Option Returns Around Earning Announcement In London,
2020
Faculty of Commerce and Accountancy
Option Returns Around Earning Announcement In London, Thanawat Thangchadakorn
Chulalongkorn University Theses and Dissertations (Chula ETD)
While prior studies find that returns on straddles constructing before earning announcements are positive in U.S. equity option market, we further investigate and find that returns on straddle constructing before earning announcement are positive in London Stock Exchange either. The logic behind this positive return while return on straddles are generally negative is option traders underestimate volatility of upcoming earning announcement period due to recency bias.
Does The Increase In Liquidity Attenuate Returns Anomalies In The Thai Stock Markets?,
2020
Faculty of Commerce and Accountancy
Does The Increase In Liquidity Attenuate Returns Anomalies In The Thai Stock Markets?, Supapat Sangkavadana
Chulalongkorn University Theses and Dissertations (Chula ETD)
From Chordia et al. (2014), in the recent period of increased liquidity, the majority of US stock market returns anomalies have attenuated. However, as Thailand is a retail-based stock market, the stock market returns anomalies might not attenuate in the period of increased liquidity. In this paper, I use data from SET and mai markets from 2005 to 2019 to conduct time series regression to test the hypothesis. My finding is, first, apart from momentum returns anomalies in the mai market, the size, value, and momentum returns anomalies still exist in Thai stock markets. Second, most of the returns anomaly …
Financial Constraints, Corporate Governanceand Corporate Cash Holdings: Evidence From Thai Market,
2020
Faculty of Commerce and Accountancy
Financial Constraints, Corporate Governanceand Corporate Cash Holdings: Evidence From Thai Market, Pantawat Tangchitpianvit
Chulalongkorn University Theses and Dissertations (Chula ETD)
The objectives of this paper are to examine the relationship between corporate governance and financial constraints which play a substitution role in mitigating agency conflicts associated to corporate cash holdings of Thai listed company covering the period from 2008 to 2019. I use five firm specific characteristics of financial constraints i.e. annual payout ratio, firm size, leverage ratio, lifecycle ratio as well as collateral asset ratio and corporate governance score as proxies to determine the level of cash holdings. The result provides that financial constrained-firms hold larger amount of cash than financial less constrained-firms in order to have adequate financial …
Industry Size And Deal Initiation: Evidence From Merger And Acquisition,
2020
Faculty of Commerce and Accountancy
Industry Size And Deal Initiation: Evidence From Merger And Acquisition, Sirilak Sriburapar
Chulalongkorn University Theses and Dissertations (Chula ETD)
Targets in small industries are more likely to initiate the deal than targets in large industries. Bidders are willing to pay more for target-initiated deals in small industries than in large industries. This research finds empirical evidence that industry size significantly impacts firms' decision to initiate the deal and bid premium. Targets in small industries are more plausibly to initiate the deal because the demand for target corporate assets is lower. Consequently, they receive lower premiums compared to targets in large industries. Surprisingly the impact of target-initiated deals on premiums significantly depends on target industry size, the negative impact of …
Insider Trading In Family Firms: Evidence From Thailand,
2020
Faculty of Commerce and Accountancy
Insider Trading In Family Firms: Evidence From Thailand, Paweenon Pramukkiattiyos
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the profitability of corporate insider trading in Thailand's stock market and whether the abnormal return depends on the company's characteristics and insider characteristics. The result shows that there is a significant abnormal return on corporate insider trading transactions. The difference in ownership structure is also important, with the results supporting that insider trading by family firms is more profitable than non-family firms. Moreover, the finding indicates that the trading of CEOs has more valuable information about the company's prospects than other insiders.
