Are Short Sellers Equally Informed? Evidence From The Us. Credit Rating Announcements,
2021
Faculty of commerce and accountancy
Are Short Sellers Equally Informed? Evidence From The Us. Credit Rating Announcements, Omtong Kasemsant
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study uses credit rating and daily short sale data of firms listed in NYSE from January 2015 to December 2021 to examine whether there is informed trading. Although post-announcement abnormal return is negatively correlated with abnormal short volume, no evidence of informed short selling is found. Higher level of pre-announcement abnormal short selling is positively correlated to default risk and also explained by the incentives of short sellers to short more when past returns are negative. Furthermore, increase in short selling that is preceded by credit watch placement is more pronounced before credit rating downgrades. Moreover, the evidence shows …
International Evidence On Corporate Rating Changes,
2021
Faculty of Commerce and Accountancy
International Evidence On Corporate Rating Changes, Torfun Kantatasiri
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research aims to study the reaction of the International stock market around the corporate bond rating change announcements by Moody's between 2015-2021 using stocks and rating data from Datastream. The empirical result shows a significantly positive reaction after the upgrades announcement and a negative reaction around the downgrades event date. Specifically, the impact of rating changes on stock prices is larger around downgrades. The results imply that there is an information effect but no price pressure effect since there is a significant reaction in response to downgrades for all samples insignificance impact following downgrades for sub-sample of the changes …
Does Accounting Quality Reduce External Financial Constraints?,
2021
Faculty of Commerce and Accountancy
Does Accounting Quality Reduce External Financial Constraints?, Chapit Asirapongporn
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates how accounting quality relates to financial constraints at the firm level. In this study, our first hypothesis is that higher accounting quality reduces financial constraints at the firm level. Our second hypothesis is that higher accounting quality reduces financial constraints more after IFRS adoption in 2011 than before IFRS adoption in Thailand. Our third hypothesis is that higher accounting quality reduces financial constraints more in state-owned enterprises than in privately-owned enterprises. Lastly, auditing quality could be another proxy of accounting quality. Therefore, our fourth hypothesis is that higher auditing quality reduces financial constraints at the firm level. …
The Co-Movement Between Equity Markets Of Thailand And China : A Wavelet-Based Approach,
2021
Faculty of Commerce and Accountancy
The Co-Movement Between Equity Markets Of Thailand And China : A Wavelet-Based Approach, Shilei Sun
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper applied the MODWT wavelet method to decompose correlations of the stock market of Thailand and China into different time scales and frequencies. The decomposed correlations are then examined and compared between short-term and long-term, and also between different time periods when the interdependence of two markets is expected to change. The result shows that long-term correlation is not significantly higher and sometimes is significantly lower than the short-term, whereas the correlation does significantly increase from 2005 to 2020. Furthermore, the paper investigates the effectiveness of using the correlation in the suitable time scale and frequency in an application …
The Impact Of Moral Hazard In Institutional Environment On The Decision To Perform Partial Acquisition Or Full Acquisition,
2021
Faculty of Commerce and Accountancy
The Impact Of Moral Hazard In Institutional Environment On The Decision To Perform Partial Acquisition Or Full Acquisition, Thornthep Paengsawat
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper investigates the impact of moral hazard on the corporate strategic decision regarding Mergers and Acquisitions. Whether the decision by the acquirer to make partial or full acquisitions is driven by moral hazard is the main implication of this research paper. Considering several subsamples of mergers and acquisition transactions, in domestic transaction, an increase in private benefits of control does increase the odd of making partial acquisition. Considering the subsample of cross-border acquisitions, private benefits of control still increases the odd of making partial acquisition but the effect is less pronounced. Having control for the profit-maximizing reasons to make …
Do Domestic Institutional Investors Always Win? (Evidence From The Stock Exchange Of Thailand),
2021
Faculty of Commerce and Accountancy
Do Domestic Institutional Investors Always Win? (Evidence From The Stock Exchange Of Thailand), Preeyada Kanakupt
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
The Effect Of Tax Avoidance On Firm Value In The Set,
2021
Faculty of Commerce and Accountancy
The Effect Of Tax Avoidance On Firm Value In The Set, Jeff Dardouillet
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
Does Size Really Matter? In Mergers Of Equals : An Event Study,
2021
Faculty of Commerce and Accountancy
Does Size Really Matter? In Mergers Of Equals : An Event Study, Piyamart Srithanomwong
