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Articles 1 - 9 of 9
Full-Text Articles in Finance and Financial Management
Performance Persistence Of Hedge Fund: A Result Of Different Systematic Risk Exposure, Prapakan Pimpasan
Performance Persistence Of Hedge Fund: A Result Of Different Systematic Risk Exposure, Prapakan Pimpasan
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper has made the statement that the different systematic risk exposure style affects hedge fund performance and performance persistence. Employing maintain low systematic risk exposure (LSR) style leads superior performance for hedge fund during the full-time period. The outperformance of LSR style in this finding challenges the principle of standard Capital Asset Pricing Model (CAPM) and being supported by the "Low-volatility anomaly" in the equity market. However, the market timing, one of systematic risk exposure style, is still crucial and should be taken into consideration when managing portfolios systematic risk exposure, especially during the crisis period. Moreover, there is …
Plan MemberS Heterogeneity, Economic Regime Effect And Their Implication On The Management And Sustainability Of Retirement Funds, Thepdanai Danswasvong
Plan MemberS Heterogeneity, Economic Regime Effect And Their Implication On The Management And Sustainability Of Retirement Funds, Thepdanai Danswasvong
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research studies the importance of plan members' heterogeneity to the management of defined benefit (DB) pension fund. We propose a new multi-member model of DB pension fund that allows for heterogeneity in plan members' retirement ages, salary growths, and other characteristics. We first solve analytically for optimal management strategy and show that the sponsor's supplementary contribution and the fund's allocation in risky assets are determined by the cross-product between the fund's expected retirement liabilities and some heterogeneity-adjusted discount factors. We then demonstrate that the presence of heterogeneity can have a significant influence on the optimal management strategy and that …
A Lead-Lag Relationship Between Price Premium And Nav In Property Fund And Reit, Nithikorn Piskanok
A Lead-Lag Relationship Between Price Premium And Nav In Property Fund And Reit, Nithikorn Piskanok
Chulalongkorn University Theses and Dissertations (Chula ETD)
Property fund and real estate investment trust (REIT) play an important role in asset allocation since it increases risk-adjusted return and diversifies portfolio risk. However, in stock market, price of property fund and REIT is deviated from its fundamental value or net asset value (NAV) causing price premium or discount. Understanding causes of price deviation helps investor to plan for investment strategy and generates more profit. Therefore, this paper aims to study the role of price premium in forecasting future performance of property fund and REIT by using vector autoregressive analysis (VAR). Moreover, we examine causes of price premium by …
Modeling Financial Distress Of Smes In Thailand For Comparative Analysis Of Normal And Recession Periods, Chayanisa Sanehluxana
Modeling Financial Distress Of Smes In Thailand For Comparative Analysis Of Normal And Recession Periods, Chayanisa Sanehluxana
Chulalongkorn University Theses and Dissertations (Chula ETD)
Small and medium-sized enterprises (SMEs) are often viewed as backbone of countries' economy since they play a crucial role in countries' employment and growth. Credit risk analysis for SMEs has become an important task to perform since the lack of understanding and developing an effective tool to forecast the distress and default risk may lead to huge losses and affect the whole economy of a country. Therefore, this paper aims to develop the models that can predict for the probability of financial distress for SMEs in Thailand by employing both Logistic Regression Analysis (Logit) and Cox's Proportional Hazard model. Moreover, …
Political Connection And Firm Performance: Evidence From Chinese State-Owned Companies, Chenyu Fang
Political Connection And Firm Performance: Evidence From Chinese State-Owned Companies, Chenyu Fang
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper uses the multiple regression to research the political connection effect in the state-owned enterprise. It has been found that the political connection can significantly enhance state-owned enterprises' performance. Moreover, the same administration level between state-owned enterprises' actual controller and CEO/Chairman would enhance ROA and ROE. Additionally, as the proportion of political connection members increases, the ROA will be promoted. The political connection has same impact on the industries with more governmental control and the industries with less governmental control. The "city administration level" shows negative record in the stock market. Furthermore, this paper adopts the Probit Model to …
Effect Of Exchange Rate Volatility On Currency Carry Trade And Risk Factor Compensation Of Currency Carry Trade In G10 And Emerging Market, Jirapaiboon Rattanapanurak
Effect Of Exchange Rate Volatility On Currency Carry Trade And Risk Factor Compensation Of Currency Carry Trade In G10 And Emerging Market, Jirapaiboon Rattanapanurak
Chulalongkorn University Theses and Dissertations (Chula ETD)
Currency carry trade is one of famous currency speculation strategies through latest decade. Return of this strategy comes from the difference of interest rate between countries. In theoretical world, FAMA uncovered interest rate parity (UIP) assumes change in spot exchange rate is going to offset the difference of interest rate. Therefore, the first objective of this paper is to test violation of UIP which implies possibility to do currency carry trade. Secondly, moving on to determine the relationship between currency carry trade return and exchange rate volatility in some difference aspects because there are evidences about negative relationship between currency …
Factors Affecting Debt Decisions: Syndicated Loans Vs. Corporate Bonds, Theerut Winaikosol
Factors Affecting Debt Decisions: Syndicated Loans Vs. Corporate Bonds, Theerut Winaikosol
Chulalongkorn University Theses and Dissertations (Chula ETD)
Following the recent developments and expansions in syndicated loans market, syndicate loans are currently accounted for around one-third of borrowers' total public debt and equity financing. It is one of the main alternative debt instruments for corporations. Syndicated loans are bank loans by their settings but also have many of the corporate bonds' characteristics. These characteristics have made syndicated loans hybrid debt instruments which combining features of both bank loans and bonds. This study investigates the financial factors behind syndicated loans issuance for a comprehensive sample from 2000 to 2016 of United States non-financial companies which are listed in New …
Gender And Financial Access Of Smes In Southeast Asia, Wannaporn Phongapai
Gender And Financial Access Of Smes In Southeast Asia, Wannaporn Phongapai
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines gender and cultural differences in financial access of small and medium-sized enterprises (SMEs) in six countries within Southeast Asia (SEA): Thailand, Laos, Cambodia, Myanmar, Indonesia, and Malaysia. This study uses World Bank Enterprise Surveys dataset which covers 2015 and 2016 to investigate the gender gap in financial access of SMEs in SEA and compare the business performance of enterprises that are owned by males and females. The result shows that there is no significant difference between the financial access of female- and male-owned SMEs in SEA which means that there is no gender gap in financial access …
A Study Of The Effect Of Dark Pool Using Market Simulation, Wasin Surarak
A Study Of The Effect Of Dark Pool Using Market Simulation, Wasin Surarak
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper extend a limit order book model of security trading from Goettler, et al. (2005) by adding a dark pool which does not publicly display trading orders. This model is a sequential game with risk-neutral traders. We use a stochastic algorithm followed by Pakes and McGuire (2001) to solve a Markov-perfect equilibrium as the optimal action of a trader. We find that when added a dark pool, market quality worsens (market depth declines and bid-ask spread widen), and total fill rate decreases. The deterioration of market quality in a limit order book results from an order migration to a …