Statistics for business and financial economics: Third edition

Statistics for Business and Financial Economics: Third Edition

Volumn , Issue , 2013, Pages 1-1206

  Lee, Cheng Few ^a   Lee, John C ^b   Lee, Alice C ^c  

^a RUTGERS UNIVERSITY   (United States)

^b Center for PBBEF Research   (United States)

^c NONE   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84929619837     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1007/978-1-4614-5897-5     Document Type: Book

References (68)

1. The advantage of using the geometric average rather than the arithmetic average is discussed by Lee et al. (1990), Security Analysis and Portfolio Management, Scott, Foresman, Little, Brown (Chap. 3).
2. This example is based on the material discussed in J. H. Miller, "Store Satisfaction and Aspiration Theory", Journal of Retailing, 52(Fall 1976), 65-84.
3. This section is essentially based on Cheng F. Lee, Joseph E. Finnerty, and Donald H. Wort (1990) Security Analysis and Portfolio Management (Glenview. III.: Scott. Foresman), Chapter 15.
4. Copyright © 1990 by Cheng F. Lee. Joseph E. Finnerty, and Donald H. Wort. Reprinted by permission of Harper Collins Publishers.
5. Karl F. Gauss (1777-1855) discovered that the measurement of errors often follows a normal distribution.
6. This section can be omitted without affecting the continuity of the text. Further discussion on the lognormal distribution can be found in Aitchison, J., Brown, J. A. C.: The Lognormal Distribution with Special Reference to Its Uses in Economics. Cambridge University Press, London (1957).
7. Hilliard, J. E., Leitch, R. A.: Cost-volume-profit analysis under certainty: A lognormal approach. Acc. Rev., 69-80 (1975 January).
8. Hillier, R. S.: The derivation of probabilities information for the evaluation of risky investments. Manage. Sci., 443-457 (April 1963). Section 21.8 and Appendix 4 (Chap. 21) will discuss this issue in further detail.
9. See Rendleman, Jr R. J., Barter, B. J.: Two-state option pricing. J. Finance 34, 1093-1010 (1979).
10. See Lee, C. F. et al.: Security Analysis and Portfolio Management, pp. 75-760. Scott, Foresman/Little, Brown, Glenview (1990)
11. The relationship is known as put-call parity. See Hall, J. C.: Introduction to Futures and Option Markets Prentice-Hall, New Jersey (1995)
12. Bailey A. D. Jr.: Statistical Auditing: Review, Concepts and Problems, pp. 138-42. New York, Harcourt, Brace Jovanovich (1981)
13. Sloan F. A., Lorant J. H.: The role of patient waiting time: Evidence from physicians' practices. J. Bus., October, 486-507 (1977)
14. See Lee C. F.: Financial Analysis and Planning: Theory and Application, ppp. 358-363. Reading, Addison-Wesley (1985)
15. Johnson, W. L., Katz S.: In Continuous Univariate Distribution I, pp. 170-181. Houghton Mifflin, Boston, 1970, show that a normalized x2 distribution approaches a standard normal distribution when the number of degrees of freedom approaches infinity. The normalized statistic is defined as w2v-v)/2v.
16. See Robert V. H. Allen T. C.: Introduction to Mathematical Statistics 4th Edition, pp. 288-290. Macmillan, New York, (1978)
17. The derivation of this formula can be found in Mark S.: Computing the constant elasticity of variance option pricing formula. J. Finance. 44, 211-220 (1989)
18. See Beckers S.: The constant elasticity of variance model and its implications for option pricing. J. Finance. 35, 661-673 (1980)
19. R. A. Fisher (1922), "On the Mathematical Foundations of Theoretical Statistics", Phil. Trans. Roy. Soc. London. Series A, Vol. 222.
20. This and the next section are essentially drawn from J. R. Evans and W. M. Lindsay (1989), The Management and Control of Quality (St. Paul, MN: West), Chaps. 12, 13, and 15. Reprinted by permission by West Publishing Company. All rights reserved. The main reason for including quality control in this chapter is that the construction and use of control charts in process control are similar to the construction and use of interval estimates discussed in the last five sections. Note, however, that the interval estimate focused on the static estimate of confidence intervals based on fixed populations, whereas quality control charts involve the dynamic estimate of confidence intervals to detect potential changes in populations.
