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Full-Text Articles in Finance and Financial Management
Determining The Tracking Error And Value-At-Risk Of An Active Portfolio When Combined With A Passive Portfolio With Value-At-Risk Constraint, Nuttawoot Ladee
Determining The Tracking Error And Value-At-Risk Of An Active Portfolio When Combined With A Passive Portfolio With Value-At-Risk Constraint, Nuttawoot Ladee
Chulalongkorn University Theses and Dissertations (Chula ETD)
When an asset manager manages a portfolio, he usually imposes a TE or a VaR limit on his portfolio to control portfolio risks. However, a portfolio may be divided into different portions. In our research, we consider a portfolio that consists of an active portion and a passive portion. Having a VaR budget of an entire portfolio, we propose methods to determine TE and VaR limit on the active portfolio and illustrate them by using real data. In the empirical part, some problems can occur when we relax certain theoretical assumptions such as (1) stocks in an investment universe can …
Accruals And Volatility In A Real Options-Based Investment Approach: Evidence From Thai Market, Chayaporn Chuenurajit
Accruals And Volatility In A Real Options-Based Investment Approach: Evidence From Thai Market, Chayaporn Chuenurajit
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the relationship between year-ahead net working capital accruals as a proxy of investment behavior and expected volatility during the period of 2009 to 2018 of listed non-financial firms in Thailand. I apply a real options-based investment framework to view accruals as a result of investment decision and investigate the impact of firm’s expected volatility. The results show that firms with higher expected volatility have lower level of year-ahead accruals which is consistent with Grenadier and Malenko (2010). Moreover, this study also indicates that high expected volatility period induces distressed firms to invest because they have opportunity to …
Arbitrage Profit From Pairwise Correlation: Evidence From Thailand, Salinporn Dachasiriprapha
Arbitrage Profit From Pairwise Correlation: Evidence From Thailand, Salinporn Dachasiriprapha
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper aims to examine the usefulness of the Dynamic Conditional Correlation in the aspect of pair trade. Since one of the challenges in the pair trading is pair formation, this research would like to fulfill and find a new method for pair formation. Also, not only find the effective way to form pair we also examine whether this strategy can generate an abnormal return by constructs the portfolio where short one stock and long another one, by this investor can enjoy a 2-way price spread. The finding in this suggests that first by using Dynamic Conditional Correlation to form …
Clayton Copula Value-At-Risk In Crisis And The Gold Optimal Weight: Evidence In Thailand, Pimsuda Tunyalagsanakul
Clayton Copula Value-At-Risk In Crisis And The Gold Optimal Weight: Evidence In Thailand, Pimsuda Tunyalagsanakul
Chulalongkorn University Theses and Dissertations (Chula ETD)
In recent days, investors are facing higher market risk due to the pandemic situation, but this is not the only time, investors also experienced similar risk during the Global Financial Crisis in 2007. We are interested in the tool to accurately estimate the market risk and ways to keep the portfolio maintaining the good performance in the extreme situation. This paper particularly investigates the Value-at-risk (VaR), which is one of the simplest and helpful tools to estimate market risk. By using data of SET50 and Thai Baht Gold, this paper demonstrates the best way to compute VaR among the various …
Could Morningstar Sustainability Rating Be An Indicator For Downside Protection?, Purisa Ruengsrichaiya
Could Morningstar Sustainability Rating Be An Indicator For Downside Protection?, Purisa Ruengsrichaiya
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates whether the Morningstar Sustainability Rating indicates the downside protection for the 2018 Global stock market downturn and 2020 Stock market crash by using daily time-series analysis and investigate whether fund characteristics have an effect on performance of each Morningstar Sustainability Rating by using a panel data analysis at a quarterly frequency for the active equity mutual fund in the US market. This paper finds the neutral performance in every group of ratings in any market period according to the neutral alpha or abnormal return and the fund characteristics influence the fund performance pattern which can observe that …
Determinants Of Power Purchase Agreements And Levelized Cost Of Electricity In Renewable Energy Projects, Krit Yodpradit
Determinants Of Power Purchase Agreements And Levelized Cost Of Electricity In Renewable Energy Projects, Krit Yodpradit
Chulalongkorn University Theses and Dissertations (Chula ETD)
