Finance and Financial Management Commons^™

Harmonizing The Disjointed: Economic Integration And Risk Sharing, Samuel Acheampong

Theses and Dissertations--Economics

This dissertation consists of three essays examining the role of risk diversification in European markets. At the economy level the first two essays seek to identify whether economic integration efforts among European countries result in sharing risks to consumption with regional neighbors, as opposed to global partners. At the firm level, the third essay seeks to understand whether managers of large companies in the United Kingdom choose less financial leverage if they are specifically compensated with more cash bonus as opposed to other forms of performance incentives.

In Essay 1, I assess the extent to which European countries diversify consumption …

American Option Pricing: Optimal Lattice Models And Multidimensional Efficiency Tests, Qianru Shang, Brian Byrne

Articles

We introduce a set of lattice techniques to the Leisen‐Reimer and Tian binomial models with a view to accelerating computation time and improving accuracy of American Option valuation. A level of accuracy and efficiency combined can be achieved that surpass commonly used analytical analogues. We compare these efficient lattice models with analytical formulae for pricing different groups of options according to the deepness of American quality and moneyness. Our results reveal that counter to received wisdom, lattices constructs produce greater speed and accuracy for all option categories relative to the best performing closed form American analogues.

Crummer Suntrust Portfolio Recommendations: Crummer Investment Management [2020], Gerardo Abril, James Bishop, Eddie Cutillas, Shawn Fletcher, Bobby Suchor

Crummer Truist Portfolios

The Crummer Investment Management team has the responsibility of managing the Crummer SunTrust Portfolio. Guided by the investment policy statement, our team's focus was on making appropriate investment decisions based on the portfolio's overarching objectives. This year, we were mindful of protecting the value of the portfolio during periods of economic decline. Achieving this objective will allow us to generate cash to support on-going donations to Crummer's scholarship program. In a time of unprecedented economic uncertainty, we have created an economic outlook for the rest of 2020 through Q1 2021. We gathered information, studied economic indicators, and carefully watched the …

Fare Free Public Transportation Bus Systems: An Examination Of Funding Strategies To Replace Passenger Fare Collection, Amy Vanguilder

West Chester University Doctoral Projects

American public transportation systems have been moving people for more than a century. To some, the transit bus may alleviate frustrations related to finding parking or having to pay expensive parking fees. To others, public transportation may be their lifeline for all travel needs including work, school, medical appointments, and even recreation. While these direct benefits assist those citizens that do use public transportation, public transportation can also bring other benefits indirectly to society in the form of decreased congestion and pollution. As more and more people begin using public transportation systems, they will soon find that public transportation systems …

Coerced Regimes: Management Challenges In The Anthropocene, David G. Angeler, Brian C. Chaffin, Shana M. Sundstrom, Ahjond S. Garmestani, Kevin L. Pope, Daniel R. Uden, Dirac Twidwell, Craig R. Allen

Department of Finance: Faculty Publications

Management frequently creates system conditions that poorly mimic the conditions of a desirable self-organizing regime. Such management is ubiquitous across complex systems of people and nature and will likely intensify as these systems face rapid change. However, it is highly uncertain whether the costs (unintended consequences, including negative side effects) of management but also social dynamics can eventually outweigh benefits in the long term. We introduce the term “coerced regime” to conceptualize this management form and tie it into resilience theory. The concept encompasses proactive and reactive management to maintain desirable and mitigate undesirable regime conditions, respectively. A coerced regime …

Market Liquidity And Mutual Fund Performance During Financial Crisis, Matina O-Warinrat

Chulalongkorn University Theses and Dissertations (Chula ETD)

Market illiquidity influences mutual fund performance differently between crisis and non-crisis period. A significant drop in market liquidity makes investors panic leading to the early and large redemption. Fund managers have to liquidate the portfolio putting pressure on the asset prices, so the underperformance of mutual fund is recognized in non-crisis period. However, the result of illiquidity is different during crisis. The total effect of market illiquidity is positively related to all fund classes. This could then be interpreted as the evidence of management skills, market-timing and volatility-timing skills in fund managers to provide superior fund performance. Moreover, the further …

Do Women On Boards, Education Diversity And Corporate Governance Affect Firm Risk And Firm Performance In Thailand?, Juthamard Klomkhao

Chulalongkorn University Theses and Dissertations (Chula ETD)

