, 88, 99 Direct agency costs, 88 Direct lease, 88 Direct loan, 88 Direct quote, 88 Direct search market, 89 Director liability, 447, 452-453 Dirty price, 89 Disbursing float, 124 Disclosure, 604 Discount bonds, 89 Discount broker, 89 Discount factor, 89 Discount function, 89 Discount instrument, 89 Discount or Premium on a Currency, 89 Discount payback period rule, 89 Discount rate, 89-90 Discount rate for discount instrument, 90 Discount rates, 376 Discount window, 90 Discounted cash-flow valuation theory, 90 Discounted dividend model (DDM), 90 Discounting, 67, 90 Discrete state space, 596 Discretionary account, 90 Discriminant analysis (DA), 477, 481-483 Distress, 119-120 Distressing exchange, 90 Distribution, 90, 128, 144, 170, 192, 208, 256, 258 Divergent mappings, 591-594 Diversifiable risk, 90 Diversification, 90-91, 102, 214, 605, 666 Diversified mutual funds, 724 Divestitures, 91 Dividend, 78, 91-92, 140, 167 Dividend declaration date, 91 Dividend growth model, 91

SUBJECT INDEX

Dividend irrelevance, 91 Dividend payout ratio, 91 Dividend policy, 91-92, 256 Dividend yield, 92 Dividend-like yield, 555, 571, 577-578 Dividends per share, 92 DMAC system, 92 Dollar-weighted return, 92 Dominance principle, 92 DONCH system, 92 Double taxation, 92-93 Double-declining balance depreciation, 93 Doubling option, 93 Dow Jones Industrial Average Index (DJIA), 93-94 Dow theory, 94-95 Down-and-in option, 95 Down-and-out option, 95 Downgrade trigger, 95 Draft, 95, 199, 273 DRAM chipmaker, 555-580 DRAM foundry, 555-580 Drift, 95 Drift rate, 95 Du Pont analysis, 95 Du Pont system of financial control, 95 Dual banking system, 95-96 Dual funds, 96 Dumbbell strategy, 96 Durable goods, 364-372 Duration, 96--97, 181, 316, 415-425 Duration gap (DURGAP), 97,423-424 Duration matching, 97 Duration measure, 97 Dutch auction, 252 Dyl model, 97 Dynamic financial ratio analysis, 97-98 Dynamic option replication, 98

E EAC method, 99 EAFE index, 99, 109 Early exercise, 99 Early withdrawal penalty, 99 Earning assets, 99 Earnings credit (Earnings credit rate), 99 Earnings dilution, 99 Earnings per share, 99, 128 Earnings retention ratio, 99 Earnings yield, 99 EBIT, 99 EBIT /EPS analysis, 99-100 EBITDA, 100 Econometric model, 100

Economic assumptions, 100 Economic earnings, 100 Economic income, 100-101 Economic value added (EVA), 101 Economics, relationship to finance, 101 Economies of scale, 101, 605 Economies of scale and economies of scope, 10 1 ECU, 101, 108 ECU swap, 101 Edge Act Corporation, 101 Effective annual interest rate, 101-102 Effective annual rate (EAR), 102 Effective annual yield, 15, 102 Effective convexity, 102 Effective duration, 102 Effective exchange rates, 715-722 Efficiency, 13, 102, 292, 459, 542-544, 585-589 Efficiency ratio, 102 Efficient diversification, 102 Efficient frontier, 102 Efficient market, 102-103, 245, 264, 287-288,

585-589 Efficient market hypothesis (EMH), 103 Efficient portfolio, 103 Efficient set, 103 Elasticity, 103-104, 197 Elasticity (of an option), 104 Electronic trading, 104, 634--636 Electronic transfer, 104 Embedding option, 104 Empirical research, 104, 306 Employee stock ownership plans, I 04 EMU, 104 End-of-year convention, 104 Endowment funds, 104 Enhancement, 75, 104, 658 Enterprise value, 104 Equilibrium model, 105, 501, 505-506 Equilibrium rate of interest, I 05 Equipment obligation bonds, 105 Equipment trust certificate, 105 Equity, 105, 163, 233, 262, 269, 290 Equity kicker, 105 Equity method, 105 Equity multiplier, 105 Equity premiums, 344--355 Equity prices, 744--748 Equity swap, 105 Equity-linked forward, 105 Equivalent annual NPV (EANPV), 105-107 Equivalent loan, 107 Equivalent taxable yield, 107 ERISA, 107 Erosion, 107

SUBJECT INDEX

Errors of estimation, 457 Escrow account, 314--322 Estimation risk, 107 Euro, 108 Eurobanks, 108 Eurobonds, 108 Eurocurrency, 108 Eurodollar bonds, 108 Eurodollar CD, 108 Eurodollar futures contract, 108 Eurodollar interest rate, 108 Eurodollars, 108 Euroequity, 108 European Currency Unit (ECU), 101, 108 European monetary unit (EMC), 109 European option, 109 European, Australian, Far East (EAFE) index, 109 Evaluation, 384--391, 617-622 Event studies, 109 Event study, 109 (Same as Event studies) Excess return, 109 Exchange option, 109 Exchange rate, 109, 127, 255, 591-594 Exchange rate risk, 109, 324--334 Exchange rates (Duplicate) Exchange Ratio for business combination, 109-110 Exchange specialist, 634--636 Exchange-rate risk (Duplicate) Exchanges, 110, 198, 261 Exclusionary self-tender, 110 Ex-dividend date, 110 Ex-dividend or Ex-rights, 110

825

Executive Meeting of East Asia and Pacific (EMEAP) Central Banks, 655--659

Executive stock options, Ill Executor, 111 Exercise, Ill Exercise price, 111, 577 Exercise style, 111 Exercising the option, 111 Exogenous and Endogenous Prepayments, 729 Exotic option, Ill Expectations hypothesis, 111 Expected return, 111-112, 209 Expected return-beta relationship, 112 Expected utility, 520, 524 Expected value of a variable, 112 Expiration date, 112 Expiration-date risk, 112 Explicit finite difference method, 112 Exposure, 112, 156, 169, 174,204 Extendable notes, 112 Extendable swap, 113 Extension, 113

826 SUBJECT INDEX

Extension risk, 113 Extinguish, 113

F Face value, 87, 114, 193,200,214, 316, 322t Facility, 24, 130 Facility fee, 114 Factor, 17, 35, 109, 114, 174 Factor analysis, 114, 328 Factor model, 114, 252, 371-372 Factor portfolio, 114, 461 Facto ring, 114-115 Failure prediction, 477, 488 Fair game, 115 Fair game model, 115, 265 Fair market value, 115 Fair value, 115,467 Fallen angels, 115 Fannie Mae, 115, 126, 516 FASB Statement, 7, 115-116,258 Feasible set, 116, 196 Fed Wire, 116 Federal agency securities, 116 Federal Deposit Insurance Corporation (FDIC), 116, 311 Federal funds, 116 Federal Reserve Bank, 116 Federal Reserve Board, 116, 183 FHA, 117, 516 FHLMC, 117, 516--517 Fidelity bond, 117 Fiduciary, 117 Field warehouse financing, 117 Field warehousing, 117 FIFO, 117 Filter rule, 117, 587 Finance, 117-118 Finance charge, 118 Finance company, 48, 114, 118 Financial Accounting Standards Board (F ASB), 118, 270 Financial analyst, 19, 56, 118-119, 140, 191 Financial asset returns, 376 Financial assets, 119, 226, 376 Financial break-even, 119 Financial distress, 119-120 Financial distress costs, 120 Financial engineering, 120 Financial futures contract, 120 Financial holding companies, 308 Financial innovation, 120, 599 Financial institution management, 415 Financial intermediaries, 120, 154, 659 Financial lease, 45, 120 Financial leverage, 85, 120-121

Financial management Analysis, 120 Financial market, 46, 108, 175,206,247, 317,607, 649-651 Financial modernization, 307 Financial planning, 120--121, 190, 205, 254 Financial requirements, 121 Financial risk, 85, 121, 183 Financial services holding company, 121 Financial systems, 281 Financial Z score, 76 Finite difference method, 121, 143-144 Firm, 122 Firm commitment offerings, 122 Firm commitment underwriting, 12i Firm-specific risk, 122, 174, 192 First Asian Bond Fund (ABF-1), 656 First mortgage bond, 122-123 First-pass regression, 123 Fiscal policy, 123 Fisher effect, 123, 153, 191 Fisher Equation, 346 Fisherian relation, 123 Fixed annuities, 123 Fixed asset, 5, 8, 21, 55, 123 Fixed asset turnover ratio, 21, 123 Fixed costs, 123, 196, 287 Fixed income securities, 12, 418 Fixed rate, 14, 79, 123, 187 Fixed-charge coverage ratio, 123 Fixed-dollar obligations, 123 Fixed-income security, 123 Flat benefit formula, 124 Flat volatility, 124 Flex option, 124 Flight to quality, 124 Float, 25, 59, 89, 124-125, 148, 155, 172, 189,210,216 Floater, 125 Floating lien, 125, 278 Floating rate, 125, 151, 284 Floating-rate bond, 125, 267 Floating-rate note (FRN), 125 Floor, 117, 125-126 Floor broker, 125 Floor plan loans, 125 Floor Rate, 126 Floor trader, 126, 639 Floor-Ceiling Agreement, 126 Floorlet, 126 Flotation costs, 126 Flow of funds, 396-402 Flower bond, 126 FNMA, 115, 126, 516 Forced conversion, 126 Foreclosure, 126 Foreign bonds, 126

Foreign capital inflow, 611-612 Foreign currency futures, 126 Foreign currency option, 126 Foreign exchange, 108, 127, 156 Foreign exchange market, 127 Foreign exchange reserves, 614, 656 Foreign exchange risk, 127 Foreign exchange swap, 127 Foreign tax credit, 127, 191 Forward contract, 86, 105, 127, 193, 211, 225, 269 Forward curve, 27, 127-128 Forward exchange rate, 127, 150 Forward interest rate, 127, 144 Forward parity, 127-128, 596 Forward premium, 128, 354 Forward price, 48, 128, 211 Forward rate, 89, 127-128 Forward rate agreement (FRA), 128 Forward risk-neutral world, 128 Forward start option, 128 Forward strip, 128 Forward swap, 128 Forward trade, 128 Fourth market, 128 Fractional trading, 441 Fragmented, 640, 695 Fragmented markets, 695 Freddie Mac, 117 Free cash flow, 128, 399, 545-546 Frequency distribution, 128, 192 Frictions, 596-598 Full-service broker, 128 Fully diluted earnings per share, 128 Fund performance, 405-413 Fundamental analysis, 4, 128, 200 Fundamental betas, 129 Funds flows, 129 Future value, 129 Futures contract, 129 Futures exchange, 130 Futures Market, 130 Futures options, 130 Futures overlay, 130 Futures Price, 31, 130

G GAAP, 118, 131 Gamma, 87, 131, 497 Gamma-neutral portfolio, 131 GAP, 97, 131, 163, 178, 192, Gap option, 131 GARCH Model, 131, 684, 686 Garnishment, 131

SUBJECT INDEX

Gauss quadrature method, 566, 580 Gauss-Hermite Jump Process, 679 General break -even analysis, 631 General cash offer, 131 General obligation bonds, 131 General partnership, 131, 201 Generalized Method of Moments, 328, 408 Generalized wiener process, 132 Generally Accepted Accounting Principles, 132 Genetic algorithms, 649 Genetic programming, 652 Gentry-De La Garza model, 132 Geometric Brownian motion, 132, 684

827

Geometric mean (also called Geometric average), 132-133 Gibson relation, 133 Gilts, 133 Ginnie Mae, 133, 516 Glass-Steagall, 133 Glass-Steagall Act, 133, 307 Global bonds, 133 Global minimum variance portfolio, 134, 372 Globalization, 24, 134, 541 GNMA, 11, 115, 134,516 Going private, 134, 162 Going public, 134 Going-private transactions, 135 Gold standard, 135 Golden parachute, 135 Goods market approach, 591-592 Goodwill, 135, 220, 269, 549 Gordon model, 92, 135-136 Grace period, 136 Gradual information diffusion, 703 Grandfather clause, 136 Greeks, 136 Green Shoe provisions, 136 Greenmail, 136 Gross domestic product (GDP), 136-137 Growing perpetuity, 137 Growth funds, 137, 145, 412 Growth opportunity, 137 Guarantee, 75, 125-126, 137, 161, 205 Guaranteed insurance contract, 137 Guaranteed investment contract (GIC), 137 Guardian, 137

H Habit persistence, 368 Haircut, 154 Hazard Model, 477 Hazard rate, 138, 735 HDD, 138 Hedge, 57, 138

828

Hedge fund, 138, 389-390 Hedge ratio (for an option), 138 Hedge ratio (for futures), 138 Hedger, 112, 138, 224 Hedging, 10, 87, 98, 138 Hedging demands, 138 Hedging interest rate risk, 10 Hedging risk, 324 Heston model, 138 Heterogeneity, 366, 730 Heterogeneous agents, 649 Heterogeneous information, 593 Highly leveraged transaction (HLT), 139 High-yield bonds, 139, 422 Historical cost, 38, 139 Historical Simulation, 139, 497, 499 Historical volatility, 139 Ho and Lee model, 501 Holder-of-record date, 139 Holding company, 28, 121, 139, 185 Holding period, 15, 139, 419 Holding-period rate of return, 139-140 Holding-period yield, 139 Holiday Calendar, 140 Home banking, 140 Home currency approach, 140 Home debit, 140 Home equity loan, 140 Homemade dividends, 140 Homemade leverage, 140, 182 Homogeneous expectations, 140 Horizon analysis, 141 Horizontal acquisition, 141, 285 Horizontal combination, 141 Horizontal Spread, 141 Hot money, 141 Housing Devaluation Effect, 741 Howard-D' Antonio strategy, 141 Hull and White model, 501 Hung convertibles, 141 Hybrid market, 623 Hybrid security, 141 Hypothecation, 141 Hypothesis testing, 142