Similar to the concept of concessions, governments worldwide encourage investment in renewable energy by providing a fixed price under the power purchase agreement (PPA) to the renewable energy developers. Depending on each renewable energy technology, the PPA usually corresponds to the levelized costs of electricity (LCOE) or the average lifetime costs of electricity produced by a power plant. Hence, these two parameters play an important role in boosting renewable energy development. Little is however known about the determinants of the PPA and LCOE. Therefore, the paper tries to shed some light on the determinants of the PPA and LCOE of …
Do Women On Boards, Education Diversity And Corporate Governance Affect Firm Risk And Firm Performance In Thailand?, Juthamard Klomkhao
Do Women On Boards, Education Diversity And Corporate Governance Affect Firm Risk And Firm Performance In Thailand?, Juthamard Klomkhao
Chulalongkorn University Theses and Dissertations (Chula ETD)
The purposes of my study are to investigate the relationship among women on boards, education diversity, and corporate governance on firm risk and/or firm performance of listed companies in Thailand during 2010-2019. Surprisingly, I find an insignificant relationship between the proportion of female directors and firm risk (both total risk and idiosyncratic risk). Moreover, the findings show that women on boards strongly improve ROA, but significantly reduce Tobin’s Q. For education diversity, there is no significant relationship on any measures of firm performance. This study further discovers that an incremental effect of female education diversity on women directorship positively affects …
Does The Increase In Liquidity Attenuate Returns Anomalies In The Thai Stock Markets?, Supapat Sangkavadana
Does The Increase In Liquidity Attenuate Returns Anomalies In The Thai Stock Markets?, Supapat Sangkavadana
Chulalongkorn University Theses and Dissertations (Chula ETD)
From Chordia et al. (2014), in the recent period of increased liquidity, the majority of US stock market returns anomalies have attenuated. However, as Thailand is a retail-based stock market, the stock market returns anomalies might not attenuate in the period of increased liquidity. In this paper, I use data from SET and mai markets from 2005 to 2019 to conduct time series regression to test the hypothesis. My finding is, first, apart from momentum returns anomalies in the mai market, the size, value, and momentum returns anomalies still exist in Thai stock markets. Second, most of the returns anomaly …
Financial Constraints, Corporate Governanceand Corporate Cash Holdings: Evidence From Thai Market, Pantawat Tangchitpianvit
Financial Constraints, Corporate Governanceand Corporate Cash Holdings: Evidence From Thai Market, Pantawat Tangchitpianvit
Chulalongkorn University Theses and Dissertations (Chula ETD)
The objectives of this paper are to examine the relationship between corporate governance and financial constraints which play a substitution role in mitigating agency conflicts associated to corporate cash holdings of Thai listed company covering the period from 2008 to 2019. I use five firm specific characteristics of financial constraints i.e. annual payout ratio, firm size, leverage ratio, lifecycle ratio as well as collateral asset ratio and corporate governance score as proxies to determine the level of cash holdings. The result provides that financial constrained-firms hold larger amount of cash than financial less constrained-firms in order to have adequate financial …
Industry Size And Deal Initiation: Evidence From Merger And Acquisition, Sirilak Sriburapar
Industry Size And Deal Initiation: Evidence From Merger And Acquisition, Sirilak Sriburapar
Chulalongkorn University Theses and Dissertations (Chula ETD)
Targets in small industries are more likely to initiate the deal than targets in large industries. Bidders are willing to pay more for target-initiated deals in small industries than in large industries. This research finds empirical evidence that industry size significantly impacts firms' decision to initiate the deal and bid premium. Targets in small industries are more plausibly to initiate the deal because the demand for target corporate assets is lower. Consequently, they receive lower premiums compared to targets in large industries. Surprisingly the impact of target-initiated deals on premiums significantly depends on target industry size, the negative impact of …
Mutual Fund Recommendations On Fund Flows And Returns, Rachapoom Karnasoot
Mutual Fund Recommendations On Fund Flows And Returns, Rachapoom Karnasoot
Chulalongkorn University Theses and Dissertations (Chula ETD)
Using Thailand open-end mutual fund samples from 2017 to 2019, this study examines the impact of analysts’ recommendations on mutual fund flow and return. We decide to use the analysts’ recommendation from two big management companies in Thailand who publicly released their analysts’ recommendation in weekly periods, SCBAM and KAsset. We hypothesize and find the recommendations have a significantly positive impact on mutual fund flows and found no significant impact on return. Our study further examines the risk-adjusted return and observe no significant excess return is generated from recommended mutual funds.
