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 …
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 …
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 …
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 …
Behavioral Bias In Number And The Stability Of Stock Price,
2022
Faculty of Commerce and Accountancy
Behavioral Bias In Number And The Stability Of Stock Price, Natapong Teekaput
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the behavioral bias in numbers. It analyzes the relationship between behavioral bias in the number of last-digit quote prices and volatility as a proxy of market inefficiency from 2 January 2020 to 30 June 2020 of penny stock in the Thailand stock market. This period is interesting because the circuit breaker triggered due to the COVID-19 pandemic. This research studies the event that exogenous effect on volatility to find that the relation between volatility and behavioral bias is still the same. The exogenous effect is the stock exchange of Thailand changed regulations by reducing the ceiling and …
Global Oil Price Transmission To Domestic Diesel Prices, Andthe Impact On Listed Firm's Profitability And Stock Market Returns : Evidence From Thailand,
2022
Faculty of Commerce and Accountancy
Global Oil Price Transmission To Domestic Diesel Prices, Andthe Impact On Listed Firm's Profitability And Stock Market Returns : Evidence From Thailand, Koravik Renuros
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research paper provides a comprehensive analysis of the dynamics of volatile oil prices over the past two decades, with a focus on the stock exchange of Thailand from the period of 2004 to 2022. Firstly, the study utilizes the Vector Autoregressive Model (VAR) technique to examine the impact of global oil price fluctuations on domestic fuel prices and the stock market in Thailand. The findings reveal that changes in global oil prices have a delayed and indirect effect on the Thai stock market. The transmission of volatility through domestic diesel prices is a crucial factor in this relationship. Notably, …
Impact Of Environmental Policy Announcements On Investment Performance Of Equity Mutual Funds,
2022
Faculty of Commerce and Accountancy
Impact Of Environmental Policy Announcements On Investment Performance Of Equity Mutual Funds, Kaung Htet
Chulalongkorn University Theses and Dissertations (Chula ETD)
Previous research has shown that stock prices will also respond to environmental policy announcements because of the impact on firms' value. As equity mutual funds are primarily invested in stocks, this study aims to examine whether these announcements also impact the investment performance of equity mutual firms. Some studies also prove that it is still debatable whether green mutual funds or polluting mutual funds perform better in terms of investment returns. Based on this, this study will also further extend to analyze investment performance between green and polluting equity mutual funds under stringent and loosened environmental policy announcements. This study …
How Influential Are Finfluencers? Granger Causality Between Finance Influencers And Price Movements In Cryptocurrency And Stock Markets,
2022
Faculty of Commerce and Accountancy
How Influential Are Finfluencers? Granger Causality Between Finance Influencers And Price Movements In Cryptocurrency And Stock Markets, Sita Kedvarin
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research investigates the influence of finance influencers on stock and cryptocurrency returns by analyzing the relationship between their asset-related YouTube videos and market movements. The study was conducted in two parts: the VAR Granger causality analysis in both the cryptocurrency and stock markets, and the analysis of the behavior of the top finance influencers in the cryptocurrency market. The findings from the VAR Granger causality analysis revealed distinct patterns between the cryptocurrency and stock markets. In the cryptocurrency market, YouTube videos, particularly the number of videos published, showed a significant Granger causality effect on returns. However, the causality from …
Risk Shifting In Mutual Funds: Evidence In Thailand,
2022
Faculty of Commerce and Accountancy
Risk Shifting In Mutual Funds: Evidence In Thailand, Suphitcha Ekjariyakorn
Chulalongkorn University Theses and Dissertations (Chula ETD)
The paper aims to examine whether risk-shifting behavior exists in Thai equity mutual funds or not. The empirical analysis studies the period from 2005 to 2022. It is investigated that risk-shifting behavior exists in Thailand by having compensation and employment incentive influences fund managers’ decision on risk shifting. Firstly, this study uses the states of the market which are positive and negative market returns as the proxy of compensation and employment incentive, respectively. The finding is illustrated that mid-year losers take more risk of the portfolio in the latter half of the year in both positive and negative market return …
The Effect Of Democracy On The Mutual Fund Recovery, Evidence From Emerging Countries,
2022
Faculty of Commerce and Accountancy
The Effect Of Democracy On The Mutual Fund Recovery, Evidence From Emerging Countries, Supisara Songdecha
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research examines how democracy affects mutual fund performance and recovery in emerging countries: Brazil, Chile, China, India, Mexico, South Africa, and Thailand. Data from 2010 to 2021 is analyzed, focusing on domestic equity mutual funds. Democracy levels are measured using the V-Dem dataset. Performance is evaluated using risk-adjusted returns, while recovery duration measures how long it takes for funds to return to pre-crisis levels. The findings show that in Chile, characterized as a strong democracy, demonstrates improved performance with higher levels of democracy. In contrast, Brazil, South Africa, India, and Mexico exhibit higher returns with lower levels of democracy. …
The Impact Of Audit Quality On Trading Suspension Propensity; Detection In Thailand,
2022
Faculty of Commerce and Accountancy
The Impact Of Audit Quality On Trading Suspension Propensity; Detection In Thailand, Kulthida Surattachaipong
Chulalongkorn University Theses and Dissertations (Chula ETD)
Based on each direct evidence consists of actual cases disclosed by the Securities and Exchange Commission (SEC), and indirect evidence consists of suspected cases detected by the identification model of trading suspension propensity. This study aimed to examine the relationship between audit quality aspects and trading suspensions of listed companies in Thailand, as well as the changes in this relationship after the outbreak of the COVID-19 pandemic. The research utilized สำคัญ obtained from the annual reports and financial statements of 263 companies listed on the SET50 and MAI indexes, covering the periods of 2016 to 2018 and 2020 to 2022. …