I Idiosyncratic risk, 143 Illiquidity, 143 IMF bailout, 744--749 Immediacy, 627 Immunization, 52, 67, 143, 210, 418-419 Immunize, 143, 416 Immunized, 143, 416

SUBJECT INDEX

Impairment of capital rule, 143 Implicit agency costs, 11-12, 143 Implicit contract, 143 Implicit finite difference method, 143 Implied distribution, 144 Implied forward rate, 144 Implied Repo Rate, 144 Implied tree, 144 Implied variance (implied volatility), 144 Implied volatility, 144, 286 In the money, 22, 144, 154, 183, 286 Incentives, 104, 123 Inception profit, 144 Income beneficiary, 145 Income bond, 145 Income fund, 145 Income statement, 62, 145 Income-and-growth funds, 145 Incorporation, 448, 451, 454,749 Incremental after-tax operating cash flows, 145-146 Incremental cash flows, 146 Indentures, 44, 146, 278 Independent bank, 146 Independent directors, 643--648 Independent projects, 146 Index amortizing swap, 146 Index arbitrage, 146, 218 Index fund, 146 Index futures, 77, 146, 261 Index model, 146, 252 Index of leading indicators, 146 Index option, 146, 261 Index rate, 147 Indexed principal swap, 147 Indifference curve, 54, 147 Indirect loan, 147 Indirect quotes, 147 Individual momentum, 701 Individual retirement account, 147, 237 Industrial momentum, 700-703 Industrial revenue bond (IRB), 146 Inefficient market, 103, 147 Inflation, 123, 145, 147, 151, 277, 334, 359-363 Inflation differential risk, 147 Inflation risk, 237, 360 Inflation risk premium, 359-360 Inflation-escalator clause, 147 Information, 4, 80, 148, 585-589, 607 Information asymmetry, 148, 276, 607 Information technology, 628 Information-content effect, 148

Informed trading costs, 443--445 Ingersoll and Ross model, 501 In-house processing float, 148

SUBJECT INDEX

Initial margin, 148 Initial outlay, 148 Initial public offering, 149, 281, 555 Input list, 149 Inside information, 149, 264 Insider trading, 149 Insolvency, 5, 149, 161, 270-271, 478 Insolvent, 9, 149-150 Installment loan, 150 Instantaneous forward rate, 150 Institutional investors, 155, 256 Instruments, 25, 79, 150, 177, 379, 512, 519 Insurance, 12, 34, 54, 60, 84, 116, 137, 150, 159, 210, 215, 239,

272 Insurance companies, 132, 215 Insurance principle (the law of averages), 150 Interbank loan, 150 Interest correlation, 501 Interest coverage ratio, 150 Interest on interest, 150 Interest rate cap, 47, 150 Interest rate collar, 150 Interest rate derivative, 150 Interest rate floor, 126, 150 Interest rate option, 150 Interest rate parity, 150, 345-346 Interest rate risk, 151, 317,493 Interest rate swap, 7, 15, 151, 193 Interest rates, 24, 143, 151-152, 503 Interest subsidy, 152 lntermarket spread swap, 152 Intermarket Trading System, 689, 692 Intermediaries, 120, 151, 154, 659 Internal audit, 152 Internal financing, 152 Internal growth rate, 152 Internal rate of return, 30, 92, 152-153, 155, 181 International, 126, 133, 153-154, 156, 328, 331, 345-354, 359,

700-703 International asset pricing, 154, 324--325, 328, 331, 334 International capital asset pricing model, 153 International debt crisis, 744--749 International Fisher effect, 153 International momentum, 700-703 International monetary market (IMM), 154 International Rating Agencies, 659 International system risk, 154 Internet, 464--465 lntertemporal asset pricing, 325 Intertemporal capital asset pricing model, 154, 325, 461 Intertemporal marginal rate of substitution, 366 Intertemporal risk, 324--334 Intertemporal substitution, 325, 328 In-the-money-option, 154

Intra-day price volatility, 623 Intrinsic value, 154 Intrinsic value of an option, 154 Inventory, 8,20-21,117,154,196,220 Inventory conversion period, 154, 196 Inventory loan, 117, 154 Inventory turnover ratio, 20-21, 154 Inverted market, 154 Inverted yield curve, 154 Investable balances, 99, 154 Investment asset, 154, 519 Investment bankers, 154 Investment banking, 122, 155 Investment company, 155, 724 Investment Company Act, 724--725 Investment grade bond, 155, 422 Investment of different life, 155 Investment opportunity schedule, 155 Investment performance, 384 Investment portfolio, 30, 155, 296 Investment quality bonds, 155 Investment trigger price, 155 Investments, 155 Invoice, 34, 155 Invoicing float, 124, 155 10, 155 Irrelevance result, 155-156 Irrevocable letter of credit, 156 ISDA (Institutional Swap Dealers Association), 156 IS-LM curves, 705 !so-expected return line, 156 !so-variance ellipse, 156 Issuer exposure, 156 Ito Process, 156

J January effect, 157 Jensen, 157, 471 Jensen Alpha, 470-475 Jensen's inequality, 157 Jensen's measure, 157, 471 Johnson hedge model, 157 Joint probabilities, 157 Joint venture, 157, 573 Judgment, 158, 452 Judgmental credit analysis, 158 Jumbos, 158 Jump Diffusion Process, 676 Jump Diffusion with Conditional Heteroscedasticity,

684--686 Jump-diffusion model, 158 Junior liens, 158 Junk bonds, 158, 265

829

830

K Kappa, 159, 284 Keogh plan, 159 Key-person insurance, 159 Kite, 159 Knock-in option, 159, 338 Knock-out option, 159, 281 Ko1mogorov backward equation, 159 Kurtosis, 159, 183, 497

L Ladder option, 160 Ladder strategy, 160 Lagged reserve accounting, 160 Lagging indicators, 160 Lambda, 160 Latent variables, 376 Lattice, 160, 228, 508, 511, 568 Lattice method, 556, 568-569 Law of one price (LOP), 160 LBO, 134, 160, 162 LDC loans, 745 Le Chatelier Principle, 724--727 Leading economic indicators, 160 Leakage, 160 LEAPS, 160 Learning, 649, 653 Lease, 160, 196, 239-240 Lease rate, 160 Ledger balances, 59, 160 Ledger cash, 38, 161 Legal insolvency, 149, 161 Lega1lending limit, 60, 161 Lender liability, 161 Lending portfolio, 161 Leptokurtosis (fat tails), 161 Lessee, 45, 88, 116, 161 Lessor, 46, 161, 196 Letter of comment, 161 Letter of credit, 75, 156, 161-162 Level-coupon bond, 162 Leverage ratio, 162, 514 Leveraged buyout, 134, 160, 162 Leveraged equity, 163 Leveraged lease, 163, 196 Liabilities, 7, 46, 67, 79, 163, 167-168, 178 Liability management theory, 163 Liability sensitive, 163 LIBID, 163, LIBOR, 66, 163 LIBOR Curve, 163, 339 LIBOR-in-arrears swap, 163 Lien, 6, 36, 163

SUBJECT INDEX

LIFO, 164 Limit move, 164 Limit order, 164 Limited branching, 164 Limited liability, 164 Limited liability company, 71, 164 Limited partnership, 164, 201 Limited-liability instrument, 164 Line of credit, 61, 164, 229 Linear programming approach to portfolio analysis, 165 Linear-optimization model, 165 Lintner's model, 165-166 Lintner's observations, 166 Liquid yield option note, 166 Liquidating dividend, 167, 188 Liquidation, 3, 167, 480, 488 Liquidation value, 167, 674 Liquidity, 5, 7, 80, 163, 168, 241, 512, 605, 630, 696 Liquidity preference hypothesis, 167, 173 Liquidity preference theory, 167 Liquidity premium, 168 Liquidity ratio, 80, 168, 226 Liquidity risk, 168, 176, 215 Load fund, 168 Loan amortization, 9, 14, 168 Loan commitment, 68, 169, 269, 428 Loan contract terms, 428-432 Loan exposure, 169 Loan participation, 169 Loan Pricing Corporation, 428, 432 Loan syndication, 169 Loan-to-value ratio, 169, 737 Locals, 169 Location Risk, 169 Lockbox system, 169 Lock-in options, 169 Lock-up provisions, 170 Lognormal distribution, 170 Lognormal versus normal movements, 502-503 London Interbank Offered Rate (LIBOR), 170, 336 Long, 170 Long forward, 170 Long hedge, 170 Long position, 74, 170 Long run, 170, 289, 395 Long Straddle, 170 Long vertical spread, 41, 170-171 Long-term debt, 171 Long-term securities, 171; 175 Lookback call, 171 Lookback option, 171 Lookback put, 171 Loss given default (LGD), 171, 228 Loss reserve, 171

SUBJECT INDEX 831

Low discrepancy sequence, 171, 224 Lower-of-cost-or market value method, 171 Low-grade bond, 171

M Macaulay duration, 172, 316, 318,416,419--421 Macro exchange rate models, 991 Macroeconomic stabilization, 715 Macroforecasting, 172 Macrohedge, 172 Macrohedging, 423 Mail float, 124, 172 Maintenance margin, 172 Make a market, 172 Make-whole clause, 172 Making delivery, 172 Management risk, 172 Managerial entrenchment, 447 MAPB system, 172-173 Margin, 46, 57, 67, 148, 172-173, 189, 284 Margin call, 173, 284 Margin requirement, 97, 173 Marginal cost of funds, 173 Marginal standard deviation, 173 Marginal statistic, 173 Marginal tax rate, 173 Marked to market, 173, 645 Market anomalies, 173 Market capitalization, 173, 513, 701 Market capitalization rate, 174 Market clearing, 174 Market conversion price, 174 Market corner, 174 Market efficiency, 520, 585-589 Market exposure, 174 Market interest rate, bond, 174 Market maker, 177,634-636,653 Market model, 33, 56, 174, 238, 585-586 Market or systematic risk, firm-specific risk, 174 Market order, 174, 627, 639, 696 Market portfolio, 19, 33, 174, 194, 333, 364, 370, 378 Market price, 37, 58, 115, 174, 176-177,228, 316, 380, 386 Market price of risk, 174, 380, 559, 564 Market quality, 623, 695 Market reaction, 541-542, 551 Market risk, 174-175, 344-355 Market segmentation hypothesis, 175 Market segmentation theory, 175 Market stabilization, 175 Market structure, 632, 638 Market timer, 175 Market timing, 175, 385, 387 Market value, 17, 45, 175-176

Market value added, 175-176 Market value ratios, 176 Marketability, 167, 176, 400, 636 Marketability risk, 176 Marketable securities, 177, 396-397, 399--400 Market-based beta forecasts, 177 Market-book ratio, 177 Market-driven instruments, 174, 177 Marketed claims, 177, 191-192 Market-maker, 20, 177 Market-to-book (M/B) ratio, 177 Market-value-weighed index, 177 Marking to market, 177 Markov process, 178 Markovitz stochastic dominance, 529-531 Markowitz model, 178, 725 Mark-to-market, 178 Mark-to-market swap, 178 Martingale, 178 Matching principle, 403 Maturity, 39, 61, 68 Maturity date, 178 Maturity gap, 178 Maturity premium, 178 Maximum likelihood method, 178 MBS, 178, 512, 517, 729-742 MBS Valuation, 729-742 Mean Reversion, 178-179, 505 Mean variance efficiency, 370, 459-161 Mean-variance analysis, 179 Mean-variance criterion, 179 Measure, 179 Measurement error, 179 Median, 179 Membership or seat on an exchange, 179 Merger, 179, 541-551 Microeconomic risk, 1 79 Microhedge, 179 Microstructure approach, 179, 593 Migration, 180 Migration analysis, 180 Miller-Orr model, 180 Minimum-variance frontier, 180 Minimum-Variance Portfolio, 180, 296, 461 Misclassification Cost Model, 477 Mission statement, 180 Mixed average, 180 Mixed Jump Process, 677 Mode, 180 Modern portfolio theory (MPT), 180 Modified accelerated cost recovery system [MACRS], 4, 181 Modified Duration, 181 Modified internal rate of return, 181-182 Modigliani, 182, 620

832

Modigliani and Miller (M&M) Proposition I, 182-183 Modigliani and Miller (M&M) Proposition II, 183 Moments (of a statistical distribution), 183 Momentum strategy, 701 Monetary Authority of Singapore, 716 Monetary base, 713 Monetary neutrality, 711 Monetary policy, 54, 104 Money market, 120, 183-184, 214 Money market Account, 184 Money market deposit account, 184 Money market mutual fund, 184 Money market securities, 52, 183-184 Money purchase plan, 184 Money spread, 184 Money supply, 184 Monitoring, 500, 648 Monotinicity, 184 Monte Carlo method, 555, 566 Monte Carlo valuation (simulation), 184 Monte-Carlo simulation, 184 Moody's bond rating, 184 Moral hazard, 299, 544 Mortality tables, 184

SUBJECT INDEX

Naked options, 187 Naked position, 187 Naked writing, 187 Nasdaq, 187, 439, 443-445 Nasdaq index, 187 Nash equilibrium, 715, 720 National Wages Council, 716 Negative covenant, 187 Negative pledge clause, 187 Neglected-firm effect, 187 Negotiable certificates of deposit, 158, 187-188 Negotiable order of withdrawal (NOW), 188 Negotiated credit, 188 Negotiated offer, 188 Negotiation, 188, 234, 577 Net cash balance, 188 Net float, 124, 189 Net interest margin, 22, 189 Net investment, 189, 259 Net operating losses (NOL), 189 Net overhead burden, 189 Net payoff, 189 Net present value, 105, 153, 189, 193, 245, 260, 555-556, 671 Net present value profile, 189

