Investor’S Sentiment And Stock Return: An Empirical Study On The Thai Stock Market,
2022
Faculty of Commerce and Accountancy
Investor’S Sentiment And Stock Return: An Empirical Study On The Thai Stock Market, Chang Chen
Chulalongkorn University Theses and Dissertations (Chula ETD)
The effect of investor sentiment on stock returns is one of the most recent developments in finance. The empirical literature includes developed stock markets. However, emerging markets, notably the Thai stock market, lack study subjects. The purpose is to deeply comprehend the link between investor sentiment and Thai stock market return. The aims include customizing investor sentiment indices to explain the Thai stock market index's movement, estimating investor sentiment's predictive ability, providing stock investors with referable trading strategies, and providing suggestions for cross-section equity selection. This study initially employs Principal Component Analysis (PCA) to customize the composite indices, called the …
The Analysis Of Enhanced Momentum Strategies In The Stock Exchange Of Thailand,
2022
Faculty of Commerce and Accountancy
The Analysis Of Enhanced Momentum Strategies In The Stock Exchange Of Thailand, Chayakon Kamolsawat
Chulalongkorn University Theses and Dissertations (Chula ETD)
The purpose of this study is to investigate the effectiveness of momentum strategies in investment portfolios, a well-known anomaly in the efficient market hypothesis, by portfolio are constructed by long winners and short losers. Specifically, the study focuses on the use of volatility to enhance momentum strategies in the Stock Exchange of Thailand from January 2013 to December 2022. The enhanced momentum strategies under investigation vary the portfolio weight with volatility and can be classified into constant volatility-scaled, constant semi-volatility-scaled, and dynamic-scaled approaches. The research aims to achieve two main objectives. Firstly, to analyze the potential of the enhanced momentum …
The Impact Of Government Response To Covid-19 On Stock Return Predictability,
2022
Faculty of Commerce and Accountancy
The Impact Of Government Response To Covid-19 On Stock Return Predictability, Disayadej Dangdej
Chulalongkorn University Theses and Dissertations (Chula ETD)
Recession is known to cause an increase in stock return predictability. The COVID-19 pandemics had not only resulted in sickness and loss of life but also plunged global economy into recession prompting governments to come up with measures to combat the disease. This paper first confirms that return predictability increased due the spread of COVID-19 using data from 41 countries on variations of popular predictors. Furthermore, it shows that government responses to COVID-19 alleviated the pandemic, the recession and reduced the return predictability with varying impact for different government measures. However, cases and deaths from COVID-19 which should have intensified …
Application Of Fractional Exponential Feature To Garch Model Variants For Improvement In Value-At-Risk Prediction,
2022
Faculty of Commerce and Accountancy
Application Of Fractional Exponential Feature To Garch Model Variants For Improvement In Value-At-Risk Prediction, Chanet Saisatian
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research studies about using GARCH model variants as a parametric way in estimation and prediction of daily Value-at-Risk (VaR), one of famous risk measurement especially in financial world. To cope with various stylized facts on market’s volatility, two mixed GARCH models are proposed in this research: HY-GJR-GARCH model, the hybrid between hyperbolic GARCH (HYGARCH) and GJR-GARCH models, and HY-MS-GARCH model as the amalgam between HYGARCH and Markov switching GARCH (MSGARCH) models. These mixed models, along with rich mathematical formulations and benefits from their base models, are expected that their performance in predicting daily VaR is advanced against the performance …
Accrual-Based Earnings Management And Real Earnings Management Around Two Key Corporate Governance Regulatory Regime Changes In Thailand,
2022
Faculty of Commerce and Accountancy
Accrual-Based Earnings Management And Real Earnings Management Around Two Key Corporate Governance Regulatory Regime Changes In Thailand, Noor Nayeem Hasnat Farhan
Chulalongkorn University Theses and Dissertations (Chula ETD)
Two major corporate governance-related regulatory changes, one in 1999 and one in 2008, were implemented as a means to increase the independence of boards of directors of public companies in Thailand. I study whether each of these regulatory changes affects the degree of and leads to substitution of accrual-based earnings management (AEM) and real earnings management (REM), plus the effect of family ownership on the type and degree of earning management. The outcomes of the two regulatory changes are different with respect to earnings management. Univariate tests suggest no change in the levels of AEM and REM for the 1999 …
Why Is The Third Principal Component Of The Yield Curve Important: A Point Of View From Reverse Stress Test On Credit Portfolio,
2022
Faculty of Commerce and Accountancy
Why Is The Third Principal Component Of The Yield Curve Important: A Point Of View From Reverse Stress Test On Credit Portfolio, Phanuwat Ritpornnarong
Chulalongkorn University Theses and Dissertations (Chula ETD)
