Business Commons^™

Monday Effect: Trading Patterns Of Individual Investors, Muraleedharan Gopinathan

Walden Dissertations and Doctoral Studies

The efficient market hypothesis (EMH) has served as the central theory in modern finance for more than half a century. The Monday effect, in which returns and trading volumes on Mondays are generally lower than other days of the week, is one of the anomalies of the EMH. Researchers postulated the different investment patterns of individual investors as an explanation for the Monday effect. The purpose of this comparative study is to examine the role of individual investors on the Monday effect in the United States stock market. This study involved using actual individual investor data from the New York …

Microfinance For Smallholder Farmers: The Lived Experience Of Borrowers In Akaki, Ethiopia, Amsalu Alemayehu Gutema

Walden Dissertations and Doctoral Studies

Microfinance was intended to help smallholder farmers (SHFs), but the results have been disastrous for some individuals who have been unable to repay loans, often displacing them from their land. A lack of understanding of the lived experiences of borrowers complicates a full analysis of microfinance as a tool for poverty alleviation. The purpose of this qualitative descriptive phenomenological study was to explore the lived experiences of SHF borrowers in Akaki District, Ethiopia, related to microfinance loan repayment decisions. Habermas's critical social theory, which divides the social world into lifeworld and system, was the conceptual framework for the study. The …

Asymmetry Risk And Asset Pricing, Jiahao Gu

Graduate Theses, Dissertations, and Problem Reports

The dissertation primarily focuses on asymmetry risk and its role in asset pricing. Asymmetry risk is a crucial component of systematic risk. However, it does not attract much attention, probably because of the misconception that it is similar to other asymmetry measures (e.g., skewness). Chapter 1 defines the asymmetry risk. The risk indifference curve (RIC) predicts two asymmetry premiums in the return distribution rather than one in the downside. I also derive the risk-neutral measure of asymmetry risk.

Chapter 2 empirically investigates the asymmetry beta's return predictability and tail risk hedging ability. Consistent with the risk indifference curve, the asymmetry …

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

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

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

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

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

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

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

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

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

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

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

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 …

Financing Strategies For Small And Medium Enterprises In Mexico, Mónica Nuñez Huerta

Walden Dissertations and Doctoral Studies

At least 33% of small and medium enterprises (SMEs) in Mexico do not survive the first year and 65% close during the first 5 years of operations. SME survival is essential for a globally competitive market and professional development opportunities for SME employees. Grounded in the pecking order theory, the purpose of this qualitative multiple case study was to explore strategies four Mexican SME leaders used to obtain appropriate financing for their sustainability and growth during and beyond 5 years of beginning operations. Data were collected from semistructured interviews, organizational documents, and social media platforms. Data were analyzed using thematic …

Strategies For Sourcing Funding For Startup Businesses In Nigeria, Nelly Nwabuisi Adiawari Oburo

Walden Dissertations and Doctoral Studies

Some small and medium enterprise (SME) owners are challenged with sourcing adequate funds to start and continue in business. Financing SMEs is critical to their owners to ensure they can remain financially viable and continue contributing to Nigeria’s gross domestic product and economic growth. Grounded in the pecking order theory and the financial growth cycle theory, the purpose of this qualitative multiple case study was to explore strategies owners of startup SMEs in Federal Capital Territory (FCT), Nigeria, can adopt to source funds required to start and sustain a business beyond 5 years. Data were collected through semistructured interviews from …

Effect Of Servant Leadership On Job Satisfaction In Nigerian Mortgage Banks, Adedayo Aderemi Olatunbode

Walden Dissertations and Doctoral Studies

AbstractSeveral researchers examined the relationship between servant leadership and job satisfaction in organizations and reported a significant positive correlation between the two variables. However, the generalizability of these results was limited because 97% of the studies were conducted in the West and China, and none were conducted in Nigeria or in mortgage banks. The purpose of this nonexperimental, quantitative, correlational study was to examine the relationship between servant leadership and job satisfaction in a high-power distance culture, specifically in the mortgage bank industry in Nigeria. The theoretical frameworks were the leader-member exchange theory and motivation-hygiene theory. The research questions addressed …