Mortgage, 10, 14, 19, 22, 36, 41, 59, 68, 122, 134, 184--185, Net present value rule, 189 208, 736

Mortgage banking, 185 Mortgage bonds, 185 Mortgage securities, 185 Mortgage servicing, 185 Mortgage-backed security, 185 Move persistence, 185 Moving-average, 185 Multibank holding company, 185 Multifactor CAPM, 185 Multi-index CAPM Model, 470 Multinational, 152 Multiple rates of return, 185 Multiple-beta models, 369, 381 Multiples, 186 Multivariate normal integral, 566, 569 Mundell-Fleming model, 705 Municipal bonds, 132, 186, 233 Municipals, 186 Mutual fund, 37, 58, 146, 168, 186, 190, 195, 252 Mutual fund theorem, 186 Mutual savings bank, 186 Mutually exclusive investment decisions, 186 Mutually exclusive projects, 186

N NAIC, 187 Naked option writing, 187

Net working capital, 9, 51, 55, 146, 189-190, 259, 394 Net worth, 5, 190 Netting, 190 Networks, 625, 690-698 Neural networks, 652 Newton-Raphson Method, 190, 568 No arbitrage, 190, 407, 413 No loan fund, 190 No-arbitrage assumption, 190 No-arbitrage interest rate model, 190 Nodes, 689-690 Nominal cash flow, 190 Nominal interest rate, 123, 190 Nominal risk-free interest rate, 191 Nonbank bank, 191 Nonbank subsidiary, 191 Noncash item, 191 Non-competitive bidders, 359 Nondebt tax shields, 191 Nondiversifiable risk, 191 Nonmarketed claims, 191 Nonnotification financing, 192, 208 Nonperforming loan, 192, 661 Nonrate gap, 192 Nonrated bond, 192 Nonrecombining tree, 192 Nonrecourse, 192 Nonstandard option, 111, 192 Nonstationary model, 192

Nonsystematic risk, 192, 371 Normal backwardation theory, 192 Normal distribution, 34, 78, 192, 256, 258, 492 Normal market, 192 Note, 76-77, 125, 166, 192, 264, 277 Note issuance facility, 193 Notional amount, 193 Notional principal, 193, 241 Notional value, 193 NPV, 105-106,189,153,245,260,556-557 NPVGO model, 193 NSF, 193 Numeraire, 193 Numerical Procedure, 193 ~SE, 198,439-441,443-446

0 Obligor, 115, 194 OCC, 194 Odd lot, 194 Odd-lot theory, 194 Off-balance sheet activities, 194 Off-balance sheet financing, 194 Off-balance-sheet risk, 194 Offer price, 20, 194 Off-market swap, 194 Offset coefficient, 711 One bank holding company, 194 One-factor APT, 194 Online trading, 464-468 On-the-run issue, 194 Open (good-till-canceled) order, 195 Open account, 195 Open contracts, 195 Open interest, 195 Open limit order book auction, 423 Open market operation, 116, 195 Open market repurchase, 195 Open outcry, 195 Open-end (mutual) fund, 195 Operating activities, 195, 250, 259 Operating cash flow, 5, 49, 145-146, 195 Operating cycle, 195-196 Operating income, 196 Operating lease, 196 Operating leverage, 59, 196 Opportunity cost, 31, 51, 196 Opportunity set, 116, 196, 210, 325, 328 Optimal cash balance, 196-197 Optimal risky portfolio, 197 Option, 14, 20, 25, 30-42 Option class, 197 Option elasticity, 197

SUBJECT INDEX

Option overwriting, 197 Option premium, 197 Option pricing equation, 197 Option Pricing Theory, 730, 734 Option series, 197 Option theoretic, 198 Option writer, 198 Option-adjusted spread (OAS), 198 Order Book Official, 198 Order driven facility, 623 Order driven markets, 624 Order flow, 640 Order statistics, 198 Order-processing, 635 Ordinal utility, 198 Organized exchanges, 198 Original-issue-discount-bond, 198 Origination fee, 199 Originator, 199 Out of the money, 199 Out performance option, 199 Out-of-the-money option, 199 Outsourcing, 199 Overconfidence, 702 Overdraft, 81, 199 Overhead, 4, 189, 199 Overreaction, 702 Oversubscribed issue, 199 Oversubscription privilege, 199 Over-the-counter market, 199, 242

p

PIE effect, 200 PIE ratio, 176, 200 PAC, 200, 210 Package, 200, 428 Pac-man strategy, 200, 272 Par bond, 200 Par coupon, 200 Par value, 200, 214 Par yield, 200 Parallel shift in the yield curve, 200 Parent company, 121, 200 Partial expectation, 200 Participating swap, 201 Partnership, 164, 201 Passbook savings, 201 Passive investment strategy, 201 Passive management, 201 Passive portfolio, 201 Passive portfolio management, 201 Pass-through, 202 Pass-through security, 202

833

834

Past losers, 700 Past winners, 700 Past-due loan, 202 Path Dependency, 729 Path-dependent derivative, 202 Path-dependent option, 202 Payable through drafts, 202 Payback method, 202 Payback period rule, 89, 203 Payer swaption, 203 Paylater strategy, 203 Payment date, 203 Payment-in-kind, 203 Payments pattern approach, 203, 227 Payoff, 30, 189, 203, 216 Payoff diagram, 203 Payout phase, 203 Payout ratio, 203, 269 Peak,203 Peak exposure, 204 Pecking order hypothesis, 204 Peer group, 205 Pension Benefit Guarantee Corporation (PBGC),

205 Pension funds, 361, 424 Percentage of sales method, 205 Percentile level, 206 Perfect markets, 206 Perfectly competitive financial markets, 206 Performance, 6, 384--391, 405-412 Performance Measures, 6, 388 Performance shares, 206 Permanent working capital, 206 Perpetual option, 206 Perpetual preferred stock, 206 Perpetuity, 206 Perquisites, 206 Personal banker, 206 Personal trust, 206 Phantom income, 361 Pie model of capital structure, 206 Plain vanilla, 44, 207 Planned amortization class, 200, 207 Planning phase of capital budgeting, 207 Pledged securities, 207 Pledging, 207 Plowback ratio, 208 Plug, 205 PO, 208 Point, 208 Point of sale, 208 Poison pill, 208 Poisson distribution, 208 Poisson process, 208, 676

SUBJECT INDEX

Political risk, 208 Pooling of interests, 209 Portfolio Analysis, 116, 165, 209 Portfolio Cushion, 209 Portfolio formulation strategies, 464 Portfolio immunization, 210 Portfolio insurance, 209-210 Portfolio management, 8, 210, 501 Portfolio opportunity set, 210 Portfolio optimization, 157 Portfolio weights, 156 Position limit, 210 Positive covenant, 210 Positive float, 210 Post, 210 Post audit, 210 Power option, 210 Preauthorized check system, 210 Predictability, 376, 378-379 Preferencing, 289 Preferred habitat theory, 210 Preferred stock, 91 Premium bonds, 211 Premium Burnout Effect, 730 Premium on a bond, 211 Premium on an option, 211 Prepaid forward contract, 211 Prepaid forward price, 211 Prepaid swap, 211 Prepayment, 211 Prepayment function and model, 211 Prepayment penalties, 211 Prepayment speed, 211 Present value, 211-212 Present value factor, 212 Price and time priority, 624 Price discovery, 639 Price formation, 585 Price improvement, 440 Price participation, 212 Price risk, 212 Price scan auction, 625 Price stabilization, 635 Price takers, 212 Price value of a basis point, 212 Price volatility, 212 Price/earnings ratio (P/E ratio), 212 Price-to-book-value ratio, 176, 212 Price-variable cost margin, 212 Price-weighted index, 213 Pricing grid, 213 Primary capital, 213 Primary market, 213 Prime rate, 213

Primitive security, derivative security, 214 Principal, 214 Principal components analysis, 214 Principal-agent problem, 214 Principle of diversification, 214 Priority rules, 689-698 Private information, 594 Private placement, 214--215 Private placement of equity, 215 Pro forma financial statements, 216 Probability distribution, 208, 216, 237, 256 Probability of default, 216 Probate, 216 Problem loans, 216 Processing float, 148, 216 Product differentiation, 216 Profit, 216 Profit diagram, 216 Profit margin, 233 Profitability index, 216-217 Profitability ratios, 217-218 Program trading, 218 Project finance, 218 Projected benefit obligation (PBO), 219 Promissory note, 219 Proprietorship, 219 Prospect stochastic dominance, 529 Prospect theory, 520 Prospectus, 170, 574 Protective covenant, 219 Protective put, 219 Proxy, 219 Proxy contest, 219 Prudent man rule, 219 Public issue, 220 Public offering, private placement, 220 Public Securities Association, 517 Public warehousing, 220 Publicly traded option, 220 Pull-to-par, 220 Purchase accounting, 220 Purchase method, 220 Purchased call, 220 Purchased put, 220 Purchasing power parity, 4, 220, 229, 324 Purchasing-power risk, 221 Pure discount bond, 221 Pure play method, 221 Pure yield pickup swap, 221 Put, 25, 56, 171, 220-222, 250 Put bond, 222 Put option, 222 Put provision, 222 Putable bonds, 222

SUBJECT INDEX

Put-call-parity, 222 Puttable Bond, 222 Puttable Swap, 222

Q Q ratio or Tobin's Q ratio, 223 Quadratic programming, 461, 724 Quality financial statements, 223 Quality risk, 223-224 Quality spread, 224 Quantile, 224 Quantity risk, 224 Quanto (Cross currency derivative), 224 Quasi-arbitrage, 224 Quasi-random sequence, 224 Quick (acid-test) ratio, 224 Quick assets, 224 Quote driven markets, 638

R Rainbow option, 225 Random equation, 225 Random walk, 225 Random walk model, 586, 592 Range-forward contract, 225 Rank correlation, 470-471, 473t--474t Rank order, 179, 225 Rank transformation, 470-475 Ranking,470,472--473,475, 522,550,620,644,701 Rate anticipation swap, 225 Rate sensitive, 21, 131, 225, 285, 295, 425

835

Rating, 37, 39, 44, 72, 74--76,95, 171, 180, 184, 192,213,222, 225-226,228,257,272,276,308,310,316,429,432,477, 644--645, 655-656, 658-659

Ratings transitions, 226 Ratio analysis, 76, 97, 166, 168, 189, 226, 481--482 Ratio spread, 226 Rational expectations, 348, 355, 376-377, 380, 649 Real assets, financial assets, 226 Real call option, 555, 564, 571-573, 574f, 579-580 Real cash flow, 226 Real estate, 10, 59, 123, 148, 181t, 229-230, 308, 309f, 312,

424, 512-516, 519 Real interest rate, 226, 331, 344--347, 350-352 Real interest-rate parity, 353 (in Appendix) Real Option, 226, 555-557, 560, 574, 578 Real risk-free rate of interest, 226-227 Realized compound yield, 227 Rebalancing, 227, 289, 421, 601, 617 Rebate, 84, 227, 250 Rebate option, 84, 227 Receivable balance pattern, 227

836 SUBJECT INDEX

Receivables, 6-8, 20-22, 48, 51, 59, 81, 114, 124, 132, 164, 203, 207-208,227,239,275,287,395-396

Receivables turnover ratio, 227 Receiver swaption, 227 Receivership, 337, 479--480 Recombining tree, 228 Record date, 110, 139, 228 Recourse, 21, 114, 207, 218, 228 Recoveries, 228 Recovery rate, 228, 339 Recovery value, 228 Recursive preference, 368 Red herring, 219, 228 Redlining, 228 Reference CPI, 361-363 Reference price, 20, 30, 228 Reforms,443,445, 643,646,746 Refunding, 228 Registered bond, 228 Registered trader, 228 Registration statement, 161, 228, 287 Regression equation, 33, 229 Regular cash dividend, 229 Regulation, 85, 118, 135, 229, 242-243, 253, 301, 308, 694 Regulation A, 229, 243, 253 Reincorporation, 447--455 Reinvestment rate risk, 229 Reinvestment risk, 73, 229 REIT, 58, 229, 512-519 Relative price risk, 229 Relative purchasing power parity, 229, 346 Remainder man, 230 REMIC, 230 Reorganization, 3, 55, 120, 145, 149, 167, 230, 451, 551 Replacement cost, 79, 174, 177, 230, 669, 670 Replacement value, 223, 230, 274 Replacement-chain problem, 230 Repo, 144,230,233,272 Repo rate, 144, 230 Representative heuristic, 702 Repricing, 18, 230, 284 Repurchase agreements, 184, 230, 272, 286 Repurchase of stock, 231 Reserve cash, 62, 231, 276 Reserve for bank debts, 231 Reserve requirement ratios, 231 Reserve requirements, 116, 160, 231 Reserve target, 231 Reserves, 13,36,45,99, 116,154,195,213,231,235,311,399-

400,424,550,610,616,655-657,659,707-713 Reset Date, 231 Residual claim, 122, 231 Residual dividend approach, 231 Residual theory, 231-232

Residual value, 232, 513 Residuals, 232, 387, 408, 410, 741 Resistance level, 232 Resolution Trust Corporation (R TC), 232 Respondent bank, 232 Restrictive covenants, 74, 232, 315 Retained earnings, 27, 38-39, 46--47, 72, 90, 92-93, 143, 145,

