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Finance and Financial Management

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2021

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Full-Text Articles in Business

The Monetary Policy Transmission During The Crisis: Evidence From Thailand, Duangporn Lertsomphol Jan 2021

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. …

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The Link Between Esg And Firm Performance In Healthcare Industry: The Moderating Role Of Firm Age And People Awareness, Thongpattra Nanna Jan 2021

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 …

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Market Reactions Towards Changes In Analysts’ Ratings And Target Prices, Evidence From Thailand, Talatarn Kromadit Jan 2021

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 …

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International Evidence On Corporate Rating Changes, Torfun Kantatasiri Jan 2021

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 …

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Spac Sponsors And Their Effects On Spac Prices, Kanda Karnjanonun Jan 2021

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 …

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The Impact Of Government Response’S Policy To Covid-19 On Stock Market Volatility, Chaiwat Ratchawat Jan 2021

The Impact Of Government Response’S Policy To Covid-19 On Stock Market Volatility, Chaiwat Ratchawat

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research explores the effect of government's COVID-19 response policy on stock market volatility. We explain the stock market volatility dynamics via the index that measures the strict level of government response’s policy to COVID-19. Using EGARCH (1,1) model to identify stock market volatility from daily stock market return of 68 countries and apply the Arellano–Bond two-step system GMM estimator for dynamic panel data analysis, we found that the stock market volatility in the COVID-19 period can be reduced by the government policy response to COVID-19. Furthermore, after dividing the index into 3 types, all types of policy also reduce …

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Does Accounting Quality Reduce External Financial Constraints?, Chapit Asirapongporn Jan 2021

Does Accounting Quality Reduce External Financial Constraints?, Chapit Asirapongporn

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates how accounting quality relates to financial constraints at the firm level. In this study, our first hypothesis is that higher accounting quality reduces financial constraints at the firm level. Our second hypothesis is that higher accounting quality reduces financial constraints more after IFRS adoption in 2011 than before IFRS adoption in Thailand. Our third hypothesis is that higher accounting quality reduces financial constraints more in state-owned enterprises than in privately-owned enterprises. Lastly, auditing quality could be another proxy of accounting quality. Therefore, our fourth hypothesis is that higher auditing quality reduces financial constraints at the firm level. …

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The Co-Movement Between Equity Markets Of Thailand And China : A Wavelet-Based Approach, Shilei Sun Jan 2021

The Co-Movement Between Equity Markets Of Thailand And China : A Wavelet-Based Approach, Shilei Sun

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper applied the MODWT wavelet method to decompose correlations of the stock market of Thailand and China into different time scales and frequencies. The decomposed correlations are then examined and compared between short-term and long-term, and also between different time periods when the interdependence of two markets is expected to change. The result shows that long-term correlation is not significantly higher and sometimes is significantly lower than the short-term, whereas the correlation does significantly increase from 2005 to 2020. Furthermore, the paper investigates the effectiveness of using the correlation in the suitable time scale and frequency in an application …

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Do Domestic Institutional Investors Always Win? (Evidence From The Stock Exchange Of Thailand), Preeyada Kanakupt Jan 2021

Do Domestic Institutional Investors Always Win? (Evidence From The Stock Exchange Of Thailand), Preeyada Kanakupt

Chulalongkorn University Theses and Dissertations (Chula ETD)

No abstract provided.

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How Does Thai Stock Market React To The Environmental Policy Announcements?, Veerapat Virochpoka Jan 2021

How Does Thai Stock Market React To The Environmental Policy Announcements?, Veerapat Virochpoka

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper investigated the impact of environmental policy announcements to the stocks in the Stock Exchange of Thailand. The announcements are related to climate change in the world forum (Paris Agreement) and plastic waste management. Investors are aware of the environmental policy which could have an impact to firms. We found that 7 out of 8 announcements experienced significant cumulative abnormal returns (both positive and negative). In terms of industry, the only industry which reacted to all announcements is industrials. The majority of firms in the industrials industry are operators related to chemicals, automotive and general manufacturing which are more …

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The Impact Of Esg Performance On Firm-Idiosyncratic Risk In The Us And Canada, Nutcha Kongpreecha Jan 2021

