Finance and Financial Management Commons^™

Spac Sponsors And Their Effects On Spac Prices, Kanda Karnjanonun

Chulalongkorn University Theses and Dissertations (Chula ETD)

The purpose of this paper is to find the effect from SPAC sponsor after the merger announcement. I study SPAC IPOs which had acquiror and target nation in the United States and were public between January 2020 and December 2021. The final sample has 186 SPACs. I select The Forbes 400 in 2021 as a proxy for sponsor reputation. I use event study methodology to test for SPAC sponsors and their effects on SPAC prices. I find that there is no statistical evidence that sponsor reputation has impact on SPACs price on the announcement date of combination. There are two …

The Effect Of Female Board On Firm Value Evidence From The Asia Pacific, Tanyatorn Kulalert

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper examines the relationship between board gender diversity and firm value of companies in the Asia-Pacific from 2011 to 2020. Fixed effects and two-stage least squares are employed to deal with endogeneity. We find that increasing female directors to the board has a positive and significant effect on firm value as measured by Tobin’s Q. The result suggests that independent directors have a positive and significant impact on firm value. However, when the board is composed of independent directors, appointing female directors decreases the firm's value owing to over monitoring. Furthermore, the positive effect of female directors appears to …

The Evidence Of The Beta Anomaly In The European Reit Market, Nutpapol Tantratananuwat

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper finds empirical evidence of the beta anomaly in the European REIT market in the period 2012 – 2021. The alpha of a low minus high beta strategy is positive and statistically significant which can interpret that the low beta REITs have a higher risk-adjusted return than high beta REITs. To examine the explanation behind the beta anomaly, the controlling variables which may cause the beta anomaly including the lottery-like stock return factor, the skewness factor, and the institutional ownership factor are added into the Fama-French 3-factor model. For the result, only the institutional ownership factor which refers to …

Causality Between Corporate Social Responsibility And Corporate Financial Performance, Yatida Palasri

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper examines the causality relationship between corporate social responsibility (CSR) and corporate financial performance (CFP) of the listed companies in Asian Pacific emerging markets from 2010 to 2020. This paper analyzes the direction of causality between CSR and CFP in five different industries including energy, consumer non-cyclical, financial, technology and healthcare industries. This paper aims to study whether aggregated CSR scores and non-aggregate CSR scores (i.e., environmental, social and governance scores) toward the CFP measures (i.e., return-on-equity and Tobin’s Q ratios) have unidirectional or bidirectional relationship. In doing so, the bivariate panel vector autoregressive model and Granger causality test …

Is Thai Baht A Safe Haven Currency During The Covid-19 Pandemics, Nanapat Chaochavanil

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper empirically investigates whether or not Thai Baht (THB) is actually one of the safe haven currencies. Moreover, we also extend analysis to see if its safe haven pattern is persistent during the COVID-19 pandemic. We are not only study for THB, but also take into account other traditional well known safe- haven currencies namely U.S. Dollar (USD), British pound sterling (GBP), Euro (EUR), Swiss Franc (CHF) and Japanese Yen (JPY). By investigating between 2010 - 2019, our results do not support the idea that THB is a safe haven currency. Nevertheless, this paper found that for other well-known …

Stock Return Dispersion And Performance Of Domestic Equity Funds In Thailand, Pavit Sae-Eng

Chulalongkorn University Theses and Dissertations (Chula ETD)

We examine the relation between cross-sectional return dispersion and actively domestic open-ended fund performance in Thailand, with the rationale mechanism that in the time of high return dispersion, where provide the opportunity for the fund managers to generate the positive value of abnormal return. Consist to the finding in US data that the period of the highest return dispersion the most activeness fund significant outperform the least activeness fund. Thai data provided the added value that active fund with the moderate to high activeness earn positive abnormal return in the period of the highest return dispersion. we also find the …

Market Reactions Towards Changes In Analysts’ Ratings And Target Prices, Evidence From Thailand, Talatarn Kromadit

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper aims to perform a comprehensive analysis of the effects of the stock ratings and target prices announcement published by analysts from both domestic and foreign brokerage firms in the Thai market. There are two quantitative indicators that will be focused on in this study, target prices and stocks rating, by observing the change of these two factors along with the change of market price, I will be able to study market reaction by using the Fama-French 3-factor modal (Fama and French, 1992) to detect AR and CAR within each focused window period. The observation period starts from January …