Premium, Ownership And Operating Performance In Rto, Chawalit Rungpiboonsopit
Premium, Ownership And Operating Performance In Rto, Chawalit Rungpiboonsopit
Chulalongkorn University Theses and Dissertations (Chula ETD)
A reverse takeover is an alternative method of listing instead of IPO. Compared to IPO, firms using RTO can avoid the stringent requirement of IPO and disclose less information. Hence, these transactions were viewed as suspicious transactions. The U.S-SEC also issued the warning that investors should be careful when considering investing in the RTO firm. However, it is unlikely that investors in the market can separate between the good RTO firm and the bad RTO firm because of the loose requirement of RTO which led to the arising of asymmetric information between investors and RTO firm. As a result, in …
The Impact Of Etf Mechanics And The Bank Of Japan Intervention On The Intraday Volatility Of The Underlying Stocks, Tharita Jumroonwat
The Impact Of Etf Mechanics And The Bank Of Japan Intervention On The Intraday Volatility Of The Underlying Stocks, Tharita Jumroonwat
Chulalongkorn University Theses and Dissertations (Chula ETD)
Due to their low trading costs and superior liquidity, exchange-traded funds (ETFs) attract short-term liquidity traders. The liquidity shocks can pass to the underlying securities through the ETF mechanism. ETF may therefore increase the non-fundamental volatility of the underlying stocks. I carry out the test daily which allows me to timely measure the high-frequency variable of arbitrage activity between Nikkei 225 ETFs and their components. I find the consistent result with Ben-David et al. (2018) that stocks with higher ETF holding display significantly higher volatility and the intensity of arbitrage activity, proxied by stock-level mispricing, magnifies the impact of ETFs …
The Magnet Effect Of Price Limits: Evidence From High-Frequency Data On The Stock Exchange Of Thailand, Wongwarit Boonyasitphawee
The Magnet Effect Of Price Limits: Evidence From High-Frequency Data On The Stock Exchange Of Thailand, Wongwarit Boonyasitphawee
Chulalongkorn University Theses and Dissertations (Chula ETD)
Commonly, daily prices limits are widely used for stabilizing stock markets and decrease volatility during overreaction period. However, regulators may not notice that instead of stopping panic sell or overbought, the daily price limits generate a magnet effect, which cause the price to accelerate to the price limits and increase the overall volatility. This research investigates the magnet effect of price limits using high frequency from the Stock Exchange of Thailand. Using AR(2)-GARCH(2,2) as a base model for each stock’s 5-mins returns to capture the effect. The empirical results present evidence of the strong ceiling magnet effect at all conditions, …
The Presence Of Style Drift And Its Effects In Thailand’S Equity Mutual Funds, Nuttha Lertwattanakiat
The Presence Of Style Drift And Its Effects In Thailand’S Equity Mutual Funds, Nuttha Lertwattanakiat
Chulalongkorn University Theses and Dissertations (Chula ETD)
Active equity mutual funds have become a widely popular investment for investors with high risk tolerance due to potentially getting a higher return with the benefit of diversification and professional management. Investors can make decision on selecting funds by looking at “style”. Style is viewed in two dimensions; size and value-growth orientation at stock level. It helps investors to see how fund manager select stocks and the overall style of stock holding for a whole portfolio. Investors can take this factor into considerations to build portfolio to align with their strategy. But what will happen if the style is changed …
The Relationship Between Fees And Performance Of Domestic Equity Funds In Thailand, Thapanee Suphapitakpaiboon
The Relationship Between Fees And Performance Of Domestic Equity Funds In Thailand, Thapanee Suphapitakpaiboon
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study inclusively examines the relationship between fund fees and performance of open-end domestic equity funds in Thailand from 2010 to 2019 to analyze the domestic-equity fund market in 2 main dimensions: the market competitive and conflict-of-interest between the duties of asset management companies (AMCs) to their parent bank and to unitholders through fund fee channel. The study investigates the relationship of (1) fund fees, (2) fund fees set by bank subsidiaries, and (3) fund fees set by large-bank subsidiaries with its performance in term of both returns over benchmark and Jensen’s alpha. Based on the results, investors paid higher …
Unexpected Movement In Monetary Aggregates And Its Effect On Asset Price In Thailand, Paripon Sriboon
Unexpected Movement In Monetary Aggregates And Its Effect On Asset Price In Thailand, Paripon Sriboon
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper aims to develop a structural vector autoregressive (SVAR) model to study the dynamic relationships between broad money and other macroeconomics variables in Thailand. The structural restrictions on SVAR model are based on economics intuition and novel finding that money does not react contemporaneously to transitory component of the short-term interest rate. The model also features stock price and house price as the different response of asset price and goods price will be monitored. There are total of seven monthly endogenous variables included in the model covering the period of 2010 - 2020. The result based on forecast error …
Option Pricing Using Local Volatility Function: How To Specify Its Knots?, Wisuth Raweerojthanatt