The Impact Of Esg Performance On Firm-Idiosyncratic Risk In The Us And Canada, Nutcha Kongpreecha

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper aims to examine how environmental, social, and governance (ESG) performance affects the idiosyncratic risk of firms in the United States and Canada between 2007 and 2020. This study retrieves ESG scores and other factors from the Refinitiv DataStream, the firms used for analysis in this paper are 480 listed companies. Results show that ESG performance can reduce idiosyncratic risk in different firms' characteristics and periods. First, ESG performance can subdue the idiosyncratic risk in both sensitive and non-sensitive industries at the same level. Second, only the environmental pillar in the sensitive industry has an additional negative influence on …

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Does Bond Market Development Impact The Flight-To-Quality From Stock To Bond During Covid-19?, Patcharee Sae-Tiaw Jan 2021

Does Bond Market Development Impact The Flight-To-Quality From Stock To Bond During Covid-19?, Patcharee Sae-Tiaw

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper analyzed flight to quality effect from stocks to government bonds in 46 countries including developed and emerging countries during COVID pandemic. The empirical result from panel data framework shows that the flights exist and government bonds remain offered diversification benefit to investors when they are most needed. The negative stock-bond correlation was also amplified when pandemic is more severe in developed countries. Moreover, this study reveals that countries with a higher degree of bond market development can support bonds act as a safe haven better and have more negative in stock-bond correlation.

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How Sensitive Are Ipos To The Fear Of The Covid-19 Pandemic In Emerging Markets?, Kavisara Vachekrilas Jan 2021

How Sensitive Are Ipos To The Fear Of The Covid-19 Pandemic In Emerging Markets?, Kavisara Vachekrilas

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates the relationship between COVID-19-related pandemic fear and the short-term performance of initial public offerings in emerging markets. This paper investigates whether the short-term fear of COVID-19 continues to influence post-IPO performance. In doing so, the fundamental methodology is cross-sectional ordinary least squares (OLS) regression and numerous variables are included to the model as control variables. The results show that whether looking at the first-day trading price of an IPO or the subsequent trading prices, the effect of pandemic fear (GFI, RCI and RDI) was positive. However, results were somewhat different for HighGFI, which was a dummy variable …

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Oil Shocks And Corporate Investment: Evidence From Stock Exchange Of Thailand (Set), Pakkawat Kitsirikarn Jan 2021

Oil Shocks And Corporate Investment: Evidence From Stock Exchange Of Thailand (Set), Pakkawat Kitsirikarn

Chulalongkorn University Theses and Dissertations (Chula ETD)

This special project empirically examines the impact from the different type of oil price shocks on corporate investment. This study follows the method proposed by Kilian (2009). He uses the structural vector autoregression model to decompose oil price shock into 3 type which comprised with oil supply shock, oil aggregate demand shock, and oil specific demand shock. Moreover, this work also incorporates industrial competition to investigate how it link to the impact of oil shock on corporate investment. The empirically examine period is Jan 2007 to Dec 2018. This study uses the firm-level data of companies listed in the stock …

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Is Thai Baht A Safe Haven Currency During The Covid-19 Pandemics, Nanapat Chaochavanil Jan 2021

Is Thai Baht A Safe Haven Currency During The Covid-19 Pandemics, Nanapat Chaochavanil

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper empirically investigates whether or not Thai Baht (THB) is actually one of the safe haven currencies. Moreover, we also extend analysis to see if its safe haven pattern is persistent during the COVID-19 pandemic. We are not only study for THB, but also take into account other traditional well known safe- haven currencies namely U.S. Dollar (USD), British pound sterling (GBP), Euro (EUR), Swiss Franc (CHF) and Japanese Yen (JPY). By investigating between 2010 - 2019, our results do not support the idea that THB is a safe haven currency. Nevertheless, this paper found that for other well-known …

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Is Currency Risk Priced In The Stock Return - Evidence From Aec Markets, Viriyah Vorasitchai Jan 2021

Is Currency Risk Priced In The Stock Return - Evidence From Aec Markets, Viriyah Vorasitchai

