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Full-Text Articles in Business
The Effect Of Tax Avoidance On Firm Value In The Set, Jeff Dardouillet
The Effect Of Tax Avoidance On Firm Value In The Set, Jeff Dardouillet
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
The Effect Of Female Board On Firm Value Evidence From The Asia Pacific, Tanyatorn Kulalert
The Effect Of Female Board On Firm Value Evidence From The Asia Pacific, Tanyatorn Kulalert
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper examines the relationship between board gender diversity and firm value of companies in the Asia-Pacific from 2011 to 2020. Fixed effects and two-stage least squares are employed to deal with endogeneity. We find that increasing female directors to the board has a positive and significant effect on firm value as measured by Tobin’s Q. The result suggests that independent directors have a positive and significant impact on firm value. However, when the board is composed of independent directors, appointing female directors decreases the firm's value owing to over monitoring. Furthermore, the positive effect of female directors appears to …
Examination Of Facebook's Announcement Effect On Metaverse Tokens, Chalakorn Sathiwas
Examination Of Facebook's Announcement Effect On Metaverse Tokens, Chalakorn Sathiwas
Chulalongkorn University Theses and Dissertations (Chula ETD)
In this research, we study an announcement effect of Facebook Inc.’s rebranding to Meta Platform Inc. in October 2021, as a flagship event that sheds spotlight to the metaverse business, on 50 metaverse-related cryptographic tokens. Using Google’s CausalImpact package in R with historical daily returns within -30,7 windows, the model expects a 11.80% counterfactual CAR but the actual CAR is 69.20%, indicating a 57.40% absolute effect of this announcement on aggregate metaverse tokens at 99% significant level. We also further regress five factors, namely game-fi, marketplace, holders, illiquidity, and VC factor on the post-announcement CAR. However, the result is sparse. …
Are Short Sellers Equally Informed? Evidence From The Us. Credit Rating Announcements, Omtong Kasemsant
Are Short Sellers Equally Informed? Evidence From The Us. Credit Rating Announcements, Omtong Kasemsant
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study uses credit rating and daily short sale data of firms listed in NYSE from January 2015 to December 2021 to examine whether there is informed trading. Although post-announcement abnormal return is negatively correlated with abnormal short volume, no evidence of informed short selling is found. Higher level of pre-announcement abnormal short selling is positively correlated to default risk and also explained by the incentives of short sellers to short more when past returns are negative. Furthermore, increase in short selling that is preceded by credit watch placement is more pronounced before credit rating downgrades. Moreover, the evidence shows …
Mutual Fund Performance Evaluation With Active Peer Benchmarks Of Domestic Equity Funds In Thailand, Pornthip Supasinthanaphat
Mutual Fund Performance Evaluation With Active Peer Benchmarks Of Domestic Equity Funds In Thailand, Pornthip Supasinthanaphat
Chulalongkorn University Theses and Dissertations (Chula ETD)
We use the active peer benchmarks (APB) methodology suggested by Hunter et al. (2014) to capture commonalities or common idiosyncratic noise in fund strategies. These commonalities cannot be captured by the Carhart 4-factor model and it also decreases the accuracy in fund performance evaluation. Firstly, we examine the efficiency of the APB methodology compared with the Carhart 4-factor model. Then we also use the APB methodology to evaluate the performance of actively managed Thai open-end domestic equity funds from January 2006 through December 2020. In the APB methodology, we focus on two dimensions: fund returns and the fund’s investment objectives. …
The Impact Of Institutional Ownership And Valuation On Stock Price Around Set50 Index Inclusion And Exclusion, Pranittra Ritthiwitthayasakun
The Impact Of Institutional Ownership And Valuation On Stock Price Around Set50 Index Inclusion And Exclusion, Pranittra Ritthiwitthayasakun
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the impact of institutional ownership and valuation on stock price around the changes in index constituents. Specifically, this paper studies the significant SET50 index during the period of 2014 – 2021. According to the empirical result, there is an asymmetric price response between index additions and index deletions. The effects from exclusions are considerably stronger than from inclusions. The findings also show that percentage ownership of institutional investors and abnormal return are positively correlated in case of exclusions but not for inclusions (though insignificant). Companies deleted from the index result in lower institutional holdings and subsequently exhibit …
The Inflation Hedging Ability Of Real Estate Investment In Thailand, Pimpimuk Rodnikorn
The Inflation Hedging Ability Of Real Estate Investment In Thailand, Pimpimuk Rodnikorn
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
The Role Of A Banking Market Concentration In The Effect Of Monetary Policy On Bank Risk: Evidence From Thailand, Sasichanok Khongtip