152, 204-205, 216, 232, 279, 288, 315 Retention rate, 232 Retention ratio, 99, 232 Retractable bonds, 222, 232 Return, 3--4,8, 11, 15, 25, 78, 92, 107, 109, 111-112, 139, 152-

153, 156, 181, 185,209,217,233,237,274-275, 339, 378 Return items, 233 Return on assets [ROA], 233 Return on equity (ROE), 233 Return on sales (ROS), or profit margin, 233 Revenue bond, 147, 233 Reverse cash-and-carry, 233 Reverse conversion, 233 Reverse mortgage, 233 Reverse purchase agreement, 233 Reverse repo, 233 Reverse repurchase agreement, 233 Reverse split, 233-234 Reverse stock split, 233 Reversible swap, 234 Reversing trade, 234 Reversion level, 234 Review, 512-519, 746 Revolving commitment (revolver), 234 Revolving credit agreement, 234 Revolving loan, 234 Reward-to-volatility ratio, 234, 248 Rho, 234 Riding the yield curve, 235 Rights issue, 235 Rights offering, 199, 235, 258, 265 Risk and return, 630, 666 Risk arbitrage, 235 Risk averse, risk neutral, risk lover, 236 Risk aversion, 528 Risk bearing, 634-635 Risk class, 235 Risk classification, 235-236, 236t Risk dynamics, 384 Risk lover, 236 Risk management, 236, 418, 491-500 Risk neutral, 128, 236-237 Risk premiums, 112, 236-237 Risk reporting, 491, 499 Risk-adjusted, 617-618 Risk-free asset, 39, 161, 237, 268 Risk-free investment, 237

SUBJECT INDEX

Risk-free rate, 226, 236-237, 250 Riskless portfolio, 237 Risk-neutral measure, 237 Risk-neutral probability, 237 Risk-neutral valuation, 237 Risk-return trade-off, 46, 237 Risks, 271, 491-500, 645-646 Risks management, 236, 491-500 Risky asset, 237 Risky corporate debt, 237 Roll back, 237 Roth IRA, 237-238 Round lot, 238 Rounding, 439 R-squared {R), 238 Rule, 3-4, 89, 117, 189, 203, 219-220, 238, 443-445, 444t, 534 Rule of, 238 Run on a bank, 238

s S&P, 239, 257 Safe deposit box, 239 Safe harbor lease, 239 SAIF, 239 Sale and lease-back agreement, 196, 239 Sales forecast, 239 Sales terms and collections, 239 Sales-type lease, 239 Sallie Mae, 239 Sample-function analysis, 239 Sarbanes-Oxley Act, 64 7 Scalper, 239 Scatter diagram of a regression, 240 Scenario analysis, 240, 245, 251 Sealed bid auction, 625 Season dating, 241 Seasonal liquidity needs, 241 Seasonal swap, 241 Seasoned new issue, 241 Seasoned offering, 241 Seat, 110, 179, 241 SEC, 241-242, 444t SEC Order Handling Rules, 444t Second mortgage bond, 242 Secondary capital, 242 Secondary market, 134, 242 Second-pass regression, 242 Sector influences, 242 Sector loadings, 242 Securities, 12, 21, 46, 69, 116, 171, 177, 184-185, 241-242,250,

264, 277, 284, 288, 359-363, 399, 512-519, 574-575, 608, 638-642

Securities and Exchange Commission, 241-243

Securitization, 243, 518-519 Securitized Asian Corporate Bonds, 658-659 Security, 22, 87, 123, 141, 185, 202, 214, 243, 277, 738 Security analysis, 243 Security characteristic line, 243 Security interest, 243 Security market line (SML), 243 Security market plane (SMP), 243 Security returns, 252 Security selection, 243 Security selection decision, 243 Seesaw effect, 151, 243-244 Selection phase, 17, 244 Self-financing portfolio, 244 Self-attribution, 702 Self-liquidating loans, 244 Sell offs, 244, 286 Semistrong-form efficient market, 245 Seniority, 245 Sensitivity analysis, 245, 251, 571-573 Separation property, 245 Serial bond issue, 245 Serial bonds, 245 Serial correlation, 24, 245 Serial correlation (tests), 587 Serial covariance, 246 Series of options, 246 Series-! bonds, 363 Service charges, 246 Service Corporation, 246 Set of contracts perspective, 246 Settlement, 246 Settlement date, 73, 246 Settlement price, 246 Shanghai stock exchange, 435 Share value, 630 Share-equivalent, 246 Shareholder, 246 Shareholder wealth, 246, 248 Shark repellent, 248 Sharpe, 248,470-473,617-618 Sharpelndex,470-473 Sharpe ratio, 248, 457, 617--618 Sharpe's measure, 248 Shelf life, 248 Shelf registration, 248-249 Shenzhen stock exchange, 435 Short, 249-250, 599 Short call, 249 Short forward, 249 Short hedge, 249 Short position or hedge, 249 Short put, 249 Short rate, 249

837

838

Short rebate, 250 Short run, 250 Short sales constraints, 596 Short squeeze, 250, 255-256 Short-against-the-box, 250 Shortage costs, 48, 250 Short-run operating activities, 250

Short-sale, 250 Short-term debt, 250, 280

Short-term risk-free rate, 250 Short-term securities, 250 Short-term tax exempts, 250 Shout option, 84, 250 Side effects, 250 Sight draft, 60, 250-251 Sigma, 251 Signaling, 251, 609 Signaling approach, 251 Simple interest, 251 Simple linear regression, 251 Simple prospect, 251 Simulation, 251-252, 497, 726-727 Simulation analysis, 251-252 Simultaneity, 431 Single index model, 252 Single-country funds, 252 Single-factor model, 252 Single-price auction (Dutch auction), 252

Sinking fund, 252 Size effect, 252 Skewness, 253 Skip-day settlement, 253 Small company offering registration, 253 Small issues exemption, 253 Small open economy, 705-713 Small-firm effect, 253 Society for Worldwide Interbank Financial

Telecommunications, 253 Soft dollars, 253 Sole proprietorship, 253-254 South Korea, 658, 747-748 Sovereign Risk, 254 Spark spread, 254 Special drawing rights (SDRs), 254 Special purpose entity, 643, 645 Specialist, 254 Speculation, 235, 254 Speculative profits, 285, 287 Speculative-grade bond, 254 Speculator, 254 Spin-off, 254, 286 Spontaneous financing, 254 Spot curve, 254 Spot exchange rate, 255

SUBJECT INDEX

Spot interest rate, 255 Spot market transaction, 255 Spot price, 255 Spot rate, 255 Spot trade, 255 Spot volatilities, 255 Spot-futures parity theorem, 255 Spread, 255 Spread (futures), 255 Spread (options), 255 Spread underwriting, 255 Spreadsheet, 255 Squeeze, 255-256 Stable distribution, 256 Stable dividend policy, 256 Stack and roll, 256 Stack hedge, 256-257 Staggered-maturity plan, 257 Stakeholders, 257 Stand-alone percent standard deviation, 257

Stand-alone principle, 146, 257

Standard & Poor's bond rating, 257 Standard and Poor's Composite Index (S&P), 257

Standard deviation, 173, 209, 257-258 Standardized normal distribution, 258 Standby fee, 258 Standby underwriting, 258 Standstill agreements, 258 State of the world, 258 Stated annual interest rate, 190, 258

Stated interest rate, 258 Statement of cash flows, 258-260

Statewide branching, 260 Static hedge, 260 Static NPV, 260 Static option replication, 260 Static theory of capital structure, 260 Static tradeoff hypothesis, 30, 204, 260 Statutory accounting, 260 Step-up swap, 260 Stochastic differential equation, 260 Stochastic discount factor, 405-413

Stochastic dominance, 529-530, 533 Stochastic process, 260-261

Stochastic process risk, 419-420 Stochastic variable, 260-261 Stock, 261-262, 277, 439-441 Stock dividend, 261-262 Stock exchanges, 261 Stock index, 261 Stock index futures, 261 Stock index options, 261 Stock investment, 464 Stock market index, 261, 379

SUBJECT INDEX

Stock options, 111, 261 Stock ownership, 104, 435 Stock prices, 35, 176, 197, 457 Stock repurchase, 261-262, 452 Stock selection, 262 Stock split, 233-234, 262 Stockholder, 262 Stockholders' books, 262, 270 Stockholders' equity, 262 Stop payment, 262 Stop-loss order, 262 Storage costs, 262 Straddle, 262-263, 291 Straddle rules, 263 Straight bond, 263 Straight voting, 263 Straight-line depreciation, 263 Strangle, 263 Strap, 263 Strategic planning, 263 Stratified sampling, 263 Street name, 263 Stress testing, 264 Striking price, 111, 264 Strip, 128, 264 Strip hedge, 264 Stripped bond, 264 Stripped of coupons, 264 Stripped securities, 264 STRIPS, 264, 314 Strong-form efficient market, 264 Structured note, 264 Style, 111, 618 Subchapter S corporation, 264-265 Sub-linear pricing functional (Can't find) Submartingale, 265 Submartingale model, 265 Subordinated debenture, 265 Subordinated debt, 265 Subordination clause, 265 Subscription price, 265 Substitution swap, 265 Sum-of-the-year's-digit depreciation, 4 Sunk cost, 148, 265-266 Super-majority amendment, 266 Super-martingales, 596-597, 600 Supply shock, 266 Support level, 266 Support tranche, 266 Surplus funds, 266 Sustainable growth rate, 105, 266 Swap, 7, 15,21,30-31,44,61,64,66, 79,83-84,101,105,113,

127-128,146-147,151-152,156,163,178,194,201,211, 221-222,225,234,265-266,270,286,293-294,296,336,339t

Swap contract, 211, 266 Swap rate, 66 Swap spread, 266, 336 Swap tenor, 266 Swap term, 266 Swaption, 203, 227, 267 Swing option, 267 SWOT analysis, 267 Syndicate size, 428 Syndicated Loan, 267 Syndicates, 267, 430 Synergy, 543, 667, 669-671 Synthetic option, 267-268 Systematic influences, 268 Systematic risk, 174-175, 192,268

T TAC, 269 Tail VaR, 269 Tailing, 269 Takatashi Ito, 655 Take-and-Pay Option, 267, 269 Takedown Risk, 269 Takeover, 269, 451-452, 541-551 Takeover defenses, 447, 451 Takeover financing, 541, 549-551 Takeover regulations, 541, 667 Taking delivery, 269 Tangible equity, 269 Target cash balance, 269 Target firm, 269 Target payout ratio, 269 Target zone exchange rate, 610-611 Targeted repurchase, 269 Tariffs, 664 Tax anticipation notes, 269 Tax books, 262, 270 Tax credit, 127, 270 Tax deferral option, 270 Tax swap, 270 Taxable acquisition, 270 Taxable income, 270 Tax-deferred retirement plans, 270 Tax-equivalent yield, 270 Tax-exempts, 270 Tax-free acquisition, 270 Tax-timing option, 270 T-bill, 37, 250, 270 Technical analysis, 117, 270 Technical insolvency, 270-271 Technicians, 271 Technology and operation risks, 271 TED (Treasury Eurodollar) spread, 271

839

840

Temporary working capital, 271 Tender offer, 271-272 Tenor, 266, 272 Term bonds, 272 Term insurance policy, 272 Term loan, 272 Term premiums, 272 Term repo, 272 Term RPs, 272 Term structure of interest rates, 272-273 Term structure volatility, 501 Terminal Value, 182, 273 Terms of sale, 273 Thansim Shinawatra, 655 The Actual Size Rule, 443, 445 The Asian Bond Market Initiative (ABMI), 657 The Cox, 505 The Sixteenths Minimum Increment Rule, 443, 445 Thermodynamics, 724, 727 Theta, 273 Third market, 273 Thrifts, 273 Tick, 273, 296 Time decay, 273 Time drafts, 161, 273 Time series analysis of financial ratios, 273 Time spread, 273 Time value (of an option), 273 Time value of money, 273 Times interest earned, 47, 274 Time-weighted return, 274 Timing adjustment, 274 TINSTAAFL principle, 274 Tobin's Q, 223, 274, 669, 672 Tombstone, 274 Total asset turnover ratio, 21, 274 Total cash flow of the firm, 274 Total return swap, 274, 339-340 Total risk, 274 Total-debt-to-total-assets ratio, 274 T-period holding-period return, 275 Trade acceptance, 275 Trade barrier, 275 Trade credit (receivables), 275 Trading account, 275 Trading costs, 275 Trading range, 275 Trading rules, 443-446, 585 Trading system, 640-641, 689-690, 692 Trading volume, 275, 702 Tranche, 266, 276, 296 Transaction, 27, 53, 108, 139, 255, 276, 630-631 Transaction cash, 276 Transaction costs, 276, 630, 734-735

SUBJECT INDEX

Transaction Costs of Refinancing and Default, 729, 741

Transactions account, 87, 276 Transactions motive, 276 Transfer pricing (Financial institution), 276 Transfer pricing (Manufacture firm), 276 Transit item, 276 Transition matrix, 75, 276 Treasurer, 276-277 Treasury bill futures, 277 Treasury bills, 183, 277, 295, 621 Treasury bond or note, 277 Treasury bonds futures, 277 Treasury Inflation Protected Securities (TIPS), 277 Treasury inflation-indexed securities, 359-363 Treasury Note, 277 Treasury Note Futures, 277 Treasury stock, 231, 277 Treasury STRIPS, 314 Tree, 277-278, 771-772 Trend analysis, 277-278 Treynor,471-475, 474-475,617-621 Treynor Index, 470-475 Treynor's measure, 278 Triangular arbitrage, 278 Trinomial tree, 278 Triple-witching hour, 278 Trough, 278 Trust department, 278 Trust receipt, 278 Trustee, 278

u UBPR, 279 Unbiased Forward Rate Hypothesis, 344 Unbundling, 41, 279 Uncommitted line of credit, 279 Unconditional performance, 405 Uncovered-interest parity, 344 Underlying asset, 279 Underlying variable, 279, 574 Underpricing, 279 Underreaction, 700 Undervaluation, 668 Underwrite, 279 Underwriter, 279 Underwriting, underwriting syndicate, 279 Undivided profits, 279 Unearned interest, 280 Unemployment, 280 Unemployment rate, 280 Unexpected losses, 280 Unfunded debt, 280