The focus of this study is to analyze the shape of the yield curve on credit portfolios during crises, specifically those that are exposed to both interest rate and credit risks. To achieve this, We utilized a reverse stress test (RST) and macroeconomic measures (such as GDP and U.S risk-free yields) from the period of 1981 to 2014 to estimate mathematical models. We then utilized a Monte Carlo simulation to determine the most likely scenario for the measures if the portfolio value reaches a pre-specified threshold. The researchers discovered that the shape of the stressed yield curves varied depending on …
The Influence Of International Oil Price Fluctuation On The Exchange Rate Of Countries Along The “Belt And Road”,
2022
Singapore Management University
The Influence Of International Oil Price Fluctuation On The Exchange Rate Of Countries Along The “Belt And Road”, Yijing Wang, Xueqing Geng, Kun Guo
Research Collection Lee Kong Chian School Of Business
In recent years, the international crude oil price has become increasingly volatile. It influences the exchange rate changes of relevant countries through economic growth, price level, international balance of payments, and other channels. Such exchange rate fluctuations have caused certain risks for the development of China’s “Belt and Road” Initiative. This article analyzes the impact of oil price changes on the exchange rates of countries. Because the fluctuation of oil prices and exchange rates has shown the characteristics of multiple time scales, this study used the empirical mode decomposition (EMD) method to obtain the long-cycle and short-cycle sequences of oil …
Treasury Inconvenience Yields During The Covid-19 Crisis,
2022
Singapore Management University
Treasury Inconvenience Yields During The Covid-19 Crisis, Zhiguo He, Stefan Nagel, Zhaogang Song
Research Collection Lee Kong Chian School Of Business
In sharp contrast to most previous crisis episodes, the Treasury market experienced severe stress and illiquidity during the COVID-19 crisis, raising concerns that the safe-haven status of US Treasuries may be eroding. We document large shifts in Treasury ownership and temporary accumulation of Treasury and reverse repo positions on dealer balance sheets during this period. We build a dynamic equilibrium asset pricing model in which dealers subject to regulatory balance sheet constraints intermediate demand/supply shocks from habitat agents and provide repo financing to levered investors. The model predicts that Treasury inconvenience yields, measured as the spread between Treasuries and overnight-index …
Concept Links And Return Momentum,
2022
Southwestern University of Finance and Economics
Concept Links And Return Momentum, Qianqian Du, Dawei Liang, Zilin Chen, Jun Tu
Research Collection Lee Kong Chian School Of Business
Unlike traditional asset categories (e.g., industry classifications) that are generally defined clearly, some groups of stocks are tied to certain loosely defined “concepts” (e.g., e-commerce). When investors find it difficult to analyze ambiguous concept-oriented information, information diffuses slowly, creating “concept momentum”. Based on unique concept data in the Chinese stock market, this study constructs a concept-momentum strategy that involves buying stocks from past winning concepts and selling stocks from past losing concepts, which can generate pronounced abnormal returns. Neither risk factors, firm-level momentum, nor industry-level momentum can explain concept momentum. Furthermore, we find that both the underreaction and cross-stock lead-lag …
Climate Change And Sustainability In Asean Countries,
2022
Singapore Management University
Climate Change And Sustainability In Asean Countries, David K. Ding, Sarah E. Beh
Research Collection Lee Kong Chian School Of Business
The ASEAN region is one of the most susceptible regions to climate change, with three of its countries—Myanmar, the Philippines, and Thailand—among those that have suffered the greatest fatalities and economic losses because of climate-related disasters. This paper reveals that the ASEAN’s environmental performance is sorely lagging other regions despite evidence of its cohesive and comprehensive efforts to mitigate emissions and build up adaptive capacity to climate-related disasters. Within the ASEAN, there exist gaps in environmental performance between each country. This suggests that increased cooperation between individual ASEAN countries is pertinent for the region to collectively combat climate change. In …
Outsourcing Climate Change,
2022
University of Pennsylvania
Outsourcing Climate Change, Rui Dai, Rui Duan, Hao Liang, Lilian Ng
Research Collection Lee Kong Chian School Of Business
This paper examines whether and how firms combat climate change. Our study provides robust evidence that firms outsource part of their carbon emissions to foreign suppliers and shows how internal and external stakeholders significantly shape firms' environmental policies. Furthermore, firms tend to seek a foreign supplier and decrease their emission abatement efforts as pressure to reduce domestic emissions intensifies. These firms are also less incentivized to develop green technologies. Finally, we find that outsourcing emissions has real and economic consequences, with investors demanding a higher carbon premium for their exposures to carbon risks associated with increased outsourced emissions.