The Impact Of Institutional Ownership And Valuation On Stock Price Around Set50 Index Inclusion And Exclusion, Pranittra Ritthiwitthayasakun

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the impact of institutional ownership and valuation on stock price around the changes in index constituents. Specifically, this paper studies the significant SET50 index during the period of 2014 – 2021. According to the empirical result, there is an asymmetric price response between index additions and index deletions. The effects from exclusions are considerably stronger than from inclusions. The findings also show that percentage ownership of institutional investors and abnormal return are positively correlated in case of exclusions but not for inclusions (though insignificant). Companies deleted from the index result in lower institutional holdings and subsequently exhibit …

The Cross-Sectional Return Dispersion With Momentum Strategyand The Spill Over Across Fx And Equity Markets, During Covid-19, Pisit Grittiyarangsan

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper investigates the relation of momentum strategy and the return dispersion across currency and global equity markets by using 30 currency pairs and 30 global equity indices during last 2 decades. This paper also examines the lead-lag relationship of return dispersions through spillover from one market to another. In addition, we are successfully detected the relation between return dispersion of those market and the significant return by momentum strategy on currency market. However, we cannot detect significant positive return by using momentum strategy on global equity indices, so we cannot use the return dispersion from the lead market as …

Diversification Benefits Of Commodity Indices Versus Islamic Stock Indices, Sita Khan

Chulalongkorn University Theses and Dissertations (Chula ETD)

The objective of this study is to investigate conditional correlations between the Dow Jones Emerging Market index and commodity indices (i.e., agriculture, energy, industrial metals, livestock, precious metals) and Islamic stock indices (i.e., JKII, KLFTEMSI, MSCI Bahrain, MSCI Kuwait, and MSCI Qatar). Additionally, this paper classifies the properties of assets whether it is a diversifier, a hedger, or a safe-haven assets to the Dow Jones Emerging Market index. The estimation method is the dynamic conditional correlation generalized autoregressive conditional heteroskedasticity (DCC-GARCH) model to estimate the conditional correlations during the period of 2007-2021 which covers the Global financial crisis (GFC) and …

The Relationship Between Capital Structure Practices And Financial Distress In West Africa, Kofi Opoku-Asante

Walden Dissertations and Doctoral Studies

Many scholars have concluded that the relationship between capital structure in a business and its financial health is not clearly defined. When making decisions, managers may lack understanding of the relationship between the capital structure practice and financial distress. The purpose of this study was to test the relationship between capital structure practice and financial distress in West African companies. The capital irrelevance theory, pecking order theory, and the trade-off theory guided the research question to ascertain the relationship between capital structure practice and financial distress. The study design was a quantitative correlational design. The population was all public nonfinancial …

Relationship Between Working Capital Management, Strategies, And Performance Of Nigerian Manufacturing Firms, Ayebainasuoton Francis Alagoa

Walden Dissertations and Doctoral Studies

Many Nigerian manufacturing firms have faced working capital management anomalies due to concerns of balancing profitability and liquidity that led to most business failures. To remain competitive corporate managers and business leaders of manufacturing firms need to operate optimally in working capital by understanding the association between working capital management (WCM), working capital strategy (WCS), and performance. Using the cash conversion cycle theory as the linchpin, the purpose of this quantitative correlational study was to examine the relationship between WCM, WCS, and performance. The study utilized secondary financial data spanning 2014 to 2018 from a random sample of 54 publicly …

Retrospective And Forecasting Analysis Of Increased Long Term Care Demand In Niagara, Breanne Alissa Hines

Walden Dissertations and Doctoral Studies

A problem exists within the Canadian healthcare system as many patients experience longer lengths of stay (LOS) in acute care (AC) and complex care (CC) beds within hospitals because of a lack of long term care (LTC) facilities. The purpose of this study was to evaluate the extra days patients wait for placement and assess the benefits of increasing the number of LTC beds. The theoretical framework used was the four-level model of the health care system. Research questions involved 2017-2019 data for the number of LTC beds required to eliminate waits and evaluate beds needed in the future. This …

Financing Strategies For Small And Medium Enterprises In Mexico, Mónica Nuñez Huerta