The purposes of my study are to investigate the relationship among women on boards, education diversity, and corporate governance on firm risk and/or firm performance of listed companies in Thailand during 2010-2019. Surprisingly, I find an insignificant relationship between the proportion of female directors and firm risk (both total risk and idiosyncratic risk). Moreover, the findings show that women on boards strongly improve ROA, but significantly reduce Tobin’s Q. For education diversity, there is no significant relationship on any measures of firm performance. This study further discovers that an incremental effect of female education diversity on women directorship positively affects …

Does Algorithmic Trading Improve Liquidity Around Dividend Announcement? Evidence From The Stock Exchange Of Thailand, Chotika Chatchawanwanit

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates the impact of the entry of algorithmic trading on Thailand’s stock market liquidity around dividend announcement during 2001 – 2016. We find some evidence to support that the entry of algorithmic trading in Thai stock market and their increase activities in the market help to provide more liquidity in term of trade volume in stock market liquidity especially after the dividend announcement releases. However, the rise of algorithmic trading tend to lead the market participants to consume liquidity in term of market depth at both best bid and bet offer rather than providing the standing orders in …

Impact Of Monetary Policy On Firm’S Risk-Taking Position And Investment Decision, Sakolwat Seneekosol

Chulalongkorn University Theses and Dissertations (Chula ETD)

The recent economic crisis drives monetary policy to boost the economic situation. However, the side effect of monetary policy also dilutes firms' behavior in both risk-taking and investment decisions. This research investigates the effect of monetary policy from the international and local level using firms in 5 Southeast Asia stock markets. The risk and investment decision measurement technique in this paper using Expected Default Frequency and the investment dummy variables. The risk-taking model is based on panel fixed effect regression and the investment decision model is using a fixed-effect logistic model. This paper also extends the analysis to cover the …

Inflation Level And Equity Mutual Fund Flows In Aggregate, Boontarikar Dangsritham

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper investigates the relationship of inflation level and aggregate equity mutual fund flows using Thai evidence. Sample period covered from 2006 to 2020. For the first objective, we investigate the relationship between realized inflation and net flow of money into equity mutual fund. Next, since investors are forward-looking, we extend the analysis to investigate the same relationship using forecasted inflation instead. Lastly, money supply is increasing since 2008 because of the first launch of QE. Also, inflation trend becomes lower since then. Our further exploration is whether there is a change in the relationship between inflation and aggregate equity …

Inside The Black Box Of Financial Analysts: What Drives Systematic Forecast Optimism?, Christian Schmidt

Chulalongkorn University Theses and Dissertations (Chula ETD)

Despite past failures and a higher standard of regulation, excessive forecast optimism among financial analysts is still observable. It is mainly attributed to incentives provided by an underlying affiliated relationship. This paper investigates diverse market settings in the Thai stock market between 2005 and 2017 to break down the incentive structure in the analysts' forecasting process. First, banks and brokerage houses with an affiliated mutual fund family show an extreme forecast behavior, especially when the fund family is backed by high capital and has a large stake in the covered firm. Secondly, full-service banks are among the most optimistic analysts …

Single Currency And The Liquidity In Corporate Assets Market, Kamolwan Pavavimol

Chulalongkorn University Theses and Dissertations (Chula ETD)

The single currency was adopted in 1999. It gave a huge impact on financial system. In this study, we focus on the single currency impacted to the liquidity in the corporate assets market, market whereby the mergers and acquisitions occurred. The studies found that the single currency had positive effect to the liquidity index in the corporate asset market measured by the intensity of the market transactions in each industry. This increasing in the liquidity mainly from the cross-border deals from the countries that stayed outside the eurozone. Moreover, we found that single currency had positive effect to acquirers to …

The Impact Of Etf Mechanics And The Bank Of Japan Intervention On The Intraday Volatility Of The Underlying Stocks, Tharita Jumroonwat

Chulalongkorn University Theses and Dissertations (Chula ETD)

Due to their low trading costs and superior liquidity, exchange-traded funds (ETFs) attract short-term liquidity traders. The liquidity shocks can pass to the underlying securities through the ETF mechanism. ETF may therefore increase the non-fundamental volatility of the underlying stocks. I carry out the test daily which allows me to timely measure the high-frequency variable of arbitrage activity between Nikkei 225 ETFs and their components. I find the consistent result with Ben-David et al. (2018) that stocks with higher ETF holding display significantly higher volatility and the intensity of arbitrage activity, proxied by stock-level mispricing, magnifies the impact of ETFs …