A Textual Analysis Of Logograms In Chinese Ipo Roadshows: How Agreement Between Investors And Management Relates To Pricing And Performance,
2022
Brigham Young University - Provo
A Textual Analysis Of Logograms In Chinese Ipo Roadshows: How Agreement Between Investors And Management Relates To Pricing And Performance, James C. Brau, James Cicon, Stephen R. Owen
Faculty Publications
We analyze the interaction between management and investors during Chinese IPO roadshows through Jaccard Similarity analysis of written Chinese logograms. We provide evidence that when agreement is high, investor optimism increases, leading to relatively large first-day underpricing. We further show that high agreement biases investors to systematically overestimate IPO prospects leading to poor long-run abnormal performance. Jaccard Similarity is different from current content analysis methodologies because it is language and culture agnostic, requiring no a priori construction of thematic dictionaries. Elimination of such dictionaries removes the danger that the researcher has imposed predispositions upon the study.
An Analysis Of Selling Concessions, Reallowance Fees, And Price Changes In The Marketing Of Ipos,
2022
Brigham Young University - Provo
An Analysis Of Selling Concessions, Reallowance Fees, And Price Changes In The Marketing Of Ipos, James C. Brau, Joseph J. Henry
Faculty Publications
This paper provides an economic model resulting in two distinct marketing strategies available to investment bankers. First, we hypothesize that an increased selling effort by brokers is used most effectively when the investment clientele is uninformed. Second, adjusting the offer price of the issue is hypothesized to be employed primarily in large IPOs with a clientele of sophisticated investors, consistent with Shiller’s Impresario Hypothesis. Our pre-IPO bubble (1981-1996) empirical results yield evidence supporting both selling mechanisms. Under-demanded small IPO issues are ‘pushed’ by the brokers, while some under-demanded large IPO issues instead increase the offer price, with large first-day turnover …
Determinants Of Capital Structure: An Expanded Assessment,
2022
Texas A&M University
Determinants Of Capital Structure: An Expanded Assessment, Toshinori Fukui, Todd Mitton, Robert Schonlau
Faculty Publications
Using a standardized methodology, we empirically evaluate 55 proposed determinants of capital structure in terms of statistical significance, economic significance, and identification. We find that robust and economically important determinants of debt ratios are relatively few in number. Nevertheless, because each determinant relates to one of five market imperfections—taxes, distress costs, information asymmetry, agency costs, or supply frictions—we draw conclusions from the evidence as a whole regarding the explanatory power of different capital structure theories. We find greater support for pecking order theory and supply-related theories, with less support for traditional tradeoff theory and agency theory.