21. W. J. Stevenson (1990), Production/Operations Management, 3rd ed. (Homewood, IL: Irwin);
22. E. L. Grant and R. S. Leavenworth (1988), Statistical Quality Control, 6th ed. (New York: McGraw-Hill);
23. G. K. Griffith (1989), Statistical Process Control Methods for Long and Short Runs (Milwaukee, WI: ASQC Quality Press);
24. and J. R. Evans and W. M. Lindsay (1989), The Management and Control of Quality, (St. Paul, MN: West).
25. See T. T. Ryan (1989), Statistical Methods for Quality Improvement (New York: Wiley), for a detailed discussion of this relationship.
26. This example is drawn from J. R. Evans and W. M. Lindsay (1989). The Management and Control of Quality (St. Paul, MN: West), pp. 317-323 and pp. 359-360.
27. M. Britto and R. M. Oliver (1986), "Forecasting Donors and Donations", Journal of Forecasting 5, 39-55.
28. H. L. Guffey, J. R. Harris, and J. F. Laumer (1979), "Shopper Attitudes Toward Shoplifting and Shoplifting Prevention Devices", Journal of Retailing 55, 75-99.
29. This section on Miller and Orr's model for cash management is taken from Cheng F. Lee and Joseph E. Finnerty (1990), Corporate Finance: Theory, Method, and Applications (New York: Harcourt) pp. 595-598.
30. Fern E. F.: The use of focus groups for idea generators: The effect of group size, acquaintanceship, and moderator on response quantity and quality. J. Mark. Res. 19, 1-13 (1982)
31. This example is drawn from a study by Giddy I. H.: Moral Hazard and Central Bank Rescues in an international context. Financ. Rev. 15(2), 50-60 (1980). Reprinted by permission of the publisher.
32. This example is taken from Sharma S., Mahajan V.: Early warning indicators of business failure. J. Mark. 44, 80-89 (1980). Reprinted by permission of the American Marketing Association.
33. Liedtka J. M.: Value congruence: The interplay of individual and organizational value systems. J. Bus. Ethics 8, 805-815 (1989). Reprinted by permission of Kluwer Academic Publishers.
34. Preston R. H., Dwyer F. R., Rudelius W.: The effectiveness of bank premiums. J. Mark. 42(3), 39-101 (1978)
35. The material in this section draws heavily on Stevenson W. J.: Production/Operations Management, 3rd ed., pp. 829-836. Homewood, irwin), (1990)
36. See H. Scheffé (1959), The Analysis of Variance (New York: Wiley). This method has been adjusted for the number of means to be compared. This is the simplest case of Scheffé's multiple comparison.
37. D. J. Bobko, P. Bobko, and M. A. Davis (1986), "Effects of Visual Display Scales on Duration Estimates", Human Factor 28, 153-158. Reprinted with permission. Copyright © 1986 by The Human Factors Society, Inc. All rights reserved. The duration is estimated by the length of time passing as a moving display is watched.
38. G. A. Churchill, Jr. (1983), Marketing Research: Methodological Foundations, 3rd. ed., pp. 523-524. Copyright © 1983 by The Dryden Press, reprinted by permission of the publisher.
39. The basic information of this appendix is essentially based upon MINITAB Reference Manual Release 11 June 1996, pp 10-1 through 10-28.
40. C. C. Wallin and J. J. Gilman (1986). "Determining the Optimum Level for R&D Spending", Research Management, Vol. 14, No. 5, Sept./Oct., 19-24.
41. The weights obtained here do not consider the information of the expected rates of return for both stock A and stock B. The formula of estimating the optimal weights in terms of both variances and expected rates of return can be found in Chap. 8 of Cheng F. Lee et al. (1990), Security Analysis and Portfolio Management (Glenview, Ill.: Scott Foresman/Little, Brown).
42. This equation is based upon Whaley, Robert E. (1981), "On the Valuation of American Call Options on Stocks With Known Dividends", Journal of Financial Economics 9, 207-211.
43. This portion is based upon Appendix 13.1 of Hans R. Stoll and Robert E. Whaley (1993), Futures and Options (South Western Publishing, Cincinnati).
44. Fisher R. A.: On the probable error of a correlation coefficient deduced from a small sample. Mentor 1, part 4, 3-32 (1921)
45. Source: Bailey A. D. Jr.: Statistical Auditing: Review, Concepts and Problems, pp. 124-125. San Diego, Harcourt (1981). Copyright © 1981 by Harcourt Brace Jovanovich, Inc., reprinted by permission of the publisher