Uniform Limited Offering Registration, 280 Unique risk, 192, 280 Unit banking States, 280 Unit benefit formula, 280 Unit investment trust, 280 Unit labor cost, 715, 718-719, 722 Unit of production method, 280 Unit volume variability, 280-281 Universal financial institution, 281 Universal life policy, 281 Unseasoned new issue, 149, 281 Unsystematic risk, 281 Up-and-in, 281 Up-and-out, 281 Up-and-out-option, 282 Uptick, 282 Usury ceilings, 282 Utility function, 282 Utility theory, 282, 520 Utility value, 282

v VA, 283 VA loan, 283 Valuation models, 464, 466 Valuation reserve, 283 Valuation uncertainty, 700 Value additivity (VA) principle, 283 Value at risk, 64-65, 76, 283, 418, 462, 492 Value function, 520 Value loss, 316 Vanilla option, 283 Variable annuities, 283 Variable cost, 212, 283 Variable life policy, 283-284 Variable rate securities, 284 Variable universal life, 284 Variance, 284 Variance rate, 457--462 Variance ratio, 630-631 Variance reduction procedures, 284 Variation margin, 284 Vasicek model, 501, 506, 508 Vector autoregression, 555, 594 Vega, 284 Vega-neutral portfolio, 284 Venture capital, 285 Vertical acquisition, 285 Vertical combination, 285 Vertical spread, 170, 285 Vested benefits, 285 Volatile deposits, 285 Volatile funds, 286

SUBJECT INDEX

Volatility (options), 286 Volatility matrix, 286 Volatility risk, 286 Volatility skew, 286 Volatility smile, 286 Volatility swap, 286 Volatility term structure, 286 Volume, 286 Voluntary restructuring, 286

w Wages, 715-722 Waiting period, 287 Warehousing, 117, 220, 287 Warrant, 88, 287 Wash, 287 Weak-form efficient market, 287 Wealth effect, 541 Weather derivatives, 288 Web-based brokers, 464 Weekend effect, 288 Weighted average cost of capital, 288 Weighted average life for Mortgage-backed securities,

288-289 Weighted cost of funds, 289 Weighted marginal cost of fund, 289 Weighted unbiased estimator, 289 Well-diversified portfolio, 114, 179, 281, 289 Whipsawing, 289 White knight, 289 Whole-life insurance policy, 290 Wiener process, 290 Wild card play, 290 Wilshire equity index, 290 Window dressing, 290 Winner's curse, 290 Wire transfers, 290 With constraints, 724 Without constraints, 724 Working capital, 9, 54-55, 189-190, 206, 271,

393--404 Working group, 291 Workout period, 291 World investable wealth, 291 Writing a call, 291 Writing an option, 291 Written call, 291 Written put, 291 Written straddle, 291

X X efficiency, 292

841

842

y Yankee bonds, 293 Year-end selling, 293 Yield, 293, 571, 577 Yield curve, 141, 154, 200, 235, 272, 293, 296 Yield curve swap, 293 Yield rate, 293 Yield to maturity, 293-294 Yield-giveup swap, 294 Yield-pickup swap, 294

z Zero coupon bonds, 295, 315

SUBJECT INDEX

Zero gap, 295 Zero Rate, 295 Zero-balance accounts, 295 Zero-Beta Portfolio, 295, 457 Zero-cost collar, 295 Zero-coupon bond, 314 Zero-coupon interest rate, 295 Zero-coupon swap, 296 Zero-coupon yield curve, 296 Zero-investment portfolio, 296 Zero-plus tick, 296 Z-score model, 296, 481 Z-tranche, 296

AUTHOR INDEX

A Abel, Andrew B., 372, 775 Abraham, Filip, 723, 775 Abuaf, N., 356, 775 Acharya, V.V., 425, 775 Adler, Michael, 775 Admati, A., 391, 775 Agenor, Pierre Richard, 775 Agrawal, Anup, 544, 552, 775 Ahn, C.M., 775 Ahn, Dong H., 413, 775 Ahn, Hee-Joon, 441, 775 Aitken, Michael, 441, 775 Akerlof, George, 609, 775 Akgiray, V., 687, 775 Alba, Pedro,662, 775 Albo, Wayne P., 552, 775 Albuquerque, R., 356, 775 Alexander, Sidney S., 589, 775 Aliber, R.Z., 723, 809 Allais, M., 538, 775 Allen, Franklin, 662, 776 Allen, L., 343, 433-434, 662, 776, 809, 811 Altman, Edward 1., 343, 488, 552, 776, 782 Amemiya, Takeshi, 488, 776 Amihud, Yakov, 632, 636, 642, 698-699, 776 Amin, K.L., 687 Amram, Martha H., 581, 776 Amsterdam, 382, 592, 654, 776 Andersson, Henrik, 581, 776 Andrews, M., 723, 805 Ang, James S., 552, 776 Angel, James, 698, 776 Anonymous, 776 Anson, Mark, 343, 776 Antikarov, Vladimir, 581, 785 APEC, 662, 776 Arbel, Avner, 777 Arbitrage, M. Rothschild, 783, 373, 809 Archer, Stephen H., 475, 789 Arrow, K., 538, 776 Arthur, W. Brian, 654, 776, 800 Arzac, E.R., 433, 776 Asian Basket Currency (ABC) Bonds, 655-656, 662, 776, 796 Asness, Clifford S., 703, 776 Asquith, P., 433, 776 Audet, Nicolas, 654, 777 A vera, William, 632, 785 Avery, Robert B., 489, 788 Azzi, C.F., 433, 777

B Bachelier, L., 687, 777 Bacidore, Jeff, 441, 777 Bagehot, Walter, 636, 777 Baillie, R.T., 356, 777 Bakashi, Gurdip, 413, 777 Ball, Ray, 589, 777 Ball, C.A., 441, 687, 777 Bandi, F.M., 687, 777 Banerji, Sanjay, 312, 777 Bansal, Ravi, 382, 777 Baratta, P., 539, 807 Barberis, N., 372, 382, 703, 777 Barclay, Michael J., 446, 699, 777 Barkoulas, J.T., 356, 778 Barnea, A., 433, 777 Barnett, Megan, 468, 777 BarNiv, Ran, 488, 777 Barro, Robert J., 714, 723, 777-778 Barth, J.R., 306, 312-313, 778 Bartlett, William W., 519, 778 Bartter, B.J., 769, 808 Bates, D.S., 687, 778 Battalio, Robert, 441, 699, 777-778, 795 Batten, David F., 654, 778 Bauer, G., 356, 775 Baum, C.F., 356, 778 Bawa, V.S., 462, 779 Baysinger, Barry, 455, 778 Beatty, A., 433, 776, 778 Beaver, William, 488, 778 Bebchuk, Lucian, 445, 778 Beck, T., 433, 778 Becker, C., 391, 778 Becker, Gary, 372, 778 Beckers, S., 687, 778 Becketti, S., 742, 778 Beebower, Gilbert, 632, 778 Beecher, Alistair, 489, 789 Beja, A., 372, 778 Bekaert, G., 356, 778 Benartzi, S., 538, 778-779 Bennett, Paul, 699 Benninga, Simon, 363, 779 Bensaid, Bernard, 602, 779 Berger, A.N., 433, 779 Berk, Jonathan, 372, 779 Bernanke, Ben, 714, 779 Bernhardt, Dan, 779 Bernstein, Peter, 519, 632, 779

844

Besanko, D., 433, 779 Bessembinder, Hendrik, 441, 446, 779 Best, M. J., 462, 779 Bester, H., 433, 779 Bhattacharya, S., 379, 391, 775, 779 Bhide, Amar V., 581, 779 Biais, Bruno, 779 Bierwag, G.O., 426, 779-781, 791 Billingsley, Randall S., 749, 780 Birnbaum, M.H., 538, 780 Black, F., 462, 475, 511, 538, 581, 602, 742, 780, 812 Blinder, Alan, 714, 779 Blinder, Alan S., 714, 780 Blum, Mark, 488, 780 Blume, Lawrence, 703, 780 Blume, Marshall, 589, 789 Blume, Marshall E., 476, 789, 792 Bodie, Zvi, 426, 780 Bollerslev, T., 356, 777 Bolton, P., 433, 780 Boot, A.W., 433, 781 Boot, Arnoud, 662, 781 Booth, G.G., 775 Boudry, Walter, 414 Boyle, Phelim, 602, 781 Bradley, C.M., 306, 781 Bradley, Michael, 519, 552, 781 Branson, W.H., 356, 781 Braun, Philip, 373, 781 Brealey, Richard A., 488, 552, 781 Breeden, D., 373, 781 Brennan, M., 742, 781 Brennan, Michael J., 373,413,426, 511, 581,632,

642, 781 Brent, Richard P., 581, 781 Brigham, Eugene F., 322, 554, 781 Britten-Jones, M., 462, 781 Brockman, Paul, 781 Broome, Lissa L., 313, 781 Brotherton-Ratcliffe, 781 Brown, D.T., 552, 781-782 Brown, Philip, 441, 589, 775, 777 Brown, Sharon, 441, 782 Brueggeman, William, 519, 782 Brumbaugh Jr., R. Dan, 313, 718 Bruner, Robert F., 749, 782 Buckland, Christine, 441, 775 Bulow, Jeremy, 488, 782 Burgess, Richard C., 475, 476, 782 Burmeister, Edwin, 372, 782 Buser, S.A., 742, 782 Busse, Jeffrey, 391, 782 Butler, Henry, 455, 778 Byrne, G.D., 583, 811

AUTHOR INDEX

c C. C. P., 688, 805 Caglayan, M., 356, 778 Calmfors, Lars, 723, 782 Camdessus, Michel, 749, 782, 844 Campbell, J., 468, 782 Cao, Charles Q., 441 Cao, H. Henry, 413, 775 Caouette, John B., 343, 782 Capozza, Dennis, 519, 781 Caprio, G., 306, 312, 778 earache, B., 427, 814 Carey, M., 433, 434, 782, 812 Carey, M.S., 434, 812 Carhart, Mark M., 413, 782 Carleton, Willard T., 426, 783 Carling, Robert G., 723, 782 Carow, Kenneth A., 313, 782 Carpenter, J., 391, 782 Carrera, Jose M., 594, 782 Cary, William, 455, 782 Castellano, Marc, 662, 782 Chacko, G., 687, 782 Chakravarty, Sugato, 441, 783 Chamberlain, G., 373, 687, 783 Chambers, Donald R., 426, 783 Chan, K.C., 382, 783 Chan, Kalok, 703, 783 Chan, W.H., 687, 783 Chan, Y., 433, 783 Chance, Don M., 426, 783 Chang Eric C., 391, 589, 783 Chang, Jow-ran, 783 Chang, Me1an, 489, 800 Chatterjee, Sayan, 552, 783 Chatusripitak, Nathporn, 662, 795 Chen, Andrew H., 777 Chen, Gong-meng, 438, 800, 812 Chen, N., 373, 382, 783 Chen, Nai-fu, 783 Chen, Ren-Raw, 343, 776 Chen, Shu-Heng, 654, 783 Chen, Son-Nan, 622, 783 Chen, Yew-Mow, 391,438, 783, 795 Chen, Yong, 391,438,783,795 Chen, Zhiwu, 391, 413, 602, 783 Cheung, Y.W., 356, 594, 783-784 Chiang, T.C., 356, 357, 784, 797 Chiesa, G., 433, 779 Cho, Chinhyung D., 334, 784 Choe, Hyuk, 441 Chopra, V.K., 462, 784 Chordia, Tarun, 438, 784 Choudhry, Moorad, 343

Chowdhury, Abdur, 714, 787 Chretien, Stephane, 413, 784 Christie, William, 777, 784 Christie, William G., 446, 642, 784 Christopher, J. Waller, 714, 784 Christopherson, Jon A., 391, 413, 622, 784 Chu, C.C., 801 Chu, Quentin C., 363, 784 Chua, Jess H., 552 Chui, Andy C.W., 438, 703, 784 Chung, Dennis, 468 Chung, Kee, 441, 784 Chung, Kee H., 784 Chuppe, Terry, 662, 786 Chuwonganant, Chairat, 441, 784 Claessens, Stijn, 662, 784 Clark, P.K., 687, 784 Clarke, Richard, 553, 795 Cliff, Michael, 413, 775, 784 Cochrane, J.H., 356, 373, 382, 413, 784 Coco, G., 433, 784 Coggin, T.Daniel, 475, 784 Cohen, Alan H., 322, 455, 778, 793 Cohen, Alma, 322,455,778,793 Cohen, Kalman J., 629, 699, 727, 785 Coleman, A.D.F., 433, 785 Compbell, John. Y., 785 Conn, Robert L., 674, 785 Connell, Frank, 674, 785 Connor, D., 785 Connor, G., 373, 391, 413, 462, 785 Connor, Philip F. 0', 609 Conrad, Jennifer, 382,413,589,703,775,785 Conroy, Robert, 699, 784 Constantinides, George M., 373, 581, 785, 790,