The Role Of A Banking Market Concentration In The Effect Of Monetary Policy On Bank Risk: Evidence From Thailand, Sasichanok Khongtip
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research investigates the effect of monetary policy on bank risk exposure and the role of banking market concentration in affecting their relationship by using the data of 11 commercial banks listed in the Stock Exchange of Thailand at the quarterly frequency over the period of 2001-2019. The different measurements of bank risk exposure variables and monetary policy indicators given interest rate changes from the previous quarters, interest rate variations relative to their long-term trends, low interest rates and prolonged low interest rates are applied to secure the robustness in estimation results based on dynamic model namely the two-step system …
Ownership Concentration, Corporate Governance, And Firm’S Risk-Behavior: Evidence From Thailand, Napassorn Harnchaikittikul
Ownership Concentration, Corporate Governance, And Firm’S Risk-Behavior: Evidence From Thailand, Napassorn Harnchaikittikul
Chulalongkorn University Theses and Dissertations (Chula ETD)
The relationship among the ownership concentration, corporate governance, and firm risk are investigated in this study. The sample for this study include all the firm listed in Thailand Stock Exchange for the time period from 2010 to 2019. In this study, both direct and indirect relationship are investigated. The results shows that ownership concentration has positive significant effect on firm risk in the case of Thailand. The main explanation for this evidence is based on the socio-emotional wealth and limited liability feature of the listed firms. Meanwhile, corporate governance does not seem to have any significant impact on risk. Focusing …
The Impact Of Derivative Warrant Introduction : Evidence From Stock Exchange Of Thailand, Phuket Kumhangphon
The Impact Of Derivative Warrant Introduction : Evidence From Stock Exchange Of Thailand, Phuket Kumhangphon
Chulalongkorn University Theses and Dissertations (Chula ETD)
The impact that derivative instrument has on the underlying stocks is important for regulators and investors to concern. This paper tries to examine the impact of derivative warrant introduction on liquidity (measured by trading volume) and risk (measure by volatility and systematic risk beta) of the underlying stocks in stock exchange of Thailand. This paper examines the impact on trading volume by using t-test for testing the equality of two means between pre-derivative warrant introduction period and post-derivative warrant introduction period and using dummy variable regression for finding a change in the underlying’s trading volume after the introduction of derivative …
Effect Of Dividend On Derivative Warrants : Evidence From Stock Exchange Of Thailand, Nakarin Chanachaivorakorn
Effect Of Dividend On Derivative Warrants : Evidence From Stock Exchange Of Thailand, Nakarin Chanachaivorakorn
Chulalongkorn University Theses and Dissertations (Chula ETD)
The purpose of this paper is to investigate mispricing of derivative warrants on ex-dividend date. Using data from the Stock Exchange of Thailand during 2010 to 2020, this research examines mispricing of derivative warrants by comparing the market price to the theoretical price, which incorporates the adjustment of exercise price and ratio on ex-dividend date according to the rules given by SET. This research also studies further by investigating the magnitude of impact from the dividend yield of underlying asset. The empirical results show strong evidence of mispricing in call derivative warrants, whereas put derivative warrants are found to be …
Do Covid-19 Cases And Government Response To Covid-19 Drive Mispricing In Cross-Listed Companies?, Chomtarn Junanukul
Do Covid-19 Cases And Government Response To Covid-19 Drive Mispricing In Cross-Listed Companies?, Chomtarn Junanukul
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research is to examine impact of COVID-19 cases and government response to COVID-19 to cross-listed companies’ stock return, mispricing and volatility of the mispricing, using evidence from 164 Canadian companies’ stocks listed on Toronto Stock Exchange (TSX shares) and cross-listed in New York Stock Exchange or NASDAQ (US shares). Our results show that there is negative impact from growth of COVID-19 cases to stock return and positive impact from government response to COVID-19 to stock return in both Canada and US. As for impact to mispricing, using price premium of stock listed in Canada relative to US as a …
The Impacts Of Credit Rating Changes On Firm’S Dividend Payout And Investment Policies – Evidence In Thailand, Jakkrapob Choojan
The Impacts Of Credit Rating Changes On Firm’S Dividend Payout And Investment Policies – Evidence In Thailand, Jakkrapob Choojan
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper studies relationship between impacts of change in credit rating on firm's dividend payout and investment policies. We use data from listed companies in Stock Exchange of Thailand during 2000 - 2021. This paper applies fixed effect ordinary least squares to evaluate impacts of change in credit rating. From this paper, downgraded firms will decrease dividend payout and investment. However, upgraded firms will increase dividend payout and investment. Moreover, this paper studies relationship between impacts of change in credit rating on firm's investment efficiency. From this paper, downgraded firms will overinvest and upgraded firms will underinvest. This paper provides …