Option Pricing Using Local Volatility Function: How To Specify Its Knots?, Wisuth Raweerojthanatt
Chulalongkorn University Theses and Dissertations (Chula ETD)
European options of an asset are priced following a continuous 1-factor diffusion model and the generalized Black-Scholes equation. Volatility knots are determined by many specifications that are the number and the location of knots at any stock price and time to expiration. Considering the volatility knots as a set of decision variables, we can approximate the local volatility function with a bicubic spline function to compute option values fitted to a finite set of market data by solving a constrained nonlinear optimization problem. With the real market data of SET50 Index options, pricing accuracy of different knots’ specifications are demonstrated. …
Reverse Stress Testing On Non-Elliptical Jointly Distributed Multivariate Data, Chevincee Werawanich
Reverse Stress Testing On Non-Elliptical Jointly Distributed Multivariate Data, Chevincee Werawanich
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
The Hybrid Pareto Distribution, Implied Risk-Neutral Density And Option Pricing, Purin Luanloy
The Hybrid Pareto Distribution, Implied Risk-Neutral Density And Option Pricing, Purin Luanloy
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper aims to develop a new European option pricing model based on the Extreme Value Theory (EVT). We assume that, in the risk-neutral probability measure, simple negative returns of the S&P500 index follow the Hybrid Pareto (HP) distribution. Then, we derive closed-form pricing formulas for call and put options according to the risk-neutral pricing method. Additionally, we assume that the distribution has a fat tail. Our study’s benchmark model is the Generalized Extreme Value (GEV) model proposed by Markose and Alenton (2011). We estimate model parameters by minimizing the root-mean-square error. The results show that the HP model provides …
Asia Reits Interdependence And The Impact Of Covid-19 Pandemic, Boonchai Asawapiched
Asia Reits Interdependence And The Impact Of Covid-19 Pandemic, Boonchai Asawapiched
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates Asia REIT interdependence and the impact of COVID-19 pandemic. The data of six major REIT markets in Asia (Japan, Singapore, Hong Kong, Thailand, Malaysia, and Taiwan) have been applied with Johansen cointegration test, Granger causality test, impulse response functions, and variance decomposition. In addition, U.S. REIT is incorporated to emphasis the its impact on Asia markets. The results indicate market integration at long-run period as REIT performance is closely related to the direct real estate market whereas REIT is affected by shocks and noise like stock in short-run. Moreover, it is found that Asia developed markets (Japan, …
Single Currency And The Liquidity In Corporate Assets Market, Kamolwan Pavavimol
Single Currency And The Liquidity In Corporate Assets Market, Kamolwan Pavavimol
Chulalongkorn University Theses and Dissertations (Chula ETD)
The single currency was adopted in 1999. It gave a huge impact on financial system. In this study, we focus on the single currency impacted to the liquidity in the corporate assets market, market whereby the mergers and acquisitions occurred. The studies found that the single currency had positive effect to the liquidity index in the corporate asset market measured by the intensity of the market transactions in each industry. This increasing in the liquidity mainly from the cross-border deals from the countries that stayed outside the eurozone. Moreover, we found that single currency had positive effect to acquirers to …
Capital Structure Volatility And Dividend Policy: Evidence From Thai Listed Firms, Thippapha Glinlek
Capital Structure Volatility And Dividend Policy: Evidence From Thai Listed Firms, Thippapha Glinlek
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study attempts to identify the factors affecting capital structure volatility using firm-specific on a sample of listed Thai firms from 2001 – 2020. This study documents that firm-specific factors impact capital structure volatility. Firms with higher growth opportunities, more profitable and have greater change in their assets tend to vary their capital structure more. In the second part, after determining the factors influencing capital structure volatility. This study provides the evidence of capital structure volatility (CSV) on dividend policies. And find that a high level of CSV is negatively associated with dividend policies. This paper also examines the variation …
Cross Hedging Currency Risk From Frontier/Emerging Markets: Thai Portfolio Investors' Perspectives, Tanatuch Kujiranuwat
Cross Hedging Currency Risk From Frontier/Emerging Markets: Thai Portfolio Investors' Perspectives, Tanatuch Kujiranuwat
Chulalongkorn University Theses and Dissertations (Chula ETD)
The study explored performances of cross-hedging emerging/frontier market currency risk with developed market currencies from Thai investors’ perspective. The results showed that Thai investors can use a cross-hedging strategy to reduce currency risk and improve risk adjusted return from their emerging market investment. Single cross hedging can reduce portfolio risk significantly as confirmed by the F-test. Multiple cross-hedging showed signs of improvement from single cross-hedging both in currency risk reduction and risk adjusted return improvement, but the statistical test failed to prove that the improvement is significant. While the portfolio return was penalized by the hedging cost. The risk reduction …