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research presents empirical studies on the impact of mergers of equals on shareholders’ wealth. Due to integration problems between combining corporations, Daimler-Chrysler merger failures caused the corporate sector to think that mergers of equals erode shareholder wealth. However, it is based on a small proportion of MOE transactions, and there is no empirical evidence on the shareholder’s return on the announcement date implications of MOEs related to the size of the merger. I provide this research knowledge for the shareholder wealth at the announcement date for the implications of MOEs related to the size effect of the merger. Furthermore, …
How Does Thai Stock Market React To The Environmental Policy Announcements?,
2021
Faculty of Commerce and Accountancy
How Does Thai Stock Market React To The Environmental Policy Announcements?, Veerapat Virochpoka
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper investigated the impact of environmental policy announcements to the stocks in the Stock Exchange of Thailand. The announcements are related to climate change in the world forum (Paris Agreement) and plastic waste management. Investors are aware of the environmental policy which could have an impact to firms. We found that 7 out of 8 announcements experienced significant cumulative abnormal returns (both positive and negative). In terms of industry, the only industry which reacted to all announcements is industrials. The majority of firms in the industrials industry are operators related to chemicals, automotive and general manufacturing which are more …
The Impact Of Esg Performance On Firm-Idiosyncratic Risk In The Us And Canada,
2021
Faculty of Commerce and Accountancy
The Impact Of Esg Performance On Firm-Idiosyncratic Risk In The Us And Canada, Nutcha Kongpreecha
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper aims to examine how environmental, social, and governance (ESG) performance affects the idiosyncratic risk of firms in the United States and Canada between 2007 and 2020. This study retrieves ESG scores and other factors from the Refinitiv DataStream, the firms used for analysis in this paper are 480 listed companies. Results show that ESG performance can reduce idiosyncratic risk in different firms' characteristics and periods. First, ESG performance can subdue the idiosyncratic risk in both sensitive and non-sensitive industries at the same level. Second, only the environmental pillar in the sensitive industry has an additional negative influence on …
Does Bond Market Development Impact The Flight-To-Quality From Stock To Bond During Covid-19?,
2021
Faculty of Commerce and Accountancy
Does Bond Market Development Impact The Flight-To-Quality From Stock To Bond During Covid-19?, Patcharee Sae-Tiaw
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper analyzed flight to quality effect from stocks to government bonds in 46 countries including developed and emerging countries during COVID pandemic. The empirical result from panel data framework shows that the flights exist and government bonds remain offered diversification benefit to investors when they are most needed. The negative stock-bond correlation was also amplified when pandemic is more severe in developed countries. Moreover, this study reveals that countries with a higher degree of bond market development can support bonds act as a safe haven better and have more negative in stock-bond correlation.
The Inflation Hedging Ability Of Real Estate Investment In Thailand,
2021
Faculty of Commerce and Accountancy
The Inflation Hedging Ability Of Real Estate Investment In Thailand, Pimpimuk Rodnikorn
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
Diversification Benefits Of Domestic And International Reits For Set Index Before And During Covid-19 Crisis,
2021
Faculty of Commerce and Accountancy
Diversification Benefits Of Domestic And International Reits For Set Index Before And During Covid-19 Crisis, Korn Kongkittiwong
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the diversification benefit of Thailand, the US, Europe, Singapore, and Japan REIT indices for the SET index. The time scope for this study starts from 1st January 2011 to 31th January 2022. It also compares the diversification benefit degree between pre and during Covid-19 periods. The DCC-GARCH model is used for the diversification benefit examination. The results posit 3 main points. First, all the REIT indices provide diversification benefit for the SET index. Second, the Covid-19 pandemic reduces diversification benefit generated by the US, Europe, and Japan REIT indices. Finally, the US provides the highest diversification benefit …
How Sensitive Are Ipos To The Fear Of The Covid-19 Pandemic In Emerging Markets?,
2021
Faculty of Commerce and Accountancy
How Sensitive Are Ipos To The Fear Of The Covid-19 Pandemic In Emerging Markets?, Kavisara Vachekrilas
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the relationship between COVID-19-related pandemic fear and the short-term performance of initial public offerings in emerging markets. This paper investigates whether the short-term fear of COVID-19 continues to influence post-IPO performance. In doing so, the fundamental methodology is cross-sectional ordinary least squares (OLS) regression and numerous variables are included to the model as control variables. The results show that whether looking at the first-day trading price of an IPO or the subsequent trading prices, the effect of pandemic fear (GFI, RCI and RDI) was positive. However, results were somewhat different for HighGFI, which was a dummy variable …