46. This application is drawn from Stevenson W. J.: Production/Operations Management, 2nd ed., pp. 137-141. Homewood, Irwin (1986). Reprinted by permission of Richard D. Irwin.
47. P. Bobko and L. Donnelly (1988), "Identifying Correlations of Job-Level, Overall Worth Estimates: Application in a Public Sector Organization", Human Performance 3, 187-204
48. See Marquardt, D. W.: You should standardize the prediction variables in your regression models, discussion of A Critique of Some Ridge Regression Methods, by G. Smith and F. Campbell, J. Am. Stat. Assoc. 75, 87-91 (1980).
49. Theil, H.: Principles of Econometrics, Wiley, New York (1971).
50. See Cartwright, Lee.: Time aggregation and the estimation of the market model: Empirical evidence. J. Bus. Econ. Stat. 5(1), 131-143 (1987)
51. This section is essentially based on Johnson, N. B., et al.: Deregulation, business strategy and wages in the airline industry. Ind. Relations 28(3), 419-430 (1989)
52. See Lee, Cheng F., Finnerty, Joe E.: Corporate Finance. Harcourt Brace Javanovich, San Diego (1990)
53. See Lee, Cheng F., Finnerty, Joseph E., Wort, Donald H.: Security Analysis and Portfolio Management. Glenview. I11, Scott, Foresman (1990), Chap. 5.
54. See Kruskal W. H., Wallis W. A.: Use of ranks in one-criterion variance analysis. J. Am. Stat. Assoc. 47(152), 583-621 (1952)
55. This example is adapted from results given by Jaggi, B.: Further evidence on the accuracy of management forecasts vis-à-vis analysts' forecasts. Account. Rev. 55, 96-101 (1980)
56. Finn, D. W., Wang, C. K., Lamb, C. W.: An examination of the effects of sample composition bias in a mail survey. J. Mark. Res. 25(Oct), 331-338 (1983).
57. The X-11 model for decomposing time series components can be found in Appendix 24. A of the book entitled "Financial Analysis, Planning and Forecasting: Theory and Application" by Lee, A. C, J. C. Lee and C. F. Lee., 2nd ed. Singapore: World Scientific Publishing Company, 2009.
58. It should be noted that the exponential smoothing model of section 18.5 of the autoregressive models described herein are all special cases of autoregressive integrated moving average (ARIMA) models developed by Box and Jenkins. The Box-Jenkins approach, however, is beyond the scope of this text.
59. See Lee, C. F., et al.: Foundation of Financial Management. West Publishing Company, Minneapolis/St. Paul (1997), Chap. 3 for detail.
60. See Hall, J. C.: Introduction to Futures and Options Markets, 3rd edn. Prentice-Hall, New Jersey (1998), Chap. 12 for further discussion on this topic.
61. J. Keon and H. Assael (982), "Nonsampling vs. Sampling Errors in Survey Research" Journal of Marketing, Spring 1982, 114-123.
62. The derivation of the sample size for proportional allocation defined in Eq. 20.13 and that of the sample size for optimal allocation with similar variable cost in each stratum, defined in Eq. 20.15, can be found in T. Yamane (1967), Elementary Sampling Theory, (Englewood Cliffs, NJ.: Prentice Hall), Chapter 6.
63. See T. Yamane (1967), Elementary Sampling Theory, Chap. 8.
64. This application is drawn from G. A. Churchill, Jr. (1983), Marketing Research: Methodological Foundations, 3d ed., (Chicago: Dryden), pp. 441-442. Copyright © 1983 by The Dryden Press, reprinted by permission of the publisher.
65. This example is similar to an example given in Gilbert A. Churchill, Jr. (1983), Market Research: Methodological Foundations, 3d ed. (Chicago: Dryden) pp. 37-42.
66. The derivation and justification of this investment performance measure can be found in J. Treynor (1965), "How to Rate Management of Investment Fund", Harvard, Business Review 43, 63-75.
67. The derivation and justification of Jensen investment performance measure can be found in Michael C. Jensen (1968), "The Performance of Mutual Fund in the Period 1945-1964", Journal of Finance 23, 389-416.
68. This section discussed how can we use statistical distribution method to make capital budgeting under uncertainty. Other methods to perform capital budgeting under uncertainty can be found in Lee, A. C, J. C. Lee, and C. F. Lee. Financial Analysis, Planning and Forecasting: Theory and Application, 2nd ed. Singapore: World Scientific Publishing Company, 2009.