Walden Dissertations and Doctoral Studies

At least 33% of small and medium enterprises (SMEs) in Mexico do not survive the first year and 65% close during the first 5 years of operations. SME survival is essential for a globally competitive market and professional development opportunities for SME employees. Grounded in the pecking order theory, the purpose of this qualitative multiple case study was to explore strategies four Mexican SME leaders used to obtain appropriate financing for their sustainability and growth during and beyond 5 years of beginning operations. Data were collected from semistructured interviews, organizational documents, and social media platforms. Data were analyzed using thematic …

Strategies For Sourcing Funding For Startup Businesses In Nigeria, Nelly Nwabuisi Adiawari Oburo

Walden Dissertations and Doctoral Studies

Some small and medium enterprise (SME) owners are challenged with sourcing adequate funds to start and continue in business. Financing SMEs is critical to their owners to ensure they can remain financially viable and continue contributing to Nigeria’s gross domestic product and economic growth. Grounded in the pecking order theory and the financial growth cycle theory, the purpose of this qualitative multiple case study was to explore strategies owners of startup SMEs in Federal Capital Territory (FCT), Nigeria, can adopt to source funds required to start and sustain a business beyond 5 years. Data were collected through semistructured interviews from …

The Effects Of Personality On Obtaining Microloans For Small Business Owners In The United States, Luis Moncayo

Walden Dissertations and Doctoral Studies

This study addressed the perceived negative individual characteristics that may precipitate failure of small business owners in securing microloans. The purpose of this quantitative, nonexperimental, correlational study was to examine how the personality traits of small business owners related to their ability to secure microloans for their business needs. Goldberg’s big five theory provided a framework for the study and aided in forming the research questions focused on the relationship between personality traits of the big five theory and the ability of small business owners to secure microloans for their business needs. A sample of 196 small business owners in …

Small And Medium Scale Firms Financing Strategies In Nigeria, Anthony Ogochukwu Chukwu

Walden Dissertations and Doctoral Studies

Past studies highlighted that small and medium scale enterprises contributions to nations’ economy have been minimal due to their inability to access the sufficient funds for their operations. The challenge is that small business owners lack the right strategies to raise finances required for business operations. The purpose of this study was to explore the lived experiences of small and medium scale enterprise owners in raising of finances from lending institutions. The conceptual framework emphasized the concepts of business environment, financing institutions, knowledge, and experience of small business owners as related to small and medium scale enterprise funding. The research …

Insider Ownership And The Performance Effects Of Firm Diversification In Nigeria, Ibeawuchi Ibekwe

Walden Dissertations and Doctoral Studies

Despite the preponderance of diversified firms, the diversification–performance (D–P) relationship and how insider ownership moderates it in Nigeria remains unclear and a concern for decision makers interested in the survival of firms and their contributions to society. This quantitative study was conducted to examine the D–P relationship and how it is associated with insider ownership in Nigeria. Agency theory and institution-based theory formed the theoretical foundation of this study. Four research questions that focused on how diversification is related to firm performance and how insider ownership moderates this relationship were answered using the panel design variant of correlational research. Data …

Asymmetry Risk And Asset Pricing, Jiahao Gu

Graduate Theses, Dissertations, and Problem Reports (ETD)

The dissertation primarily focuses on asymmetry risk and its role in asset pricing. Asymmetry risk is a crucial component of systematic risk. However, it does not attract much attention, probably because of the misconception that it is similar to other asymmetry measures (e.g., skewness). Chapter 1 defines the asymmetry risk. The risk indifference curve (RIC) predicts two asymmetry premiums in the return distribution rather than one in the downside. I also derive the risk-neutral measure of asymmetry risk.

Chapter 2 empirically investigates the asymmetry beta's return predictability and tail risk hedging ability. Consistent with the risk indifference curve, the asymmetry …

Non-Traditional Systemic Risk Contagion Within The Chinese Banking Industry, Tonmoy Choudhury, Simone Scagnelli, Jaime L.P. Yong, Zhaoyong Zhang Prof

Research outputs 2014 to 2021

Systemic risk contagion is a key issue in the banking sector in maintaining financial system stability. This study is among the first few to use three different distance-to-risk measures to empirically assess the domestic interbank linkages and systemic contagion risk of the Chinese banking industry, by using bivariate dynamic conditional correlation GARCH model on data collected from eight prominent Chinese banks for the period 2006–2018. The results show a relatively high correlation among almost all the banks, suggesting an interconnectedness among the banks. We found evidence that the banking system is exposed to significant domestic contagion risks arising from systemic …