Role Of Organizational Capital At Different Phases Of Business’S Life Cycle: A Study Of Psx Companies,
2022
Department of Commerce, University of Gujrat
Role Of Organizational Capital At Different Phases Of Business’S Life Cycle: A Study Of Psx Companies, Zahid Bashir, Ghulam Ali Bhatti, Sobia Arshad
Business Review
The goal of this study was to examine the association between Business Life Cycle phases and organizational capital using PSX index companies. Mainly, the study investigates the relationship of organizational capital phases during different phases of the life cycle and comparison with high and low organizational capital. To fulfill this objective data has been collected of 56 companies of PSX index companies with yearly observations ranging from 2011-2020. For estimation, a multinomial logistic model was used due to categories of the dependent variable. The results indicate that organizational capital is positively significant at the maturity phase but negatively significant at …
2022 Finance Calendar,
2022
Utah State University
2022 Finance Calendar, Amanda Christensen, Melanie Jewkes, Andrea Schmutz, Vincenza Vicari-Bentley, Kristilyn Wilkinson
All Current Publications
Check off each small step monthly and see the drastic impact of improved personal finances over the course of the year. These short, actionable tips and related resources will have you in the driver’s seat with your money.
A Comparison Between The Eu Green Taxonomy And South Africa’S Green Taxonomy,
2022
Singapore Management University
A Comparison Between The Eu Green Taxonomy And South Africa’S Green Taxonomy, Theodor Florian Cojoianu, Andreas G. F. Hoepner, Anh Vu
Research Collection College of Integrative Studies
Both South Africa and the European Union have introduced a common language and a clear definition of what is ‘sustainable’ through a taxonomy, a classification of environmentally sustainable economic activities, at the core of their sustainable finance ecosystem. Sustainable finance taxonomies provide transparency on what can be considered green and, hence, help investors, public authorities and policy makers make informed decisions, avoid green washing, and scale up sustainable investment. The purpose of the present report is to provide a comparison between the EU Taxonomy Regulation1 , including the respective EU Climate Delegated Act 2 and South Africa’s Green Finance Taxonomy3 …
Impact Investing Via Affiliation With Academia, Ngos, Or Other Collaborations?,
2022
Singapore Management University
Impact Investing Via Affiliation With Academia, Ngos, Or Other Collaborations?, Theodor Florian Cojoianu, Andreas G. F. Hoepnner, Yanan. Lin, Fabiola Schneider
Research Collection College of Integrative Studies
While ESG investing has become mainstream, impact investment has yet to be institutionalised and legitimized. We investigate how impact investment firms claim legitimacy compared to their ESG peers. Impact investment is still a nascent field and suffers from a heavier burden of proof. Legitimacy has been recognised as a strategy to overcome the liability of newness. Combining private market data with statements made by investment firms on their websites we investigate how they claim legitimacy. We find that impact investment firms are more likely to claim to be involved in partnerships, specifically with academia and corporations than their ESG peers. …
Credit Abuse, Interest Rates, And Loan Performance Of Ten Nigerian Banks,
2022
Walden University
Credit Abuse, Interest Rates, And Loan Performance Of Ten Nigerian Banks, Diala Ugwumba
Walden Dissertations and Doctoral Studies
AbstractThe ongoing failure in the Nigerian financial system has been a source of concern to the regulatory authorities, stakeholders, depositors, and the banking public because of the role these financial institutions played in the Nigerian economy in the last decade. The root of the problem was credit abuse performed by the bank’s credit officers and executive directors which made it challenging for financial institutions to recover the loans granted by the banks. The issue made investors lose their investments and bankers lose their jobs. The crisis resulted in poor asset quality that eventually eroded the Nigerian financial institution’s capital. Using …
Dynastic And Generative Intent For First-Generation Black Wealth Creators In A Modern Racial Enclave Economy,
2022
Antioch University - PhD Program in Leadership and Change
Dynastic And Generative Intent For First-Generation Black Wealth Creators In A Modern Racial Enclave Economy, Latanya White
Antioch University Dissertations & Theses
This study explores the underlying causes of the racial wealth gap between Black and White Americans: the absence of intergenerational wealth transfers in Black business families. As American wealth becomes concentrated into fewer and fewer hands, the data reveal that one third of the 400 wealthiest Americans inherited their wealth from the entrepreneurial endeavors of earlier generations in their family, some creating entrepreneurial dynasties. An important aspect of succession planning is the construct of generativity. Generativity is practiced through leading, nurturing, promoting, and teaching the next generation to create things to “move down the generational chain and connect to a …