Chulalongkorn University Theses and Dissertations (Chula ETD)

When investors from different countries invest abroad in the same destination country and same asset is invested, they may achieve different foreign asset return or value after converting back to the home currency in each country, in other words, the value of such investment and its return could differ from what they retain in the that foreign currency. This phenomenon leads to the risk called “currency risk”. The currency risk could also be seen in several different ways such as economic risk, transaction risk as so on. Considering the value of the asset return after converting back to home currency, …

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Safe-Haven Property Of Gold Toward Multi Asset Portfolio During Covid-19 Pandemic, Naratporn Thamthonsiri Jan 2021

Safe-Haven Property Of Gold Toward Multi Asset Portfolio During Covid-19 Pandemic, Naratporn Thamthonsiri

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study test whether gold has a property of safe-haven asset during the COVID-19 pandemic by performing multivariate time series analysis against multiple asset classes (equity, fixed income, property fund and REIT, and BITCOIN). Dividing testing period into pre- (2015 -2019) and on-going COVID-19 period (2020), the result of long run cointegration test came out that gold is shown to have a cointegrating relationship only during COVID-19 and no cointegration during pre-pandemic. This can be indicated that gold does not have the property of being a hedging instrument over a long run but consider itself to be a hedging asset …

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The Effect Of Air Pollution On Stock Returns: Evidence From Thailand And Indonesia, Fengxu Lin Jan 2021

The Effect Of Air Pollution On Stock Returns: Evidence From Thailand And Indonesia, Fengxu Lin

Chulalongkorn University Theses and Dissertations (Chula ETD)

The objective of this paper is to investigate the impact of air pollution on stock returns in Thailand and Indonesia from January 1, 2016, to June 30, 2021. Further effects of air pollution on stock returns during the seasonal pollution period, full moon period, new moon period, and high pollution period are also studied. The result shows that a lagged day of air pollution proxy significantly reduces stock returns in Thailand. The significant negative effect of air pollution on stock returns is similar to that after controlling for the January effect. This is consistent with the finding of Li and …

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Stock Return Dispersion And Performance Of Domestic Equity Funds In Thailand, Pavit Sae-Eng Jan 2021

Stock Return Dispersion And Performance Of Domestic Equity Funds In Thailand, Pavit Sae-Eng

Chulalongkorn University Theses and Dissertations (Chula ETD)

We examine the relation between cross-sectional return dispersion and actively domestic open-ended fund performance in Thailand, with the rationale mechanism that in the time of high return dispersion, where provide the opportunity for the fund managers to generate the positive value of abnormal return. Consist to the finding in US data that the period of the highest return dispersion the most activeness fund significant outperform the least activeness fund. Thai data provided the added value that active fund with the moderate to high activeness earn positive abnormal return in the period of the highest return dispersion. we also find the …

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Complex Model Versus Complex Data In An Application Of Predicting Mortgage Loan, Yu Weng Jan 2021

Complex Model Versus Complex Data In An Application Of Predicting Mortgage Loan, Yu Weng

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research aims to measure the benefits of complex model versus those of meaningful information, through an application of credit risk prediction for mortgage loans. The neural network represents complex model and the regression model represents simple model. Two types of data are applied in this analysis: simple data and complex data. The complex data is obtained from the simple dataset using information extraction techniques and data transformation. The two specific variables constructed in our complex data are Loan-to-value and Housing Expense ratio. Applied to the monthly Single-Family Loan-Level Dataset of Freddie Mac from year 2010 to year 2018 in …

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Portfolio Construction Under Group Risk Parity Strategy In The Stock Exchange Of Thailand, Warintorn Sornpradit Jan 2021

Portfolio Construction Under Group Risk Parity Strategy In The Stock Exchange Of Thailand, Warintorn Sornpradit

Chulalongkorn University Theses and Dissertations (Chula ETD)

Risk parity strategy has been commonly applied to construct a portfolio with multiple asset classes. For single asset class, group risk parity is introduced such that risks from each group are equally contributed. This study investigates and compares performances of group risk parity strategy in Thai market under two different grouping methods which are sector and size with non-group risk parity, minimum-variance, and equal-weight strategies. The study mainly focus on two periods which are during 2016-2020 and in years with highly volatile down market. The analysis indicates that there is no clear evidence that group risk parity strategy outperforms others …