810 Cooper, James, 468, 785 Cooper, Kerry, 632, 785 Cooper, R., 306, 785 Copeland, T., 636, 783, 785 Copeland, Thomas E., 391, 552, 785 Copeland, Tom, 636, 783, 785 Cordella, Tito, 699, 785 Cornell, B., 356, 391, 413, 749, 785 Cornett, Marcia Millon, 519, 809 Corrado, Charles, 780 Cosslett, Stephen R., 488, 785 Coughenour,Jay,441, 785 Counsell, Gail, 488, 786 Covitz, D., 434, 786 Cox,J.C., 373,382,433,511,582,687,742,777,786 Cox, R., 786 Cragg, J.G., 373, 786 Cramer, Jan Salomon, 488, 786

AUTHOR INDEX

Cranley, R., 582, 786 Cumby, R., 357, 391, 786 Cumby, Robert E., 334, 622, 714, 786 Cunningham, D., 742, 786 Curcio, Riccardo, 441, 793

D D'Anton, Louis J., 796 Dahlquist, Magnus, 391, 413, 786 Daines, Robert, 455, 786 Dalla, Ismail, 662, 786 Damodaran, Aswath, 786 Daniel, Kent D., 413, 703, 786 Das, S.R., 687, 786 Daves, Phillip R., 781 Davidson, A.S., 742, 786 De Bruyne, Karolien, 723 DeSantis, G, 357, 462, 786 Deakin, Edward B., 488, 787 DeBondt, Werner, 382, 787 Degryse, H., 434, 787 Dekker, Timothy J., 582, 787 Demirguc-Kunt, A., 433, 750, 778, 787, 813 Dennis, S., 434, 787 Dennis, S.A., 434, 787 De La Garza, J., 792 Derman, E., 511, 787 Desai, Anand, 552 Detemple, Jerome, 602, 787 Detragiache, E., 306, 434, 787 Diamond, D.W., 306, 787 Diamond, Peter, 727, 787 Dichev, I.D., 433, 778 Dittmar, Robert F., 413 Dixit, Avinash K., 727, 787 Djankov, Simeon, 662, 784 Dodd, Peter, 455, 552, 787 Doherty, Jacqueline, 322, 787 Dominguez, Katherine M.E., 594 Domowitz, 1., 357, 699, 787 Donaldson, Gordon, 552, 787 Doukas, John, 674, 787 Dowla, Asif, 714, 787 Doyle, J.T., 434, 787 Drezner, Zvi, 582, 787 Drost, C., 787 Drost, F.C., 688 Duan, Chang-wen, 582, 788 Duffie, D., 343, 687, 785, 788 Duffy,John,654, 788 Dumas, Bernard, 335, 788 Dunn, K.B., 373, 742, 788 Dunn, Olive Jean, 489

845

846 AUTHOR INDEX

Dybvig, P.H., 306, 373, 391, 462, 782, 787-788 Dybvig, P., 373, 391, 602, 782, 788

E Easley, David, 438, 632, 703, 780, 788 Easterbrook, Frank, 788 Easterbrook, Frank H., 455, 552 Economides, Nicholas, 629, 632, 788 Edwards, W., 538, 788 Eichenbaum, Martin S., 373, 788 Eisenbeis, Robert A., 488-489, 788 Eisenbeis, Robert 0., 488 Elgers, P., 788 Elton, E.J., 538, 728, 788 Emery, Robert F., 662, 789 Engel, C., 357, 789 Epperson, J., 519, 742, 789, 798 Epperson, James F., 519, 742, 798 Epstein, Larry G., 315, 373, 789 Erev, 1., 813 Ergener, D., 787 Errunza, Vihang, 334, 783 Esho, N., 430, 433, 785 Esty, B., 434 Eun, Cheol S., 334, 784 Evans, JohnL., 475,789 Evans, Martin, 585, 789 Evans, Martin D.D., 382, 789 Ezzamel, Mahmoud, 489, 789

F Fabbozzi, Frank J., 322, 789 Falloon, W., 426, 789 Fama, Eugene F., 357, 373, 382, 391, 413, 462, 476, 538, 589,

703, 750, 789 Fan, Joseph P.R., 662, 784 Farmer, J. Doyne, 654, 789 Farnsworth, H., 382, 391, 413, 782, 790 Farrell, Christopher, 468, 790 Ferrell, Allen, 778 Person, W.E., 335, 373-374, 382, 391, 413-414, 781, 790, 792 Fidler, Stephen, 468 Field, Laura, 455, 790 Finnerty, J.E., 800-801 Firth, Michael, 552, 791 Fischel, Daniel, 455, 788 Fischer, Stanley, 750, 791 Fishburn, P.C., 538, 791 Fisher, E., 357, 791 Fisher, E.L., 750, 789 Fisher, Jeffrey, 519, 782 Fisher, Lawrence, 426, 589, 791

Fishman, Michael J., 552, 791 Flannery, M., 434, 791 Flannery, M.J., 426, 791 Fleisher, Belton M., 438, 811 Fleissig, A.R., 357, 791 Fleming, J. Marcus, 714, 791 Fletcher, Jonathan, 414, 791 Foerster, Stephen R., 382, 790 Pong, H.G., 426, 791 Fooladi, I., 426, 780, 791 Forbes, David, 414, 791 Foster, Douglas, 382, 791 Foster, George, 489, 791 Foucault, Thierry, 699, 785 Francioni, Reto, 629, 633, 637, 642, 810 Francis, Jack C., 476, 728, 791 Frank, J.P., 776 Frankel, J.A., 357, 781, 791 Frankel, Jeffery, 595 Frankfurter, G.M., 462, 791 Fratianni, M., 357, 791 Frecka, Thomas J., 489, 792 French, Kenneth R., 373, 413, 589, 595, 789, 792 French, K., 382, 703, 789 Frenkel, J.A., 357, 792 Friedman, M., 321, 792 Friend, Irwin, 476, 792, 808 Froot, K.A., 357, 791-792 Frost, Peter A., 728, 792 Fudenberg, Drew, 552, 792 Funk, S.G., 538, 792

G Gabriel, J.R., 582, 803 Gale, Douglas, 662 Gallinger, George W., 404, 792 Garcia, G., 306, 792 Garden, Mona J., 792 Garella, P.G., 434, 787 Garman, Mark, 602, 636, 792 Gehr, A.K., 805 Gelbard, E.M., 583, 811 Genty, J., 792 Genz, Alan, 792 Gerard, B., 335, 357, 786 Gertner, Robert, 552 Geske, Robert, 582, 792 Gibbons, M., 792 Gibbons, M.R., 374, 382, 462, 792 Gibbs, Philip A., 552, 792 Gibson, Scott, 792 Gilson, Stuart C., 552, 792 Gimein, Mark, 468, 792

AUTHOR INDEX

Giovannini, A., 335, 357, 792 Glascock, John, 519, 793 Glassman, Debra, 391, 413, 784 Glassman, James, 468, 793 Glen, Jack, 391, 786 Gode, Dhananjay K., 654, 793 Godfrey Michael D., 589, 793 Goetzmann, William N., 414, 793 Gogoi, Pallavi, 468, 793 Gokey, T.C., 357, 793 Goldsmith, Raymond, 662, 793 Goldstein, Michael, 441, 793 Gonedes, N., 800 Gonzalez, Pedro, 674, 793 Goodhart, Charles, 441, 793 Goodman, Laurie S., 322, 793 Gordon, David B., 723, 777 Gordon, M.J., 538, 793 Gordon, Myron, 382, 538, 793 Gorman, W.M., 374, 793 Gottesman, A.A., 434, 793, 806 Goudie, Andrew W., 552, 793 Gourieroux, G., 793 Goyal, Amit, 383, 793 Granger, C.W.J., 582, 589, 793 Grant, D., 392, 793 Grauer, R.R., 462, 779 Gravelle, Toni, 654, 777 Green, Christopher J., 438, 793 Greene, Jason, 699, 778 Greene, William H., 489, 793 Greenspan, Alan, 750, 793 Gregory, Alan, 552, 793 Griffiths, William E., 489, 798 Grinblatt, M., 374, 392, 413-414, 462, 622, 704, 786, 793-794 Gropp, R., 306, 794 Grossman, Herschel I., 714, 778 Grossman, Sanford J., 374, 595, 632, 636, 654, 794 Groth, John, 632, 785 Gruber, M.J., 538, 728, 788 Guedes, J., 434, 794 Guiso, L., 434, 787

H Hadar, J., 538, 794 Hahn, F.H., 723, 794 Hakansson, Nils H., 662, 794 Hakkio, C.S., 357, 787 Haldeman, Robert G., 488 Halpern, Paul, 552, 794 Hameed, Allaudeen, 703, 783 Hamer, Michelle M., 489, 794 Hampton, John J., 552, 794

Handa, Puneet, 642, 794 Hannan, T.H., 433-434, 779, 794 Hanoch, G., 539, 794 Hansen, L.P., 357, 373-374, 383, 414, 742, 788, 794 Hara, Chiaki, 602 Harhoff, D., 434, 794 Harrington, Joseph E., 553, 795 Harris, Jeffrey, 446, 642, 699, 777, 784 Harris, L., 441, 442, 699, 785, 795 Harris, Stephen, 441, 783 Harrison, M., 374, 414, 511, 602, 795 Hart, Michael L., 654, 797 Hart, Peter Edward, 553, 795 Harvey, C.R., 382-383, 790, 795 Hasbrouck, Joel, 632, 795 Hassett, Kevin, 468, 793 Hatch, Brian, 699, 778, 795 Hathorn, John, 488, 777 Haugen, R., 433, 777 He, Yan, 438, 442, 446, 795 Heal, Geoffrey M., 375, 809 Healey, P. Basil, 404, 792 Heitfield, E., 434, 786 Helwege, J., 434, 489, 795 Hendershott, P., 742, 795 Hendershott, P.H., 742, 782 Hendershott, Terrence, 699, 777 Henderson, J.M., 795 Henderson, Randal A., 552, 775 Hendriksson, Roy, 414, 795 Henriksson, Roy T., 589 Henriksson, Roy D., 392, 795 Henry, Tyler, 391, 414, 790 Hernandez, Leonardo, 662, 775 Heron, Randall, 456, 795 Heron, Randall A., 313 Herring, Richard J., 659, 662, 795 Herskovitz, M.D., 742, 786 Hester, D.D., 434, 795 Heubel, Barbara, 632, 796 Hicks, J.R., 426, 795 Hill, R. Carter, 489, 798 Hillion, Pierre, 779 Hindy, Ayman, 602, 795 Hirshleifer, David, 553, 703, 786, 795 Hlawka, Edmund M., 582, 795 Ho, M.S., 688, 795 Ho, Richard Yan Ki, 662, 795 Ho, Thomas, 632, 636, 642, 776, 796 Ho, Thomas S.Y., 500, 511, 796 Rodrick, R.J., 356--357, 383, 778, 794, 796 Hogan, Ked, 334, 783 Homan, Mark, 489, 796 Hommes, Cars H., 654, 796

847

848 AUTHOR INDEX

Hong, Harrison, 703, 796 Hopewell, Michael H., 427, 796 Hopwood, WilliamS., 489, 792 Houston, Joel F., 781 Howard, Charles T., 796 Howison, Sam, 654, 797 Hsieh, David, 382, 777 Hu, Joseph, 796 Hu, X., 796 Huang, R.D., 357, 446, 796 Huang, Roger, 796 Huberman, Gur, 374, 796 Hudson, Carl D., 554, 811 Hudson, John, 796 Hughes, William T., 511, 793 Hughson, Eric N., 779 Hui, Baldwin, 632, 796 Huizinga, Harry, 750, 787 Hull, John C., 582, 793, 796 Hung, Mao-wei, 334, 783 Hvidkjaer, Soeren, 632, 788

I Ibbotson, R.G., 582, 796 Ibbotson, Roger, 791 Ingersoll Jr., J.E., 373, 382,427, 511, 582,687, 742,786, 796 Ingersoll, J., 373, 414, 786, 788, 793 Isabel, Vander Auwera, 723 Isard, Peter, 595, 796 Ito, Takatoshi, 661-662, 796 lvkovic, Zoran, 414, 793 lzan, H.Y., 441, 775

J Jackson, David, 382, 391, 413, 790 Jacoby, Gady,427, 796 Jaffe, Jefferey, 323, 552, 809 Jaffe, Jeffrey F., 490, 553, 809 Jagannathan, Ravi, 374, 382-383, 414, 790, 794, 797 James, C.M., 426, 552, 781-782, 791 Jarrow, R.A., 603, 688, 797, 806 Jasiak, J., 688, 793 Jeffries, Paul, 654 Jegadeesh, N., 383, 703, 797 Jen, Frank C., 476, 609, 800 Jennings, Robert, 441, 699, 777-778, 795 Jensen, Michael C., 414, 475-476, 553, 589, 609, 622, 780, 789,

797 Jensen, Marlin R.H., 554, 811 Jiang, C., 357, 797 Jiang, Wei, 392, 797 Jobson, J.D., 374, 797

Johannes, M., 688, 797 John, K., 434, 552-553, 792, 797 Johnson, Keith H., 475-476, 782, 797 Johnson, Neil F., 654, 797 Johnson, T.C., 688, 797 Johnston, E.T., 797 Jones, Charles, 442, 797 Jones, Charles M., 633, 699, 777, 797 Jones, J., 434, 798 Jones, L.V., 538, 792 Jorian, P., 357, 798 Jorion,P., 356-357,462,500,688,775,792,798 Joshi, Shareen, 654, 789 Joshua, Chaffin, 798 Jouini, Elyes, 603, 798 Joy, Maurice 0., 489, 798 Judge, George G., 489, 798

