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Full-Text Articles in Finance and Financial Management
Volume Components And Return Predictability In Abnormal Trading Events, Jetarin Charoenpornpoj
Volume Components And Return Predictability In Abnormal Trading Events, Jetarin Charoenpornpoj
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper examines return predictability of three types of trading volumes include total volumes, buy volumes and sell volumes in Thailand's stock market between 2012 to 2018. To measure predictability ability, we sort securities into group base on the level of trading volumes and type of volumes. We test and confirm that buy volumes and sell volumes can predict return one day after the abnormal trading event. Abnormal high buy volumes can predict positive next day return of that security while abnormal high sell volumes can predict negative next day return. In addition, we test and found that positive return …
Regulatory Change And Corporate Acquisitions, Arya Rishi
Regulatory Change And Corporate Acquisitions, Arya Rishi
Chulalongkorn University Theses and Dissertations (Chula ETD)
This thesis investigates the impact on foreign investment activities of the equity market liberalization introduced in response to the 1997 crisis, which primarily involves the relaxation of the foreign ownership restrictions as well as improvements in corporate governance practices. These regulatory changes, which occurred in Indonesia, the Philippines, Malaysia, and Thailand, should have resulted in a lower amount of frictions in the capital market. With this lowering of frictions, we should observe higher gains from cross-border corporate acquisitions in addition to a higher volume of cross-border acquisitions. When I use combined announcement excess returns to measure acquisition gains, I find …
InvestorS Hindsight Effect And True Timing Ability Of Tax Saving Mutual Funds, Krittapon Chaleoykitti
InvestorS Hindsight Effect And True Timing Ability Of Tax Saving Mutual Funds, Krittapon Chaleoykitti
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper analyze the cash flow timing ability of mutual fund investors both non-tax-saving and tax-saving funds which have constraints such as lock-up period to block investor's ability to make cash flow timing, after controlling for the hindsight effect. We analyze the sample of Thai mutual funds in the period of 2006-2017.
We find that investors have bad timing ability and make return underperformance. The tax-saving funds that have investment constraints to block investor's timing ability have better timing ability and tends to have smart money effect and make return over performance. In addition, volatility affect investors to increase the …
Mutual Fund Performance And Persistence Evaluationevidence From Thai Local And Foreign Luxembourg Ucits, Bruno Fourquin
Mutual Fund Performance And Persistence Evaluationevidence From Thai Local And Foreign Luxembourg Ucits, Bruno Fourquin
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper aims to compare the performance and persistence of equity Mutual Funds between Luxembourg equity UCITS (Undertakings for Collective Investment in Transferable Securities) and Thai equity Funds that are investing a minimum of 90% of their total portfolio in Thai equity market during a 5 years period (May 2013- April 2018). The tests are conducted via (i) static or unconditional measures including the Sharpe, Treynor, Jensen ratios; (ii) dynamic or conditional measures using Treynor-Mazuy, K. Shukla and Gregory B. van Inwegen indicators; (iii) control - robustness measures with Brown and Goetzmann, Murthi et al. performance persistence indices. The paper …
Why Stock Distribution Announcement Causes Abnormal Return, Napas Chailapakul
Why Stock Distribution Announcement Causes Abnormal Return, Napas Chailapakul
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research investigated empirically why stock distribution announcement causes abnormal return. For stock split companies, the evidences support that liquidity improvement could be the first possible reason of occurrence of abnormal return during announcement date. The main groups of investors who increase their trading activity are retail and foreign investors. This study also presents another reason that is the occurrence of abnormal return during effective date. It is possible that this abnormal return comes from the increasing of buying demand flow during effective date. However, this study does not discover the evidence which support those two reasons in stock dividend …
Essay On The Stickiness Of Selling, General, And Administrative Cost, Phattraphol Anekpong
Essay On The Stickiness Of Selling, General, And Administrative Cost, Phattraphol Anekpong
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper provided evidences that costs management is affected by many factors and investors can use this knowledge to analyze the firm's cost management practices. Selling, General, and Administrative Costs (SG&A) appears to be sticky and showed that costs management is asymmetric. The cost stickiness occurs when the SG&A costs decrease by smaller percentage with revenue decrease compare to SG&A costs increase with revenue increase. This paper explored various factors that might have influence on the stickiness of SG&A costs using linear regression. Factors such as managerial ownership and ownership concentration are found to decrease cost stickiness in different periods. …
The Effects Of Increased Transparency On Market Liquidity : Empirical Evidence From Thai Bond Market, Tanamard Patana-Anek
The Effects Of Increased Transparency On Market Liquidity : Empirical Evidence From Thai Bond Market, Tanamard Patana-Anek
Chulalongkorn University Theses and Dissertations (Chula ETD)
To increase transparency, Thai Bond Market Association (ThaiBMA) issues the notification of disclosure of transaction information and control for post-trade deferred publication. Dealers are required to report all required trading information to ThaiBMA within 30 minutes after execution for public dissemination. The rules are issued for improved the market efficiency and increased customer activity. Moreover, ThaiBMA issues the penalty for Late Transaction to punish dealer. However, increasing transparency leads to an improvement on market liquidity. This paper examines the effect of post-trade transparency on market liquidity in the Thai bond market, measured by bid-offer quoted in terms of their yield …
Mergers And Acquistion : The Effect Of Announcement Date On Abmormal Return In Asia, Theedanai Snguanwongchai
Mergers And Acquistion : The Effect Of Announcement Date On Abmormal Return In Asia, Theedanai Snguanwongchai
Chulalongkorn University Theses and Dissertations (Chula ETD)
Merger and acquisition (M&A) is an ideal option to reduce business's risk of investment, gain stronger market penetration and wealth maximization. In this study, event study was performed to see the effect of abnormal return from M&A on Asian countries, including Indonesia, Thailand, Malaysia, Hong Kong and Singapore with sampling period between 2010 to 2017. From the result of the test, it was found that M&A creates positive value for acquirer firms in Asia. The semi strong form of Efficient Market Hypothesis (EMH) was examined by looking at the leakage of information prior to the announcement and market's reaction after …