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Intellectual Capital's Impact On Corporate Performance During The Age Of Digitalization And The Covid-19 Pandemic, Chance Sears Jan 2021

Intellectual Capital's Impact On Corporate Performance During The Age Of Digitalization And The Covid-19 Pandemic, Chance Sears

CMC Senior Theses

The purpose of this paper is to examine the relationship between intellectual capital and firms’ financial and market performance during the peak levels of digitalization, focusing on the COVID-19 Pandemic. Utilizing the recently validated Value Added Intellectual Coefficient (VAIC), alongside its necessary controls, I conduct an empirical analysis on North American firms over the period of 2010-2020 using fixed effects and pooled ordinary least squares analysis. Findings from the empirical analysis provide evidence that intellectual capital is a driving factor in enhancing firms’ financial and market performance. Additionally, results indicate that the COVID-19 pandemic increased the impact of intellectual capital …

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Analyst Non-Gaap Reporting: When Do Equity Analysts Adjust Gaap Earnings – An Application Of Text Based Firm Complexity, Patrick Chen Jan 2021

Analyst Non-Gaap Reporting: When Do Equity Analysts Adjust Gaap Earnings – An Application Of Text Based Firm Complexity, Patrick Chen

CMC Senior Theses

Equity analysts adjust GAAP earnings to report non-GAAP figures that they believe better represent a firm’s current and future performance. The importance of such non-GAAP(street) figures has been determined and accepted by the literature, but the process in which analysts arrive at such figures is less understood. I apply a newly defined measure of firm complexity using text based analysis of firm annual reports and investigate its effect. When complexity increases, it becomes harder to individuate different components of a system. When that system is a firm, complexity then increases the difficulty in determining an accurate measure of performance. The …

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Diversifying Investment Portfolios With Collectible Sneakers: Expected Returns And Benefits Of Diversification, Samuel Soo Jan 2021

Diversifying Investment Portfolios With Collectible Sneakers: Expected Returns And Benefits Of Diversification, Samuel Soo

CMC Senior Theses

This thesis seeks to identify if collectible sneakers can provide diversification benefits to an investor’s portfolio. Using data from a global collectible sneaker marketplace, StockX, I constructed an index to compare it with other traditional assets, including the S&P 500 index and 5-year US Treasury Bills. By calculating key metrics including expected returns, volatility, and correlation, I analyzed the risk-return characteristics of the collectible sneaker asset class compared to other traditional asset classes. From the data analysis I performed, I found that collectible sneakers did not outperform returns significantly compared to traditional asset classes, but had low correlations, which provides …

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Spac Success Factors: Determinants Of Post-Acquisition Share Price Growth, Cade Moffatt Jan 2021

Spac Success Factors: Determinants Of Post-Acquisition Share Price Growth, Cade Moffatt

CMC Senior Theses

This paper examines characteristics of Special Purpose Acquisition Companies (SPACs) as determinants of post-acquisition success. I collected data on all SPACs which merged with a target firm between 2016 and the start of 2021. The data set controls for a host of variables including the contractual design of the SPAC, management team characteristics, founder compensation structure, key underwriter data, and performance metrics measured throughout the SPAC’s lifecycle. Using a multivariable regression, I find new and robust insights into the SPAC market. Contrary to current literature, I conclude that the misaligned incentives caused by the initial at-risk capital supplied by founders …

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Análisis Para Oportunidades De Exportaciones Colombianas Del Sector Agroindustrial De Frutas Y Hortalizas Procesadas, Visto Desde La Relación Y Guerra Comercial Entre Ee.Uu Y China Desde 2017 A 2019, Nicolas Felipe Moreno Moreno, David Alejandro Borrero Gamboa Jan 2021

Análisis Para Oportunidades De Exportaciones Colombianas Del Sector Agroindustrial De Frutas Y Hortalizas Procesadas, Visto Desde La Relación Y Guerra Comercial Entre Ee.Uu Y China Desde 2017 A 2019, Nicolas Felipe Moreno Moreno, David Alejandro Borrero Gamboa