K Kagel, J.H., 798 Kahneman, D., 539-540, 798, 812 Kale, J., 434, 798 Kallal, Hedi, 603 Kan, R., 788, 798 Kanatas, G., 433 Kandel, Eugene, 777 Kandel, S.A., 374, 796 Kandel, Shmuel, 374, 798 Kane, E.J., 306, 787 Kani, 1., 787 Karadeloglou, Pavlos, 723, 798 Karels, Gordon V., 489, 798 Karim, Khondkar E., 750, 814 Karpoff, Jonathan, 455, 790 Kashyap, Anil, 714, 798 Kau, J., 742 Kau, J.B., 519, 742, 798, 800 Kaufman, G.G., 426-427, 446, 779-781, 791, 796, 798 Kaufman, Herbert, 779 Kaufold, Howard, 750, 810 Kaul, Gautam, 363, 382, 589, 703, 785, 799 Kavajecz, Kenneth, 441, 793 Kazemi, Hossein, 392, 799 Keasey, Kevin, 489-490, 799, 811 Keeley, R.H., 582, 799 Keenan, D., 742, 789 Keenan, D.C., 519, 742, 798 Keirn, Donald B., 382, 790 Kelly, Simone, 582, 799 Kemna, Angelien G.Z., 582, 799 Kendall, Maurice G., 589 Kennedy, Peter, 489, 799 Kenneth, Rogoff, 358, 595, 804, 808

Khang, Chulsoon, 426, 780 Khang, Kenneth, 391, 413, 790 Kharbanda, Om Prakash, 554, 811 Khatdhate, Deena, 662, 786 Kiang, Lim Hug, 662, 799 Kiefer, Nicholas, 438, 788 Kim, E. Han, 552, 781 Kim, Han, 553, 799 Kim, Myung, 383, 799 Kim, T., 476, 742, 798-799 Kisgen, Darren, 391, 414, 790 Kish, Richard J., 674-675, 793, 799, 813 Klausner, Michael, 455, 786 Klein, R.W., 462, 799 Klemkosky, Robert C., 476, 799 Klingebiel, Daniela, 662, 775 Knez, Peter J., 413, 783 Koch, Timonthy J., 799 Kocherlakota, Narayana, 335, 799 Kohn, Meir G., 728, 799 Kondury, Kali, 662, 786 Korajczyck, R., 373, 785 Korkie, Robert, 374 Korobov, Nikolai Mikhailovich, 582, 799 Korting, T., 434, 794 Kose, John, 2 Koskela, E., 434, 799 Kosowksi, Robert, 414, 799 Kraus, Alan, 373, 781 Kreps, D., 335, 374, 414, 511, 602, 795, 799 Kroll, Y., 539, 799 Krugman, P., 357, 799 Kryzanowski, Lawrence, 392, 800 Kshirsagar, Anant M., 489, 800 Kulatilaka, Nalin H., 581 Kuo, Hsien Chang, 800 Kwok, Chuck, 438, 784 Kyle, Albert, 438, 800

L Labys, Walter C., 728, 800 Lai, K.S., 356, 783 Lalancette, Simon, 392, 800 Lamper, David, 654, 797 Lamy, Robert E., 749, 780 Lang, Larry H., 674, 800 Lang, W., 434, 798 Langetieg, Terence C., 553, 800 Laplante, Mark, 392, 800 Larson, H., 800 Latta, Cynthia, 426, 780 Lau, Sie Ting, 476 Lauterbach, Beni, 699

AUTHOR INDEX

Laux, Paul, 441, 782 Lawler, G.F., 688, 800 Lawler, Phillip, 723, 800 Lawless, J.F., 742, 800 LeBaron, Blake, 654, 800 Lee, Alice C., 801 Lee, Charles, 582, 750, 788, 800 Lee, Charles M.C., 703, 201

849

Lee, Cheng F., 363, 374, 392, 438, 475-476, 519, 622, 784, 800-801

Lee, John C., 801 Lee, S.W., 434, 801 Lee, Sang Bin, 500, 511, 796 Lee, Tsoung Chao, 489, 798 Leftwich, Richard, 455, 787 Lehmann, B.N., 374, 414, 801 Lehmann, Bruce1 392 Lehn, Kenneth, 553 Leibowitz, M.L., 427, 801 Leigh, Roy, 553, 801 Leland, H.E., 809 Leshno, M., 539, 801 Lesne, Jean-Philippe, 602, 779 Lettau, Martin, 383, 414, 801 Leung, Kwok-Wai, 813 Lev, Baruch, 489, 801 Levhari, David, 475, 801 Levine, R., 306, 312, 357, 662, 778, 801 Levy, H., 476, 539, 794, 799, 801, 810 Levy, M., 539, 801 Lewame, Stephen, 714, 784 Lewellen, Wilbur G., 553, 589, 783, 802 Liew, John M., 703, 776 Lim, Terence, 703, 796 Lin, Lin, 489, 553, 802 Lin, William T., 582, 802 Linn, Scott C., 654, 812 Lintner, J., 335, 374, 463, 589, 622, 802 Lippman, Steven A., 633, 802 Lipson, Marc, 442, 797 Litner, John, 476, 802 Litterman, B., 462-463, 786, 802 Litzenberger, Robert H., 476, 802 Liu, Shuming, 703, 802 Lo, A., 382-383, 782, 802 Long, J., 374, 414, 802 Lothian, J.R., 357, 802 Loviscek, Anthony L., 728, 802 Low, Vincent, 723, 802 Lu, Chiuling, 519, 704, 802 Lucas, R.E. Jr., 357, 802 Luce, R.D., 802 Ludvigson, S., 383, 414, 801 Luehrman, Timothy A., 803

850

Lutkepohl, Helmut, 489 Luttmer, Erzo, 603, 803 Lynch, A.W., 414, 434, 797, 803 Lyness, J.N., 582, 803 Lyons, Richard K., 594-595, 787, 789, 803

M MaCardle, Kevin F., 803 MacArthur, A.T., 356--357, 781, 791 Macaulay, Frederick, 427, 803 MacBeth, J. D., 476, 789 MacDonald, Scott S., 799 Machina, M.J., 539, 803 MacKinlay, A.C., 374, 382-383, 589, 782, 802-803 Maddala, CJeorge S., 374, 382, 489, 790, 803 Madhavan, Ananth, 699,803 Madura,Jef~ 674-675,750,803 Maggioni, Paulo, 438, 793 Maheu, J.M., 687, 783 Maier, Steven, 632, 636, 642, 699, 784 Majd, Saman, 582, 803 Maksimovic, V., 433, 778 Malatesta, Paul H., 553, 803 Malkiel, B.CJ., 373, 786 Malpass, David, 750, 803 Mamaysky, Harry, 392, 803 Mandelker, CJershon N., 552 Maness, Terry S., 404, 803 Manne, Henry CJ., 553, 803 Manski, Charles F., 488-489, 785, 803 Marcus, Alan J., 488, 552, 781 Mark, N.C., 357, 803 Markham, Jerry W., 313, 781 Markowitz, H., 803 Markowitz, H.M., 463, 476, 539, 728,

801, 803-804 Marks, Sidney, 489, 804 Mar-Molinero, Cecelio, 789 Marschak, J., 463, 804 Marston, R.C., 357, 804 Martin, Daniel, 489, 804 Mason, Scott P., 583, 812 Mayers, D., 391, 783, 785 Mays, Marshall, 662, 804 Mazumda, Sumon C., 777 Mazuy, K., 392, 414, 812 McConnell, J.J., 742, 788 McCormick, Timothy, 441, 784 McDonald, Bill, 489, 804 McDonald, Robert, 582, 804 McDonald, Robert L., 804 McElroy, Marjorie B., 372, 782 McEnally, Richard W., 426, 783

AUTHOR INDEX

McFadden, DanielL., 489, 803 Mcintosh, W.R., 538, 780 McKinnon, R.I., 804 McLean, Bathany, 468, 804 McLeay, Stuart, 489, 804 McNamee, Mike, 468, 804 Meckling, William, 456, 609, 797 Meckling, William H., 553 Meeks, CJeoffrey, 552, 793 Meese, Richard, 595 Megginson, W., 434, 789 Mehra, R., 804 Melnik, A., 434, 804 Mendelson, Haim, 632, 636, 698-699, 776 Mensah, Yaw, 489, 804 Merrick, John J., 374, 790 Merton, R.C., 335, 374, 383, 392, 414, 427, 434, 463, 582, 688,

795, 805 Merton, Robert, 603, 804, 636, 804 Michaud, R.O., 463, 804 Milgrom, Paul, 553 Miller, M., 603, 632, 794 Miller, M.H., 539, 553 Miller, R.E., 805 Mills, Dixie L., 792 Mintel International CJroup Ltd., 468, 805 Mirrlees, James A., 727, 787 Mishkin, F.S., 358, 805 Mitchell, Mark L., 553, 805 Modest, David M., 414, 801 Modigliani, F., 539, 553, 603, 622, 804-805 Modigliani, Leah, 622 Mondino, CJuillermo, 714 Montiel, Peter J., 714, 805 Mooradian, R.M., 552, 781-782 Moore, Arnold, 589, 805 Morgan, J.P., 427, 805 Morgenstern, 0., 463, 540, 589, 813 Morris, C.S., 742, 778 Morris, Michael H., 489 Moskowitz, Tobias J., 704, 805 Mossin, Jan, 374, 476, 622, 805 Muellbauer, J., 714, 805 Mullaney, Timothy, 805 Muller III, W.J., 519, 742, 798 Mullineaux, D.J., 434, 787, 801 Mundell, Robert A., 714, 805 Mungthin, Nuttha, 662, 805 Murinde, Victor, 438, 793 Murphy, Albert, 699, 805 Murphy, K.M., 372, 778 Murthy, Shashidhar, 602, 787 Musumeci, James J., 750, 805 Myers, D., 391, 708, 778

Myers, S., 434, 805 Myers, Stewart C., 488, 552-553, 582, 609, 781, 805

N Nagao, Hisatsugu, 662, 805 Nandy, D., 434, 787 Narayanan, Paul, 343, 488, 782 Nasdaq, 442, 805 Nawalkha, Sanjay K., 427, 805 Neftci, S.N., 688, 805 Nelson, C.R., 383, 799 Netter, Jeffry, 553 Neuberger, Anthony, 636, 642, 805 Newbold, P., 801 Newey, W.K., 358, 805 Ng, David Tat-Chee, 796 Nguyen, T.H., 687, 777 Nickell, S.J., 723, 805 Niederhoffer, Victor, 590, 688, 805 Nieuwland, F.G.M.C., 688, 805 Nigro, P., 434, 798 Nijman, T.E., 688, 787 Noe, T.H., 434, 798 North, David J., 553, 801 Norton, Edgar A., 622, 800 NYSE, 442, 805

0 0/ksendal, B., 806 O'Hara, Maureen, 797 Obstfeld, Maurice, 714, 786 Odean, T., 539, 806 Ogawa, Oiji, 662, 806 Ogden, Joseph P., 604, 609, 806 Oh, Gyutaeg, 662, 806 Ohlson, James, 602, 792 Ohlson, James A., 489, 806 Oldfield, G.S., 637, 688, 806 Omberg, E., 688, 806 Ongena, S., 434, 787 Opiela, Nancy, 468, 806 Opler, T., 434, 794 Orr, D., 804 Osborne, M., 590,688,805-806 Oswald, Andrew J., 723, 806 Otani, lchiro, 723, 806 Ozenbas, Deniz, 633, 806

p

Pagano, Michael, 642, 806 Pages, Henri, 602, 779

AUTHOR INDEX

Palepu, Krishna G., 490, 806 Palepu, F.C., 490, 806 Palmer, Richard, 654, 800 Pamepinto, Sharon, 456, 806 Pan, J., 687, 788 Panchapagesan, Venkatesh, 699, 806 Panyagometh, K., 434, 806 Papazoglou, Christos, 723 Paperrnan,Joseph,438, 788 Paradis, G.E., 538, 793 Park, Daekeun, 662, 806 Park, J., 357, 662, 791, 806 Parunak, H.Van Dyke, 806 Pastena, Victor, 490, 553, 806 Pastor, Lubos, 633, 806 Patel, J., 358, 806 Patrick, P.J. Fitz, 806 Patterson, Thomas N.L., 582, 786 Paye, Bradley, 383, 806 Payne, Richard, 595, 806 Pearson, N.D., 742, 806 Peel, David A., 490, 553, 806-807 Peel, Michael J., 490, 553, 806-807 Pennachi, George G., 363, 807 Peristiani, S., 433, 776

851

Permanent Subcommittee on Investigations of the Committee of Governmental Affairs, 648, 807

Perraudin, W.R.M., 688, 795 Perry, G.L., 723, 807 Pesaran, M.H., 383, 807 Pesek Jr., William Jr., 807 Peters, Edgar E., 476, 807 Peters, Helen, 391, 783 Peterson, M.A., 434, 807 Pethokoukis, James, 468, 807 Pfleiderer, P., 391, 775, 779 Phillip, Brown, 589, 775, 777 Phillips, H.E., 462, 791 Pickles, E., 582, 807 Piesse, Jenifer, 477, 541 Piesse, Jennie, 489--490, 553, 802, 814 Pindyck, Robert S., 582, 807 Pittman, Deborah N., 359, 363, 784 Plaut, S., 434, 804 Plott, C.R., 539, 807 Pogue, Jerry A., 727, 785 Pond, L., 812 Pontiff, Jeffrey, 383, 807 Porter, David, 699 Portes, Richard, 714 Porteus, Evan, 335, 799 Post, M., 782 Pozzolo, A.F., 434, 807 Prakash, Arun J., 489, 798

852 AUTHOR INDEX

Pratt, J.W., 539, 807 Preiss, Michael, 662, 804 Prelec, D., 539, 807 Prescott, E.C., 804 Prescott, E.S., 807 Press, S.J., 807 Preston, M.G., 539, 807 Prisman, E., 427, 603, 807 Protopapadakis, Aris, 363, 779 Punjabi, S., 582, 799 Puri, M., 434, 797

