Browsing by Author "Lee, Cheng-Few"

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AN INTEGRAL-EQUATION APPROACH FOR DEFAULTABLE BOND PRICES WITH APPLICATION TO CREDIT SPREADS
(2009-03-01)
Chen, Yu-Ting
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Lee, Cheng-Few
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Sheu, Yuan-Chung
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應用數學系
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Department of Applied Mathematics
We study defaultable bond prices in the Black-Cox model with jumps in the asset value. The jump-size distribution is arbitrary, and following Longstaff and Schwartz (1995) and Zhou (2001) we assume that, if default occurs, the recovery at maturity depends on the,severity of default'. Under this general setting, the vehicle for our analysis is an integral equation. With the aid of this, we prove some properties of the bond price which are consistent numerically and empirically with earlier works. In particular, the limiting credit spread as time to maturity tends to 0 is nonzero. As a by product, we show that the integral equation implies an infinite-series expansion for the bond price.
An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model
(2007-07-01)
Chen, Yu-Ting
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Lee, Cheng-Few
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Sheu, Yuan-Chung
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應用數學系
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資訊管理與財務金融系註：原資管所+財金所
Under the assumption that the asset value follows a phase-type jump-diffusion, we show that the expected discounted penalty satisfies an ODE and obtain a general form for the expected discounted penalty. In particular, if only downward jumps are allowed, we get an explicit formula in terms of the penalty function and jump distribution. On the other band, if the downward jump distribution is a mixture of exponential distributions (and upward jumps are determined by a general Levy measure), we obtain closed-form solutions for the expected discounted penalty. As an application, we work out an example in Leland's structural model with jumps. For earlier and related results, see Gerber and Landry [Insur. Math. Econ. 22:263276, 1998], Hilberink and Rogers [Finance Stoch. 6:237-263, 2002], Asmussen et al. [Stoch. Proc. Appl. 109:79-111, 2004], and Kyprianou and Surya [Finance Stoch. 11:131-152, 2007].
Does revenue momentum drive or ride earnings or price momentum?
(2014-01-01)
Chen, Hong-Yi
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Chen, Sheng-Syan
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Hsin, Chin-Wen
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Lee, Cheng-Few
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管理學院
This paper examines the profits of revenue, earnings, and price momentum strategies in an attempt to understand investor reactions when facing multiple information of firm performance in various scenarios. We first offer evidence that there is no dominating momentum strategy among the revenue, earnings, and price momentums, suggesting that revenue surprises, earnings surprises, and prior returns each carry some exclusive unpriced information content. We next show that the profits of momentum driven by firm fundamental performance information (revenue or earnings) depend upon the accompanying firm market performance information (price), and vice versa. The robust monotonicity in multivariate momentum returns is consistent with the argument that the market does not only underestimate the individual information but also the joint implications of multiple information on firm performance, particularly when they point in the same direction. A three-way combined momentum strategy may offer monthly return as high as 1.44%. The information conveyed by revenue surprises and earnings surprises combined account for about 19% of price momentum effects, which finding adds to the large literature on tracing the sources of price momentum. (C) 2013 Elsevier B.V. All rights reserved.
Effects of dividend tax and signaling on firm valuation: Evidence from taxable stock dividend announcements
(2013-11-01)
Kuo, Nan-Ting
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Lee, Cheng-Few
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交大名義發表
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National Chiao Tung University
Our study aims to isolate the negative tax effect of dividends from their positive signaling effect. We explore the market valuation of taxable stock dividends in Taiwan because management's voluntary taxation makes these dividends a reliable signal. We find that controlling shareholders' shareholdings positively impact market reactions to announcements of taxable stock dividends, while shareholders' weighted average tax rates and the discrepancy between controlling shareholders' ownership and control rights have negative impacts. The integrated tax system that reduces investors' dividend tax burdens alleviates the effects of both tax and signaling. We contribute to the literature by determining the relative importance of tax and signaling effects on firm valuation and demonstrating a unique characteristic of the interaction between stock dividends and ultimate ownership structure. (C) 2013 Elsevier B.V. All rights reserved.
EMPIRICAL STUDIES OF STRUCTURAL CREDIT RISK MODELS AND THE APPLICATION IN DEFAULT PREDICTION: REVIEW AND NEW EVIDENCE
(2009-12-01)
Lee, Han-Hsing
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Chen, Ren-Raw
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Lee, Cheng-Few
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資訊管理與財務金融系註：原資管所+財金所
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Department of Information Management and Finance
This paper first reviews empirical evidence and estimation methods of structural credit risk models. Next, an empirical investigation of the performance of default prediction under the down-and-out barrier option framework is provided. In the literature review, a brief overview of the structural credit risk models is provided. Empirical investigations in extant literature papers are described in some detail, and their results are summarized in terms of subject and estimation method adopted in each paper. Current estimation methods and their drawbacks are discussed in detail. In our empirical investigation, we adopt the Maximum Likelihood Estimation method proposed by Duan [Mathematical Finance 10 (1994) 461-462]. This method has been shown by Ericsson and Reneby [Journal of Business 78 (2005) 707-735] through simulation experiments to be superior to the volatility restriction approach commonly adopted in the literature. Our empirical results surprisingly show that the simple Merton model outperforms the Brockman and Turtle [Journal of Financial Economics 67 (2003) 511-529] model in default prediction. The inferior performance of the Brockman and Turtle model may be the result of its unreasonable assumption of the flat barrier.