Finanzas y Comercio Internacional

El presente informe de investigación tiene como objetivo identificar las oportunidades a partir del sector agroindustrial de frutas y hortalizas procesadas de Estados Unidos y China para Colombia a raíz del conflicto ocurrido entre Estados Unidos y China, la investigación tiene una metodología mixta, cualitativa y cuantitativa para así lograr una visión más amplia de este fenómeno a investigar, se tendrá un alcance de tipo descriptivo y un diseño de tipo no experimental. Esta investigación tiene tres momentos claves para su desarrollo, el primer método se basa en la relación comercial existente entre Estados Unidos, China y Colombia por el …

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Análisis De La Adopción De Modelos De Financiación Alternativa En Mercados Externos Al Mercado Local Para Las Microempresas Colombianas, Andres Felipe Mosquera Florez, James Alejandro Torres Barbón, Julian Blanco Martinez Jan 2021

Análisis De La Adopción De Modelos De Financiación Alternativa En Mercados Externos Al Mercado Local Para Las Microempresas Colombianas, Andres Felipe Mosquera Florez, James Alejandro Torres Barbón, Julian Blanco Martinez

Finanzas y Comercio Internacional

Actualmente las microempresas colombianas recurren, por un lado, a mecanismos de financiación tradicionales conocidos, como lo son las instituciones financieras reguladas (bancos, cooperativas y compañías de financiación) y, por otro lado, a mecanismos de financiación alternativa como crédito a proveedores, préstamos a familiares y amigos o casas de empeño, esto normalmente con el objetivo de obtener la liquidez necesaria para subsanar los gastos de funcionamiento, no obstante, algunos países recurren a instrumentos más modernos que permiten el levantamiento de capital sin las restricciones habituales de los préstamos en Colombia. En tal medida, la presente investigación tiene por objetivo el análisis …

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Plan De Internacionalización Para La Empresa Colombiana Trendy, Laura Estefanía Vega Cotamo, Mateo Nicolás González Monroy Jan 2021

Plan De Internacionalización Para La Empresa Colombiana Trendy, Laura Estefanía Vega Cotamo, Mateo Nicolás González Monroy

Finanzas y Comercio Internacional

En Colombia el 80% de las pymes no logra permanecer al menos un periodo de 5 años en el mercado dado que la tasa de ‘‘mortalidad’’ o ‘‘fracaso’’ es bastante alta. La principal problemática que tienen las pymes al momento de internacionalizarse es la falta de financiamiento, difícil acceso a las ayudas y solicitud de préstamos. También sumarle como problemática el acceso a tecnologías de la información (TIC), al momento de enfrentarse a otros mercados internacionales no cumplen con el nivel competitivo que se exige. La ausencia de controles es otra razón por la cual las pymes fracasan en sus …

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Factores Estratégicos Que Requiere Una Pyme Colombiana Para Su Proceso De Internacionalización, Laura Manuela Zambrano Arguello Jan 2021

Factores Estratégicos Que Requiere Una Pyme Colombiana Para Su Proceso De Internacionalización, Laura Manuela Zambrano Arguello

Finanzas y Comercio Internacional

La globalización analizar ha obligado a las empresas a movilizar sus productos a nuevos mercados; la situación de las pymes contribuirá a evitar tropiezos o errores que causen cierres definitivos. Una de las razones por las que las pymes fracasan es la fa lta de implementación de planeación estratégica que le permitan identificar un proceso de internacionalización conveniente con sus aspectos financieros, de procesos, de mercado o clientes y talento humano. Se decide encaminar este proyecto hacia la planea determinar lo ción estratégica y la internacionalización, ya que se considera que las pymes no están visualizando que es lo que …

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Denominaciones De Origen: Ventaja Competitiva En El Proceso De Internacionalización De Productos Agrícolas Colombianos, Andres Eduardo Peña Oliveros Jan 2021

Denominaciones De Origen: Ventaja Competitiva En El Proceso De Internacionalización De Productos Agrícolas Colombianos, Andres Eduardo Peña Oliveros

Finanzas y Comercio Internacional

No abstract provided.

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