The Evidence Of The Beta Anomaly In The European Reit Market, Nutpapol Tantratananuwat
The Evidence Of The Beta Anomaly In The European Reit Market, Nutpapol Tantratananuwat
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper finds empirical evidence of the beta anomaly in the European REIT market in the period 2012 – 2021. The alpha of a low minus high beta strategy is positive and statistically significant which can interpret that the low beta REITs have a higher risk-adjusted return than high beta REITs. To examine the explanation behind the beta anomaly, the controlling variables which may cause the beta anomaly including the lottery-like stock return factor, the skewness factor, and the institutional ownership factor are added into the Fama-French 3-factor model. For the result, only the institutional ownership factor which refers to …
The Impact Of Moral Hazard In Institutional Environment On The Decision To Perform Partial Acquisition Or Full Acquisition, Thornthep Paengsawat
The Impact Of Moral Hazard In Institutional Environment On The Decision To Perform Partial Acquisition Or Full Acquisition, Thornthep Paengsawat
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper investigates the impact of moral hazard on the corporate strategic decision regarding Mergers and Acquisitions. Whether the decision by the acquirer to make partial or full acquisitions is driven by moral hazard is the main implication of this research paper. Considering several subsamples of mergers and acquisition transactions, in domestic transaction, an increase in private benefits of control does increase the odd of making partial acquisition. Considering the subsample of cross-border acquisitions, private benefits of control still increases the odd of making partial acquisition but the effect is less pronounced. Having control for the profit-maximizing reasons to make …
Does Size Really Matter? In Mergers Of Equals : An Event Study, Piyamart Srithanomwong
Does Size Really Matter? In Mergers Of Equals : An Event Study, Piyamart Srithanomwong
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research presents empirical studies on the impact of mergers of equals on shareholders’ wealth. Due to integration problems between combining corporations, Daimler-Chrysler merger failures caused the corporate sector to think that mergers of equals erode shareholder wealth. However, it is based on a small proportion of MOE transactions, and there is no empirical evidence on the shareholder’s return on the announcement date implications of MOEs related to the size of the merger. I provide this research knowledge for the shareholder wealth at the announcement date for the implications of MOEs related to the size effect of the merger. Furthermore, …
The Hedging Effectiveness Of Disruptive Technology Etfs To Asia Emerging Markets, Theerapong Theerahsapphawittaya
The Hedging Effectiveness Of Disruptive Technology Etfs To Asia Emerging Markets, Theerapong Theerahsapphawittaya
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the role of hedge and safe haven of four disruptive technology ETFs to six Asia emerging markets and assess whether if COVID-19 pandemic has altered the dynamic conditional correlations and hedge effectiveness between these assets. Using daily return data from February 23, 2018 to January 28, 2022, first, the results indicate that despite the outperformance of disruptive technology ETF’s returns during COVID-19 pandemic, these ETFs do not have a hedge or safe haven property against Asia emerging market downturns as their returns were still positively correlated. They can only be used as diversifier tools to the Asia …
Diversification Benefits Of Domestic And International Reits For Set Index Before And During Covid-19 Crisis, Korn Kongkittiwong
Diversification Benefits Of Domestic And International Reits For Set Index Before And During Covid-19 Crisis, Korn Kongkittiwong
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the diversification benefit of Thailand, the US, Europe, Singapore, and Japan REIT indices for the SET index. The time scope for this study starts from 1st January 2011 to 31th January 2022. It also compares the diversification benefit degree between pre and during Covid-19 periods. The DCC-GARCH model is used for the diversification benefit examination. The results posit 3 main points. First, all the REIT indices provide diversification benefit for the SET index. Second, the Covid-19 pandemic reduces diversification benefit generated by the US, Europe, and Japan REIT indices. Finally, the US provides the highest diversification benefit …
Mutual Fund Flow And The Real Economy, Sadanan Ekkaewnumchai
Mutual Fund Flow And The Real Economy, Sadanan Ekkaewnumchai