The Moderating Effect Of Stock Price On The Relationship Between Earnings Quality And Dividend Payments : A Study Of Thai Listed Companies,
2022
Faculty of Commerce and Accountancy
The Moderating Effect Of Stock Price On The Relationship Between Earnings Quality And Dividend Payments : A Study Of Thai Listed Companies, Jirayu Boonyuen
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research paper has the objective to investigate and examine the basic relationship on the dividend policy and the earnings quality of companies in Thai stock market, by covering all the industries. The proxies for the earning qualities include a total of four proxies which are earnings persistence, accruals quality, earnings informativeness, and timely loss recognition. Moreover, this research paper also further examines the incentive of dividend policy of companies under Thai stock market by applying the dividend signaling Theory and the information content of dividends hypothesis. The incentive of dividend policy can be viewed as the signal sending by …
The Role Of Bank Capital Through Monetary Policy Transmission Mechanism,
2022
Faculty of Commerce and Accountancy
The Role Of Bank Capital Through Monetary Policy Transmission Mechanism, Waraluk Rosmontee
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the role of bank capital in the transmission of monetary policy, considering the bank lending channel (BLC) and financial development. Analyzing bank-level data from nine countries during 2007-2021 with GMM method, the study finds that well-capitalized banks are better positioned to expand loan supply and withstand adverse shocks. However, behavioral patterns differ between developed and ASEAN countries. In developed nations, policy rate changes have inconclusive effects on loan growth, while profitable banks and inflation drive credit expansion. In ASEAN countries, policy rate increases are associated with loan growth, reflecting favorable economic conditions. Financial development impacts credit expansion …
Competing For Deal Flow In Local Mortgage Markets,
2022
Brigham Young University - Provo
Competing For Deal Flow In Local Mortgage Markets, Darren Aiello, Mark Garmaise, Gabriel Natividad
Faculty Publications
The U.S. mortgage market exhibits competitive instability in which some lenders emerge rapidly from the fringe to substantial market shares. Using inferred discontinuities in application acceptance models to generate local lending shocks, we analyze the impact on a lender of a surge in originations by its competitors. We show that the quickest-growing (not the largest) competitors divert applications and originations from other lenders. Facing a quickly-growing competitor, lenders charge higher interest rates, partially due to the increased risk of their loans. Loan performance suffers for other lenders as the quickestgrowing competitor’s originations increase.
Financially Constrained Mortgage Servicers,
2022
Brigham Young University - Provo
Financially Constrained Mortgage Servicers, Darren Aiello
Faculty Publications
Financially constrained mortgage servicers destroyed substantial MBS investor value during the financial crisis through their management of delinquent mortgages. Servicers advance to investors monthly payments missed by borrowers. In order to minimize this obligation to extend financing to distressed borrowers, constrained servicers aggressively pursued foreclosures and modifications at the expense of investors, borrowers, and future mortgage performance. When agency frictions between the servicer and the investor are higher, the servicer’s financial constraints matter more. IV regressions suggest that, on average per defaulted loan, servicers’ financial constraints are responsible for 20% of the total investor value reduction during the financial crisis.
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 …
The Effect Of Sustainability Index Inclusion On Equity Fund Allocation Evidence From Thailand,
2022
Faculty of commerce and accountancy
The Effect Of Sustainability Index Inclusion On Equity Fund Allocation Evidence From Thailand, Tanakorn Makarabhiromya
Chulalongkorn University Theses and Dissertations (Chula ETD)
The concept of sustainability index has been accepted widely in the global investment context. However, sustainable investments are relatively underexplored in an emerging market as in Thailand. This study analyzes the relationship between corporate sustainability performance (proxy by announcement events of the Stock Exchange of Thailand Sustainability Index SETTHSI) and institutional investors’ awareness toward sustainability investment. An event studies on index announcement are applied to analyze the short-term effect from investors in stock market. The results indicate that there is only weak evidence that inclusion into the sustainability index has a positive impact to cumulative abnormal returns during release-related period, …
Forecasting Stock Volatility With Neural Network On Time Varying Transition Probability,
2022
Faculty of commerce and accountancy
Forecasting Stock Volatility With Neural Network On Time Varying Transition Probability, Wasit Norakarntiansin
Chulalongkorn University Theses and Dissertations (Chula ETD)
Forecasting volatilities of financial security returns are important for many financial applications e.g., portfolio investment construction, risk management and trading strategy. The GARCH model has long been refined to capture the true dynamic of volatility on a security return. By applying the Markov switching to the GARCH model, the source of the temporary high volatility and high persistence of a shock to the volatility can be captured. In this study, we refine the Markov switching GARCH model further by applying the notion of the neural network to approximate the time varying transition probabilities. We aim to achieve a model that …
Three Essays On Splits, Insiders, And Retail Traders,
2022
Wilfrid Laurier University
Three Essays On Splits, Insiders, And Retail Traders, Paul Van Nes
Theses and Dissertations (Comprehensive)
The first essay tests the split signaling hypothesis by examining the reaction of sophisticated investors to stock split announcements. Return-based tests of signaling used in earlier studies produce conflicting results and have been criticized as unreliable. I bypass this criticism by focusing on long-term post-split behavior of short sellers who are generally recognized as sophisticated investors. Upon controlling for alternative hypotheses and conventional short selling determinants, I show that short interest permanently declines in reaction to split announcements. Furthermore, consistent with signaling, the degree of the decline is positively related to signal strength and to the splitter’s level of information …