The Lead-Lag Relationship Of Block Trade Single Stock Futures And The Underlying Stocks: Evidence From Thailand, Pimnapa Wongvisavakorn

Chulalongkorn University Theses and Dissertations (Chula ETD)

According to the efficient market hypothesis, there should not be any lead-lag relationship of the spot and futures price of the financial assets; however, many empirical studies have suggested otherwise. This study uses the Vector Error Correction Model (VECM) and Granger causality test with the daily trading data of Thailand’s block trade single stock futures and its underlying securities of 42 companies from 2016 to 2020. It reveals both unidirectional and bidirectional relationships of spot and futures markets with a less dominant role of the futures market in the price discovery function. None of the sample companies have both long-run …

The Market And Specific Sector Stock Prices Reaction Around Corporate Bond’S Credit Rating And Outlook Changes – Evidence In Thailand, Kittika Sansanavanee

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines stock price reaction around credit rating and outlook changes in Thailand. We collect data from stocks listed in SET (The Stock Exchange of Thailand) which issued corporate bonds. These bonds must be listed in TBMA (The Thai Bond Market Association) and were rated by either Tris or Fitch rating Thailand between 2002-2020 (corporate bond credit rating and outlook change). We also study further about the effect of these credit rating events in 3 sectors of stock - Banking, Finance and Property Development. The empirical result shows that good credit events provide significant positive abnormal stock return after …

The Presence Of Style Drift And Its Effects In Thailand’S Equity Mutual Funds, Nuttha Lertwattanakiat

Chulalongkorn University Theses and Dissertations (Chula ETD)

Active equity mutual funds have become a widely popular investment for investors with high risk tolerance due to potentially getting a higher return with the benefit of diversification and professional management. Investors can make decision on selecting funds by looking at “style”. Style is viewed in two dimensions; size and value-growth orientation at stock level. It helps investors to see how fund manager select stocks and the overall style of stock holding for a whole portfolio. Investors can take this factor into considerations to build portfolio to align with their strategy. But what will happen if the style is changed …

The Relationship Between Fees And Performance Of Domestic Equity Funds In Thailand, Thapanee Suphapitakpaiboon

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study inclusively examines the relationship between fund fees and performance of open-end domestic equity funds in Thailand from 2010 to 2019 to analyze the domestic-equity fund market in 2 main dimensions: the market competitive and conflict-of-interest between the duties of asset management companies (AMCs) to their parent bank and to unitholders through fund fee channel. The study investigates the relationship of (1) fund fees, (2) fund fees set by bank subsidiaries, and (3) fund fees set by large-bank subsidiaries with its performance in term of both returns over benchmark and Jensen’s alpha. Based on the results, investors paid higher …

Option Pricing Using Local Volatility Function: How To Specify Its Knots?, Wisuth Raweerojthanatt

Chulalongkorn University Theses and Dissertations (Chula ETD)

European options of an asset are priced following a continuous 1-factor diffusion model and the generalized Black-Scholes equation. Volatility knots are determined by many specifications that are the number and the location of knots at any stock price and time to expiration. Considering the volatility knots as a set of decision variables, we can approximate the local volatility function with a bicubic spline function to compute option values fitted to a finite set of market data by solving a constrained nonlinear optimization problem. With the real market data of SET50 Index options, pricing accuracy of different knots’ specifications are demonstrated. …

Reverse Stress Testing On Non-Elliptical Jointly Distributed Multivariate Data, Chevincee Werawanich

Chulalongkorn University Theses and Dissertations (Chula ETD)

No abstract provided.

The Hybrid Pareto Distribution, Implied Risk-Neutral Density And Option Pricing, Purin Luanloy

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper aims to develop a new European option pricing model based on the Extreme Value Theory (EVT). We assume that, in the risk-neutral probability measure, simple negative returns of the S&P500 index follow the Hybrid Pareto (HP) distribution. Then, we derive closed-form pricing formulas for call and put options according to the risk-neutral pricing method. Additionally, we assume that the distribution has a fat tail. Our study’s benchmark model is the Generalized Extreme Value (GEV) model proposed by Markose and Alenton (2011). We estimate model parameters by minimizing the root-mean-square error. The results show that the HP model provides …