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper empirically examines the comparative relationship between flow of equity and bond fund with the expected and real economy among US, UK and Japan market. Two objectives are set in according to the implication of information-response theory. The first objective is to study the relationship between mutual fund flow and the expectation in the future economic conditions capturing by predictive variable. Due to investors’ sensitivity to economic conditions, the second objective is to study the ability of mutual fund flows to predict the real economic conditions. The analytical period covers from 2001: Q1 to 2020: Q4. The study found …
Causality Between Corporate Social Responsibility And Corporate Financial Performance, Yatida Palasri
Causality Between Corporate Social Responsibility And Corporate Financial Performance, Yatida Palasri
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper examines the causality relationship between corporate social responsibility (CSR) and corporate financial performance (CFP) of the listed companies in Asian Pacific emerging markets from 2010 to 2020. This paper analyzes the direction of causality between CSR and CFP in five different industries including energy, consumer non-cyclical, financial, technology and healthcare industries. This paper aims to study whether aggregated CSR scores and non-aggregate CSR scores (i.e., environmental, social and governance scores) toward the CFP measures (i.e., return-on-equity and Tobin’s Q ratios) have unidirectional or bidirectional relationship. In doing so, the bivariate panel vector autoregressive model and Granger causality test …
Spillover Effects Of Thailand Gdp Announcement Surprise To Aec Stock Markets, Sirilada Chansermpong
Spillover Effects Of Thailand Gdp Announcement Surprise To Aec Stock Markets, Sirilada Chansermpong
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines how Thailand GDP announcement surprise affects AEC stock markets which are Thailand, Indonesia, Malaysia, Singapore, Philippines, and Vietnam. In the sample of 44 GDP announcements in Thailand during 2009-2019, our result suggests that there is no impact to AEC stock markets on GDP announcement date. However, we find pre-and post- GDP announcement effect spillover to other countries in AEC. In addition, the direction of Thailand GDP announcement has no reaction on abnormal return on AEC stock exchanges. In contrast, our findings report the influence of macroeconomic conditions in Thailand on the abnormal return in Malaysia, Singapore, and …
Diversification Benefits Of Commodity Indices Versus Islamic Stock Indices, Sita Khan
Diversification Benefits Of Commodity Indices Versus Islamic Stock Indices, Sita Khan
Chulalongkorn University Theses and Dissertations (Chula ETD)
The objective of this study is to investigate conditional correlations between the Dow Jones Emerging Market index and commodity indices (i.e., agriculture, energy, industrial metals, livestock, precious metals) and Islamic stock indices (i.e., JKII, KLFTEMSI, MSCI Bahrain, MSCI Kuwait, and MSCI Qatar). Additionally, this paper classifies the properties of assets whether it is a diversifier, a hedger, or a safe-haven assets to the Dow Jones Emerging Market index. The estimation method is the dynamic conditional correlation generalized autoregressive conditional heteroskedasticity (DCC-GARCH) model to estimate the conditional correlations during the period of 2007-2021 which covers the Global financial crisis (GFC) and …
Halloween Effect And Equity Mutual Funds In Thailand, Tunyaporn Wiriyadee
Halloween Effect And Equity Mutual Funds In Thailand, Tunyaporn Wiriyadee
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper investigates one of the most famous seasonal anomalies, namely Halloween effect. It is based on the observation that return during November to April so-called winter period tend to perform better than return during May to October so-called summer period. Using a sample of 97 Thailand equity funds during 2012-2021, we extend previous research by focusing on the Halloween effect in mutual funds market. Our research consists of three main objectives. First, we investigate the existence of Halloween effect in Thailand equity mutual funds. Second, we look into different characteristics of funds by categorizing based on categories from Morningstar …
Do Issuers Affect Derivative Warrants Overpricing? Evidence Of Thailand, Sarunporn Thupthong
Do Issuers Affect Derivative Warrants Overpricing? Evidence Of Thailand, Sarunporn Thupthong
Chulalongkorn University Theses and Dissertations (Chula ETD)
Derivative warrants have become increasingly popular in many countries. However, numerous literatures provide the empirical evidences that derivative warrants are overpriced relative to the comparable options. Many researchers found that the derivative warrant overpricing can be explained by hedging cost, liquidity premium, market power, and asymmetric information of investors. These explanations are likely to be related to characteristics of derivative warrant issuer. Therefore, this paper comes up with the objective to reconfirm the overpricing phenomenon in Thailand and investigate the issuer identity effect on the derivative warrant overpricing as well as examine what issuer’s characteristics cause the level of overpricing …
Is Cryptocurrency A Hedge, Safe Haven, Diversifier Against Thailand, Indonesia, Philippine Stock Market On Pre-Covid-19 And During Covid-19?, Suphawit Keakultanes