Demographic, Macroeconomic And Institutional Determinants Of Life Insurance Consumption: Evidence From Countries In Asia, Pattha Yodseranee
Demographic, Macroeconomic And Institutional Determinants Of Life Insurance Consumption: Evidence From Countries In Asia, Pattha Yodseranee
Chulalongkorn University Theses and Dissertations (Chula ETD)
Objective of this paper is to examine the determinants of life insurance consumption in terms of demographic, macroeconomic and institutional conditions from 26 countries from Asia covering the period of 1980 to 2019. The variables including 4 demographic variables, 7 macroeconomic variables and 3 institutional variables are explored by fixed effect estimation. The study also further examines difference of impact in different countries characteristic, that divided into Muslim, High-income and High-aged dependency ratio countries. The findings show that life insurance consumption have significant positive relationship with life expectancy. For high-income country, found that the Aged dependency ratio had less impact …
Does Algorithmic Trading Improve Liquidity Around Dividend Announcement? Evidence From The Stock Exchange Of Thailand, Chotika Chatchawanwanit
Does Algorithmic Trading Improve Liquidity Around Dividend Announcement? Evidence From The Stock Exchange Of Thailand, Chotika Chatchawanwanit
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the impact of the entry of algorithmic trading on Thailand’s stock market liquidity around dividend announcement during 2001 – 2016. We find some evidence to support that the entry of algorithmic trading in Thai stock market and their increase activities in the market help to provide more liquidity in term of trade volume in stock market liquidity especially after the dividend announcement releases. However, the rise of algorithmic trading tend to lead the market participants to consume liquidity in term of market depth at both best bid and bet offer rather than providing the standing orders in …
Effects Of Abnormal Trading Volume In The Stock Exchange Of Thailand, Chatchanun Kallayasiri
Effects Of Abnormal Trading Volume In The Stock Exchange Of Thailand, Chatchanun Kallayasiri
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research aims to investigate the opportunity to exploit the abnormal returns follow the abnormal trading volume events for the stock listed in the Stock Exchange of Thailand (SET) from 2010 to 2019. The result suggested that investors could use abnormal trading volume as a signal to invest and obtain extra-profit by holding the stock for a certain period of time. The result also indicated that there was evidence of trading volume’s information content that could be used to implement the zero-investment portfolio strategy which trades based on trading volume. The strategy suggested investors to take a long position in …
Herding Behavior ,Case Of Listed Companies In Thailand, Patipol Prawangsuk
Herding Behavior ,Case Of Listed Companies In Thailand, Patipol Prawangsuk
Chulalongkorn University Theses and Dissertations (Chula ETD)
We examine herding behavior in the Thailand stock market under different market conditions, industries, firm sizes, and investor types. We also study herding behavior during the Covid19 period. Lastly, we further develop a new factor that is a qualified price-risk element for stock return. The results show evidence of herding behavior in the Thailand stock market during the extreme positive and negative markets condition. And the herding behavior exists in twenty sectors out of twenty-six. The small-cap portfolio shows a greater magnitude of herding behavior compares with a large-cap portfolio. During the covid19 period, the result indicates herding behavior is …
Impact Of Monetary Policy On Firm’S Risk-Taking Position And Investment Decision, Sakolwat Seneekosol
Impact Of Monetary Policy On Firm’S Risk-Taking Position And Investment Decision, Sakolwat Seneekosol
Chulalongkorn University Theses and Dissertations (Chula ETD)
The recent economic crisis drives monetary policy to boost the economic situation. However, the side effect of monetary policy also dilutes firms' behavior in both risk-taking and investment decisions. This research investigates the effect of monetary policy from the international and local level using firms in 5 Southeast Asia stock markets. The risk and investment decision measurement technique in this paper using Expected Default Frequency and the investment dummy variables. The risk-taking model is based on panel fixed effect regression and the investment decision model is using a fixed-effect logistic model. This paper also extends the analysis to cover the …
Inside The Black Box Of Financial Analysts: What Drives Systematic Forecast Optimism?, Christian Schmidt
Inside The Black Box Of Financial Analysts: What Drives Systematic Forecast Optimism?, Christian Schmidt
Chulalongkorn University Theses and Dissertations (Chula ETD)
Despite past failures and a higher standard of regulation, excessive forecast optimism among financial analysts is still observable. It is mainly attributed to incentives provided by an underlying affiliated relationship. This paper investigates diverse market settings in the Thai stock market between 2005 and 2017 to break down the incentive structure in the analysts' forecasting process. First, banks and brokerage houses with an affiliated mutual fund family show an extreme forecast behavior, especially when the fund family is backed by high capital and has a large stake in the covered firm. Secondly, full-service banks are among the most optimistic analysts …