Q Qian, Meijun, 391, 790 Quandt, R.E., 795 Quiggin, J., 539, 807

R Radcliffe, Robert C., 476, 807 Radelet, Steven, 750, 807 Rahman, Shafiqur, 392, 800 Rajan, R.G., 434, 807 Ramaswarni, Krishna, 476, 802 Ramirez, Carlos D., 714, 807 Rao, D.C., 662, 786 Rapoport, A., 538-539, 792, 799, 807 Reardon, Tony, 469, 807 Redington, F.M., 323, 427, 808 Rees, Bill, 490, 553, 808 Reilly, Frank K., 476, 622, 808 Rendelman, Robert J., 808 Rennhack, Robert, 714, 808 Rescher, Nicholas, 654, 808 Rhee, S. Ghon, 662, 808 Richard, S.F., 374, 383, 414, 511, 743, 794, 797, 808 Richards, Anthony J., 704, 808 Riolo, Rick L., 654 Roberts, G., 415, 426--427, 780, 791, 796 Roberts, Harry V., 590, 808 Roberts, John, 553 Robinson, R. John, 553, 808 Rockefeller, David, 750, 808 Roe, Mark J., 728, 808 Rogalski, R.J., 688, 806 Rogoff, K., 358, 595, 804, 808 Roldos, Jorge, 660, 663, 812 Roll, R., 358, 363, 373-374, 383, 414, 438, 463, 553, 595, 743,

750, 783-784, 808 Romano, Roberta, 456, 808 Romer, David, 595, 808 Ronald, Surz, 632, 778 Rorke, C.H., 538, 793

Rosenfeld, E.R., 688, 797 Ross, S., 373-374, 391, 602--603, 775, 783, 786, 788, 808 Ross, Stephen A., 323, 335, 373-374, 382, 414, 462--463, 490,

511,539,553,582,687,742,786,792,808-809 Ross, T.W., 306, 785 Roth, A.E., 798 Rothschild, M., 373, 783, 809 Rouwenhorst, K. Geert, 704, 809 Roy, D., 804 Rozeff, Michael, 553, 809 Ruback, Richard, 552, 787 Rubinstein, M., 374, 809 Rubinstein, Mark, 374, 809 Rui, Oliver M., 438, 800 Ruland, William, 490, 553 Russell, W., 538, 794 Ryder, Harl E., Jr., 375, 809

s Sachs, Jeffrey, 750, 807 Samuelson, P.A., 323, 427, 539, 728, 809 Samuelson, Paul, 553, 809 Samuelson, Robert J., 553, 809 Sarkissian, Sergei, 374-375, 382, 790, 809 Sassanpour, Cyrus, 723 Saunders, A., 343, 427, 434, 519, 809 Saunders, Anthony, 343, 427, 434, 519, 809 Savage, L.J., 538, 792 Savarino, James E., 728, 792 Savit, Robert, 654 Schachter, Barry, 441, 782 Schadt, Rudi, 391, 790 Schall, L., 383, 807 Scharfstein, D., 433, 552, 776, 780 Scheinkman, Jose, 602, 779 Schill, M., 391, 778 Schmukler, A.L., 357, 791 Schneider, M., 356, 775 Scholes, M., 383, 475, 538, 590, 602, 742, 780, 809 Schroder, M., 809 Schuler, Kurt, 750, 809 Schultz, G.P., 723, 809 Schultz, Paul, 446, 642, 699, 784 Schumpeter, Joseph A., 582, 810 Schwartz, R.A., 784-785, 788, 794-796, 805-806, 810 Schwert, G.W., 382-383, 789, 810 Seagle, J.P., 462, 791 Securities and Exchange Commission, 633, 642, 648, 813 Seguin, Paul, 519, 642, 781, 810 Senbet, L., 433, 777 Sengmueller, Paul, 796 Seth, Anju, 554, 810 Shailer, Gregory, 490, 810

Shane, Philip B., 553, 808 Shanken,J., 374-375,383,462-463,792,810 Shanmugaratnam, T., 723, 812 Shannon, Donald S., 476 Shapiro, Alan, 749, 785 Sharma, Maneesh, 469, 810 Sharpe, I.G., 433-434, 785, 787 Sharpe, S.A., 433, 782 Sharpe, William F., 375, 383, 392, 414, 463,

476, 590, 622, 810 Shastri, Kuldeep, 785 Shefrin, H., 810 Shen, Yangpin, 704 Sheng, Andrew, 662, 810 Shiller, Robert, 468, 589, 782, 785 Shimizu, Junko, 662 Shivdasani, Anil, 413, 775 Shleifer, A., 372, 382, 703, 777 Shores, Marilyn R., 427 Shoven,John,488, 782 Shrieves, Ronald, 554, 810 Shultz, George, 750, 810 Shumway, Tyler, 810 Siegel, A.F., 374, 382, 790 Siegel, Daniel, 582 Silberberg, Eugene, 728, 810 Simin, Timothy, 374, 382-383, 790, 810 Simms, John M., 749, 782 Simon, William, 750, 810 Sims, Christopher A., 582, 810 Singh, Ajit, 554, 810 Singh, Rajdeep, 441, 792 Singleton, K., 687-688, 742 Sinkey, Joseph F., 750, 805, 810 Sinquefield, R.A., 582, 796 Siow, Aloysius, 632, 788 Skelton, Jeffrey, 427, 796 Skinner, Frank, 426, 791 Skoulakis, Georgios, 414 Smirlock, Michael, 750, 810 Smith, Geoffrey, 469, 811 Smith, J.L., 582, 807 Smith, T., 382 Smith, V.L., 539, 811 Sobaci, T., 791 Soderlind, Paul, 391, 413, 786 Sofianos, George, 633, 811 Solnik, B., 335, 358, 383, 788, 808, 811 Solomon, S., 539, 801 Sonakul, M.R. Chatu Mongol, 662, 811 Song, Moon H., 554, 811 Sorensen, S.E., 795 Soto, Gloria G., 427, 811 Spatt, C.S., 742, 779, 788

AUTHOR INDEX

Spatt, Chester S., 742, 779, 788 Spiegel, Matthew, 392 Stallworthy, Ernest A., 554, 811 Stambaugh, R., 374, 383, 463, 633, 796, 806, 811 Stambaugh, Robert F., 374, 463, 633, 796, 806 Stambaugh, Robert S., 383, 811 Stanton, R., 743, 811 Starks, L., 392, 811 Startz, R., 383, 799 Statman, M., 810 Steen, N.M., 583, 511 Stein, Jeremy, 714, 798 Stevens, Donald, 554, 810 Stevens, Ross L., 703, 776 Stiglitz, J., 554, 636, 714, 780, 809, 811 Stoll, Hans, 636--637, 642, 796 Storey, David J., 490, 811 Strahan, P.E., 434, 811 Strauss, J., 357, 791 Stulz, R.M., 335, 358, 372, 383, 674, 777, 810-811 Su, Dongwei, 438, 811 Subrahmanyam, Avanidhar, 438, 632, 703, 781, 784, 786 Sullivan, Michael J., 554, 811 Summers, Lawrence, 750, 811 Sun, Qian, 438, 811 Sun, T., 742, 806 Sundaresan, Suresh M., 375, 811 Sunder, Shyam, 489, 654, 793, 801 Svensson, Lars E.O., 811 Swaim, R.O., 540, 812 Swaminathan, Bhaskaran, 703, 801 Sweeney, R.J., 357, 798

T Taniguchi, Takayoshi, 663, 812 Tauchen, G., 743, 812 Tay, Nicholas S.P., 649, 654, 812 Taylor, M.P., 357, 595, 802, 812 Teh, K.P., 723, 812 Tehranian, Hassan, 554, 812 Tesfatsion, Leigh, 654, 788, 796, 800, 812 Thakor, A.V., 433, 779 Thakor,Angan,659,662, 781 Thaler, R., 382, 538, 778-779, 787 The Conference Board, 648, 812 Thompson, H.E., 775 Thornton, Emily, 812 Timmermann, Alan, 383 Timmermann, Allan, 806 Timmis, G.C., 743, 812 Tirole, Jean, 552, 792

853

Titman, S., 374, 383, 392, 413-414, 462, 553, 622, 703, 784, 793-795, 797, 812

854 AUTHOR INDEX

To, Minh Chau, 800 Tobin, J., 476, 540, 812 Todd, Steven, 382, 391, 413, 790 Toevs, A., 426, 780--781, 791 Tollefson, John 0., 489, 798 Tong, Wilson, 438, 703, 783, 811 Torous, W., 743, 812 Tourk, Khairy, 663, 812 Tran, Huan Q., 660, 663, 812 Travlos, Nickolaos, 554, 812 Treacy, W.F., 434 Treynor,Jack,414, 812 Trigeorgis, Lenos, 583, 812 Trinidad, J., 356, 784 Troubh, Raymond S., 648, 814 Tshoegl, Adrian E., 441, 777 Tucker, A.L., 688, 750, 803, 812 Turki, L., 582, 799 Turner, C.M., 434, 795 Tversky, A., 539-540, 798, 812

u U.S. Securities and Exchange Commission (SEC), 813 Udell, G.F., 433, 779, 781 Unal, Haluk, 750, 813 United Nations Conference on Trade and Development

(UNCTAD), 674, 813 Utton, Michael A., 554, 813

v Value Line, 728, 813 Van Drunen, L.D., 742, 786, 797 Van Horne, James C., 554, 813 Van Order, R., 742 Van-Ness, Bonnie, 441, 784 Van-Ness, Robert, 441, 784 Vasant, Kamath, 632, 778 Vasconcellos, Geraldo M., 664, 674-675, 793, 799, 813 Vasicek, 0., 426, 511, 688, 791, 813 Vasicek, Oldrich A., 426, 791, 813 Verschoor, W.F.C., 688, 805 Vesala, J., 306 Vesval, A., 462, 786 Vetsuypens, M.R., 552, 792 Viallet, C.J., 357, 799 Viallet, Claude, 335, 799 Viceria, L.M., 687, 782 Viscusi, W.K., 540, 813 Vishny, Robert, 703, 777 Viswanathan, S., 382, 553, 777, 803 Vlaar, P.J.G., 688, 813 Vogelstein, Fred, 469, 813

Von Neumann, J., 463, 813 Von Thadden, E.L., 434, 813 Vorst, Ton, 602, 781

w Wachter, Jennifer, 414, 803 Waegelein, James, 554, 812 Wagner, Wayne H., 476, 813 Wagster, J.D., 358, 813 Wakeman, L.M., 357, 791 Wakker, P.P., 540, 813 Walker, Ian E., 490, 554, 813 Walking, Ralph A., 554, 674 Walter, Terry, 441, 775 Wang, Lie, 489, 800 Wang, W., 729, 743, 813 Wang,Zhenyu, 383,414,797 Warther, Vincent A., 391, 790 Watson, Robert, 489-490, 799, 811 Waud, Roger N., 590, 813 Weaver, Daniel, 689, 699 Weber, E.U., 540, 813 Weber, J., 433, 469, 776, 778, 813 Wei, K.C. John, 374, 700, 703, 784, 801-802 Wei, Li, 699, 813 Weil, Philippe, 335, 792, 813 Weil, Roman L., 426, 796 Weinberger, A., 427, 801 Weiss, Andrew, 714, 811 Welch, Ivo, 383, 793 Werker, B.J.M., 688, 787 Wermers, R., 392, 413, 786, 794, 814 West, K.D., 358, 805 Westerfield, Randolph W., 323, 490, 553, 809 Weston, J. Fred, 552, 554, 785, 814 Weston, James, 446, 814 Whalen, Gary, 490, 814 Whaley, R., 382, 791 Wheatley, Simon, 383, 814 Whitcomb, D.K., 433, 776 Whitcomb, David, 632, 636, 642, 784, 796 White, H., 358, 814 Whittington, Geoffrey, 490, 814 Wiener, Z., 539, 801 Wilcox, David W., 363, 814 Wilcox, James A., 313 Wilde, L., 540, 814 William C.Powers, Jr., 814 Williams, J., 383, 809 Wilmarth, Arthur E. Jr., 814, Wilson, Nicholas, 553 Wilson, Robert B., 375, 814 Winkelmann, K., 462, 786

Winokur, Herbert R. Jr., 648, 814 Wong, Chak Sham Michael, 594, 662, 795 Wong, Clement Y.P., 594, 662, 795 Wood, Douglas, 490, 814 Wood, Robert, 441, 633, 783, 806 Wriston, Walter, 750, 810 Wu, Chunchi, 374, 438, 442, 446, 777, 795,

801 Wu, Soushan, 800 Wu, Ying, 714, 723, 814 Wyatt Company, 456, 81~ Wynarczyk, Pooran, 490

y

Yaari, M., 540, 814, Yam, Joseph, 663, 814 Yang, Chin-Wei, 728 Yang, Doo Y ong, 662, 806 Yang, Jin, 654, 777

AUTHOR INDEX

Yeh, Chia-Hsuan, 654, 783 Yerramilli, Vijay, 441, 792

z Zaremba, S.K., 583, 814 Zarruk, Emilio R., 750, 803 Zavgren, Christine V., 419, 814 Zhang, Hong, 392 Zhang, Peter G., 814 Zhang, Xiaoyan, 414, 796 Zhang, Zhaohui, 750, 814 Zheng, L., 392, 814 Zhou, G., 414, 463, 798, 814 Ziemba, W.T., 462, 784 Zietlow, John T., 404 Zin, Stanley E., 335, 373, 789 Zion, D., 427, 814 Zmijewski, Mark E., 490, 814 Zombanakis, George, 723, 798

855