Is Cryptocurrency A Hedge, Safe Haven, Diversifier Against Thailand, Indonesia, Philippine Stock Market On Pre-Covid-19 And During Covid-19?, Suphawit Keakultanes
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research study whether cryptocurrencies act as a hedge, safe haven or diversifier against Thailand, Philippines, and Indonesia stock exchange market. Using DCC-GARCH model and hypothesis test, we examine the hedge ratio and the conditional correlation between cryptocurrencies and TIP’s stock exchange market. The sample cover data on the return of the TIP’s index, Bitcoin, Ethereum, Tether and Litecoin from 1st January 2016 to 31st December 2021. The empirical results show that traditional cryptocurrencies, such as Bitcoin and Litecoin can act as diversifier, Ethereum can act as hedge instrument in PSEI index. Tether can act as the hedge and safe …
The Monetary Policy Transmission During The Crisis: Evidence From Thailand, Duangporn Lertsomphol
The Monetary Policy Transmission During The Crisis: Evidence From Thailand, Duangporn Lertsomphol
Chulalongkorn University Theses and Dissertations (Chula ETD)
The interest rate pass-through is defined as the process by which changes in policy or money market rate are transmitted to commercial bank rates. In other words, monetary policy transmission is one of the useful tools for the analysis of effective monetary policy decisions. This paper examines the effectiveness of the interest rate passthrough from the money market rate to various lending rates (MLR, MOR, and MRR) in Thailand from 2008 to 2021 including crisis periods, and also assesses the impact of bank characteristics. Using the panel cointegration method and error correction model with monthly data from individual commercial banks. …
The Link Between Esg And Firm Performance In Healthcare Industry: The Moderating Role Of Firm Age And People Awareness, Thongpattra Nanna
The Link Between Esg And Firm Performance In Healthcare Industry: The Moderating Role Of Firm Age And People Awareness, Thongpattra Nanna
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper examines the link between ESG and firm performance in healthcare industry moderated by firm age and advertising expenses from 2011 to 2020. Firm performance is measured by Tobin’s Q, ROA, ROE and asset turnover. This study finds the evidence that environmental pillar is the most important metric to improve firm value in healthcare equipment & supplies and advertisement helps social and governance pillars to add more value. Biotechnology looks alike, but firm age can moderate environment pillar to increase the value. Moreover, social pillar is the most influential to add firm value for healthcare provider & services and …
Market Reactions Towards Changes In Analysts’ Ratings And Target Prices, Evidence From Thailand, Talatarn Kromadit
Market Reactions Towards Changes In Analysts’ Ratings And Target Prices, Evidence From Thailand, Talatarn Kromadit
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper aims to perform a comprehensive analysis of the effects of the stock ratings and target prices announcement published by analysts from both domestic and foreign brokerage firms in the Thai market. There are two quantitative indicators that will be focused on in this study, target prices and stocks rating, by observing the change of these two factors along with the change of market price, I will be able to study market reaction by using the Fama-French 3-factor modal (Fama and French, 1992) to detect AR and CAR within each focused window period. The observation period starts from January …
International Evidence On Corporate Rating Changes, Torfun Kantatasiri
International Evidence On Corporate Rating Changes, Torfun Kantatasiri
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research aims to study the reaction of the International stock market around the corporate bond rating change announcements by Moody's between 2015-2021 using stocks and rating data from Datastream. The empirical result shows a significantly positive reaction after the upgrades announcement and a negative reaction around the downgrades event date. Specifically, the impact of rating changes on stock prices is larger around downgrades. The results imply that there is an information effect but no price pressure effect since there is a significant reaction in response to downgrades for all samples insignificance impact following downgrades for sub-sample of the changes …
Spac Sponsors And Their Effects On Spac Prices, Kanda Karnjanonun
Spac Sponsors And Their Effects On Spac Prices, Kanda Karnjanonun
Chulalongkorn University Theses and Dissertations (Chula ETD)
The purpose of this paper is to find the effect from SPAC sponsor after the merger announcement. I study SPAC IPOs which had acquiror and target nation in the United States and were public between January 2020 and December 2021. The final sample has 186 SPACs. I select The Forbes 400 in 2021 as a proxy for sponsor reputation. I use event study methodology to test for SPAC sponsors and their effects on SPAC prices. I find that there is no statistical evidence that sponsor reputation has impact on SPACs price on the announcement date of combination. There are two …