The Role Of A Banking Market Concentration In The Effect Of Monetary Policy On Bank Risk: Evidence From Thailand,
2021
Faculty of Commerce and Accountancy
The Role Of A Banking Market Concentration In The Effect Of Monetary Policy On Bank Risk: Evidence From Thailand, Sasichanok Khongtip
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research investigates the effect of monetary policy on bank risk exposure and the role of banking market concentration in affecting their relationship by using the data of 11 commercial banks listed in the Stock Exchange of Thailand at the quarterly frequency over the period of 2001-2019. The different measurements of bank risk exposure variables and monetary policy indicators given interest rate changes from the previous quarters, interest rate variations relative to their long-term trends, low interest rates and prolonged low interest rates are applied to secure the robustness in estimation results based on dynamic model namely the two-step system …
Mutual Fund Flow And The Real Economy,
2021
Faculty of Commerce and Accountancy
Mutual Fund Flow And The Real Economy, Sadanan Ekkaewnumchai
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper empirically examines the comparative relationship between flow of equity and bond fund with the expected and real economy among US, UK and Japan market. Two objectives are set in according to the implication of information-response theory. The first objective is to study the relationship between mutual fund flow and the expectation in the future economic conditions capturing by predictive variable. Due to investors’ sensitivity to economic conditions, the second objective is to study the ability of mutual fund flows to predict the real economic conditions. The analytical period covers from 2001: Q1 to 2020: Q4. The study found …
Ownership Concentration, Corporate Governance, And Firm’S Risk-Behavior: Evidence From Thailand,
2021
Faculty of Commerce and Accountancy
Ownership Concentration, Corporate Governance, And Firm’S Risk-Behavior: Evidence From Thailand, Napassorn Harnchaikittikul
Chulalongkorn University Theses and Dissertations (Chula ETD)
The relationship among the ownership concentration, corporate governance, and firm risk are investigated in this study. The sample for this study include all the firm listed in Thailand Stock Exchange for the time period from 2010 to 2019. In this study, both direct and indirect relationship are investigated. The results shows that ownership concentration has positive significant effect on firm risk in the case of Thailand. The main explanation for this evidence is based on the socio-emotional wealth and limited liability feature of the listed firms. Meanwhile, corporate governance does not seem to have any significant impact on risk. Focusing …
Spillover Effects Of Thailand Gdp Announcement Surprise To Aec Stock Markets,
2021
Faculty of Commerce and Accountancy
Spillover Effects Of Thailand Gdp Announcement Surprise To Aec Stock Markets, Sirilada Chansermpong
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines how Thailand GDP announcement surprise affects AEC stock markets which are Thailand, Indonesia, Malaysia, Singapore, Philippines, and Vietnam. In the sample of 44 GDP announcements in Thailand during 2009-2019, our result suggests that there is no impact to AEC stock markets on GDP announcement date. However, we find pre-and post- GDP announcement effect spillover to other countries in AEC. In addition, the direction of Thailand GDP announcement has no reaction on abnormal return on AEC stock exchanges. In contrast, our findings report the influence of macroeconomic conditions in Thailand on the abnormal return in Malaysia, Singapore, and …
The Effect Of Air Pollution On Stock Returns: Evidence From Thailand And Indonesia,
2021
Faculty of Commerce and Accountancy
The Effect Of Air Pollution On Stock Returns: Evidence From Thailand And Indonesia, Fengxu Lin
Chulalongkorn University Theses and Dissertations (Chula ETD)
The objective of this paper is to investigate the impact of air pollution on stock returns in Thailand and Indonesia from January 1, 2016, to June 30, 2021. Further effects of air pollution on stock returns during the seasonal pollution period, full moon period, new moon period, and high pollution period are also studied. The result shows that a lagged day of air pollution proxy significantly reduces stock returns in Thailand. The significant negative effect of air pollution on stock returns is similar to that after controlling for the January effect. This is consistent with the finding of Li and …
Corporate Social Responsibility And Firm Risk: Egypt’S Case,
2021
The British University in Egypt
Corporate Social Responsibility And Firm Risk: Egypt’S Case, Dina Hassouna, Rania Abdelfattah
Business Administration
Studies amongst developed countries have extensively investigated the link between corporate social responsibility (CSR) and financial performance. However, due to lack of research in the Middle East, especially in Egypt, the association between CSR and firm risk remains much less understood (Nguyen & Nguyen, 2015). Therefore, this paper is one of the very few studies that investigate the impact of CSR on firm risk amongst developing countries. A sample of 31 Egyptian listed companies was examined over four years, from 2011 to 2015. We test the impact of CSR on firm risk using fixed and random effects estimation models. We …