Don’T Get Screwed: What Factors Determine The Inclusion Of J. Crew Blockers?, Michael Sill

CMC Senior Theses

A “J. Crew Maneuver” is a type of collateral-stripping event that transfers the value of a nearly insolvent company from the lender to the borrower. This concept matters to lenders because it exposes them to significant downside risk through the loss of hundreds of millions of pledged collateral. While credit analysts and debt lawyers have commented on the importance of preserving creditor value ex ante through lender-protective clauses embedded within debt documents, this paper breaks ground on empirically studying the determinants of these protective clauses known as “J. Crew Blockers”. I hypothesize that private equity backing, a contractionary credit environment, …

Zoom In, Class Out: An Event Study On Publicly Traded Ed Tech Firm Valuations During Covid-19, Matiss Ozols

CMC Senior Theses

This paper examines how publicly traded Ed Tech firms reacted to negative announcements regarding COVID-19. Using an event study method, I document how an international portfolio of Ed Tech firms react across multiple event windows. The results show that Ed Tech firms reacted positively to the announcement of the first US death and negatively to the World Health Organization’s declaration that COVID-19 was a pandemic. Additionally, differences in geographical location did not impact cumulative abnormal returns across event windows. Finally, firm-specific characteristics such as volatility and financial leverage had little or no significance on stock returns.

How Good Are Equity Analysts? Investigating The Impact Of Analyst Recommendations On Portfolio Performance, Maxwell Dawson

CMC Senior Theses

This paper lies at the convergence of the portfolio optimization literature and the equity research industry. I attempt to quantify the benefit provided to an investor by equity analysts from an asset allocation perspective, and hypothesize that no significant benefit exists because of the incentive misalignments facing analysts as well as the inherent difficulty of valuing stocks. Using a Bayesian regression framework with prior beliefs for alpha generated based on equity analysts’ recommendations, I find no significant difference in out-of-sample performance between portfolios which take analyst recommendations into account and portfolios which do not.

‘The Robinhood Effect’ - Digital Technology In Global Financial Markets And Its Effects On Investor Decision Making, Ben Steib

Honors Theses

We are currently experiencing a revolution that is larger, arguably, than the industrial revolution, it’s the Internet, also known as the World Wide Web. The Internet has transformed how we live — how we talk, how we work, how we go about our daily business, and how we manage our finances on a global and individual level. In the late 1990s, an investor would search the World Wide Web and, within seconds, find 3,372 websites with the term "investment,” today, the same search for “investment” yields 1,860,000,000 results. Today, as proven with GameStop and other popular ‘meme stocks,’ social media, …

Effects Of Advance Refunding Municipal Bonds After The U.S. Tax Cuts And Jobs Act, Sarah Curry

Doctor of Business Administration Dissertations

The process when U.S. municipalities retire callable bonds early and refinance them with bonds of a lower coupon rate is called advance refunding. The advance refunding of debt is a widespread practice in municipal finance; however, the Tax Cuts and Jobs Act of 2017 removed the option to keep this debt tax-exempt and now requires municipalities to convert from tax-exempt to taxable. The purpose of this research was to evaluate the impact eliminating advance refunding of municipal debt into tax-exempt status has on the municipality’s advance refunding decision making process, specifically at the state level. Municipal governments are still …

Three Essays On Financial Economics, Zhe Peng

Theses and Dissertations (Comprehensive)

Essay 1 deals with a topic in market microstructure. It examines a type of trading mechanism called a speed bump. The speed bump was introduced to slow down incoming orders to reduce the informational advantage of certain high-speed traders who could exploit their information to take advantage of slower traders. In 2016, the Investors Exchange (IEX) became the first securities exchange in the US to introduce a speed bump. In our first essay, we use trading data from IEX to study this issue. IEX's speed bump includes two layers of delays: a fixed delay on displayed orders and a contingent …

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

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

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 …

Pcaob Inspection Reports And Perceived Audit Quality, Coleman Michael Russell

Honors Theses and Capstones

No abstract provided.

What Is The Effect Of The Cares Act On Public Companies’ Pension Plan Contributions?, Kyle Joseph Norman

Honors Theses and Capstones

No abstract provided.

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 …