Evaluation of small-and medium-sized display market forecasts
(2008-09-01)
Huang, Jen-Hung
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Huang, Hyley
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Lee, Cheng-Few
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管理科學系
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Department of Management Science
The main purpose of this paper is to evaluate small- and medium-sized display market forecasts made by a market research firm. Hypotheses concerning the relationship between stages of technology development and the accuracy of market forecasts are first developed. The hypotheses are then tested and evaluated using the data issued by one market research company, Techno Systems Research (TSR). Kruskal-Wallis rank sum test and nonparametric simple regression are the statistical methods used. The results of the data analysis showed that the forecasts made by the market research company are dependable for mature technology in mature markets, whereas for a new technology their forecasts are inaccurate. Furthermore, the accuracy of forecasts quite often does not improve over time. To our knowledge, no prior published works examine the accuracy of the forecasts made by market research firms. This research shows that small- and medium-sized display manufacturers have to be cautious when using forecast data from market research firms.
Futures mispricing, order imbalance, and short-selling constraints
(2013-01-01)
Lin, Emily
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Lee, Cheng-Few
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Wang, Kehluh
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管理科學系
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資訊管理與財務金融系註：原資管所+財金所
The aim of the research is to determine how the lifting of price restrictions on short sales and security-lending sales affects market efficiency, liquidity and arbitrage opportunities. The study examines trading behaviors of large and small traders separated by their transaction costs and shows the lifting of price restrictions strengthens the correlation between extreme order imbalance and extreme mispricing. Also, autocorrelations of the underpricing and overpricing persist longer, in particular for big traders, and so do those of buy-side and sell-side order imbalances. However, the outcomes for the post-lifting market efficiency are mixed. This paper provides evidence that lifting price restrictions enhances informed trading and the lead-lag relationship between mispricing and order imbalance in the cash and futures markets. (C) 2012 Elsevier Inc. All rights reserved.
INNOVATIVE BUSINESS MODELS IN SEMICONDUCTOR FOUNDRY INDUSTRY: FROM SILICON INTELLECTUAL PROPERTY PERSPECTIVES
(2011-05-01)
Chu, Po-Young
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Lee, Cheng-Few
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Yuen, Yuet-Sheung
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管理科學系
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資訊管理與財務金融系註：原資管所+財金所
Intellectual property (IP) is an exponentially consequential driver of competitive advantage nowadays. We bring in the technical views in the use of SIP technology as a more strategic weapon to elaborate our proposed strategies - design for manufacturability (DFM) adder, and home depot strategies through transaction cost approach that are able to be practically applying in the semiconductor foundry industry with added value by all means. DFM adder strategy is an effective solution specifying wafer processing enhancement while home depot strategy is an entire solution massing on product design integration. More substantially, these strategies are totally awesome mechanisms that can be matching and winning in the evolving marketplace for foundry industry in the 21st century.
On multiple-class prediction of issuer credit ratings
(2009-09-01)
Hwang, Ruey-Ching
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Cheng, K. F.
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Lee, Cheng-Few
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資訊管理與財務金融系註：原資管所+財金所
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Department of Information Management and Finance
For multiple-class prediction, a frequently used approach is based on ordered probit model. We show that this approach is not optimal in the sense that it is not designed to minimize the error rate of the prediction. Based upon the works by Altman (J. Finance 1968; 23:589-609), Ohlson (J. Accounting Res. 1980; 18:109-131), and Begley et al. (Ret Accounting Stud. 1996, 1:267-284) on two-class prediction, we propose a modified ordered probit model. The modified approach depends on an optimal cutoff value and can be easily applied in applications. An empirical study is used to demonstrate that the prediction accuracy rate of the modified classifier is better than that obtained from usual ordered probit model. In addition, we also show that not only the usual accounting variables are useful for predicting issuer credit ratings, market-driven variables and industry effects are also important determinants. Copyright (C) 2008 John Wiley & Sons, Ltd.
Technical, fundamental, and combined information for separating winners from losers
(2016-09)
Chen, Hong-Yi
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Lee, Cheng-Few
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Shih, Wei K.
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資訊管理與財務金融系註：原資管所+財金所
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Department of Information Management and Finance
This study examines how fundamental accounting information can be used to supplement technical information to separate momentum winners from losers. We first introduce a ratio of liquidity buy volume to liquidity sell volume (BOS ratio) to proxy the level of information asymmetry for stocks and show that the BOS momentum strategy can enhance the profits of momentum strategy. We further propose a unified framework, produced by incorporating two fundamental indicators the-FSCORE (Piotroski, 2000) and the GSCORE (Mohanram, 2005) into momentum strategy. The empirical results show that the combined investment strategy includes stocks with a larger information content that the market cannot reflect in time, and therefore, the combined investment strategy outperforms momentum strategy by generating significantly higher returns. (C) 2016 Published by Elsevier B.V.