The Magnet Effect Of Price Limits: Evidence From High-Frequency Data On The Stock Exchange Of Thailand,
2020
Faculty of Commerce and Accountancy
The Magnet Effect Of Price Limits: Evidence From High-Frequency Data On The Stock Exchange Of Thailand, Wongwarit Boonyasitphawee
Chulalongkorn University Theses and Dissertations (Chula ETD)
Commonly, daily prices limits are widely used for stabilizing stock markets and decrease volatility during overreaction period. However, regulators may not notice that instead of stopping panic sell or overbought, the daily price limits generate a magnet effect, which cause the price to accelerate to the price limits and increase the overall volatility. This research investigates the magnet effect of price limits using high frequency from the Stock Exchange of Thailand. Using AR(2)-GARCH(2,2) as a base model for each stock’s 5-mins returns to capture the effect. The empirical results present evidence of the strong ceiling magnet effect at all conditions, …
Unexpected Movement In Monetary Aggregates And Its Effect On Asset Price In Thailand,
2020
Faculty of Commerce and Accountancy
Unexpected Movement In Monetary Aggregates And Its Effect On Asset Price In Thailand, Paripon Sriboon
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper aims to develop a structural vector autoregressive (SVAR) model to study the dynamic relationships between broad money and other macroeconomics variables in Thailand. The structural restrictions on SVAR model are based on economics intuition and novel finding that money does not react contemporaneously to transitory component of the short-term interest rate. The model also features stock price and house price as the different response of asset price and goods price will be monitored. There are total of seven monthly endogenous variables included in the model covering the period of 2010 - 2020. The result based on forecast error …
Financial Viability Strategies For Leaders Of Small, Private, Nonprofit Universities,
2020
Walden University
Financial Viability Strategies For Leaders Of Small, Private, Nonprofit Universities, Elizabeth Ann Postlewaite
Walden Dissertations and Doctoral Studies
The percentage of full-time college students decreased by 7% in the United Statesbetween 2010 and 2018. Modern university leaders confront difficult decisions regarding their institutions' future because of financial challenges related to reduced tuition revenue. Grounded in the theory of diffusion of innovations and the balanced scorecard, the purpose of this qualitative multiple case study was to explore strategies leaders of small, nonprofit, private universities use to remain financially viable in a highly competitive environment. The participants included 6 university leaders from 2 small, private, nonprofit universities in the Midwest and Mid-Atlantic regions of the United States who implemented successful …
Nigerian Women Entrepreneurs’ Strategies For Financial Inclusion: A Generic Qualitative Inquiry,
2020
Walden University
Nigerian Women Entrepreneurs’ Strategies For Financial Inclusion: A Generic Qualitative Inquiry, Oluwatoyin Madein
Walden Dissertations and Doctoral Studies
Women in Nigeria are approximately 50% of the population and operate significantly in the micro, small, and medium enterprises. Women entrepreneurs in Nigeria are experiencing business failure, early exit, stagnant growth, and low return on investment due to inadequate finance. This study’s specific management problem is that many women entrepreneurs in Nigeria lack strategies to develop financial literacy and access to external loans for business sustainability. Using the concepts of financial inclusion and financial exclusion, the purpose of this qualitative inquiry was to explore the strategies women entrepreneurs use and whether they have the required experience and knowledge of financial …
Financial Illiteracy Of Nigerian Immigrant Entrepreneurs In Houston,
2020
Walden University
Financial Illiteracy Of Nigerian Immigrant Entrepreneurs In Houston, Adewole M. Omogunsoye
Walden Dissertations and Doctoral Studies
Financial literacy is an essential determinant of entrepreneurial success as it helps entrepreneurs to access credit and make rational financial decisions. However, financial literacy remains low especially among immigrant communities, who form the bulk of the low-income earners in the United States. The purpose of this qualitative exploratory case study was to explore the financial literacy of Nigerian immigrant entrepreneurs living in Houston, Texas, in order to sustain growth in their business by successfully using the U.S credit system. The research question for the study examined the actions Nigerian immigrant entrepreneurs in Houston need to take to be financially literate …
Examining Liquidity, Growth Strategy, Capital Structure, And Earnings Growth,
2020
Walden University
Examining Liquidity, Growth Strategy, Capital Structure, And Earnings Growth, Steven R. Posey
Walden Dissertations and Doctoral Studies
Many businesses experience financial deterioration after a growth period. Business leaders of firms with market capitalization value between $50 million and $300 million, known as microcap companies, might have an incomplete understanding of growth drivers. Grounded in the firm growth theory, the purpose of this quantitative, correlational study was to examine the relationship between liquidity, growth strategy, capital structure, and earnings growth. The population consisted of the more than 1,400 constituent firms from the 2019 Russell Microcap Index. Archival data from the Securities and Exchange Commission EDGAR database were collected, organized, and analyzed for 119 randomly selected firms. Multiple regression …
Strategies For Retaining Life Insurance Sales Agents,
2020
Walden University
Strategies For Retaining Life Insurance Sales Agents, Jose Pablo Pescador
Walden Dissertations and Doctoral Studies
The total number of life insurance sales agents has decreased from 535,000 in 1990 to 323,700 in 2014, averaging a total of 8,829 life insurance sales agents leaving the life insurance industry annually. Effective retention strategies of life insurance sales agents may provide a sustainable workforce in the life insurance industry. Guided by Ambler and Barrow’s employer branding theory, the purpose of this qualitative multiple case study was to explore strategies branch managers used to retain life insurance sales agents. The 6 participants in the study implemented effective retention strategies to retain life insurance sales agents within 2 life insurance …
Consumer Credit Card Debt And Immigrants: A Cross-Sectional Study Of U.K. Immigrants’ Financial Capability,
2020
Walden University
Consumer Credit Card Debt And Immigrants: A Cross-Sectional Study Of U.K. Immigrants’ Financial Capability, Paul Wesley Thompson
Walden Dissertations and Doctoral Studies
The problem addressed in this study is the ubiquitous nature and high level of consumer debt associated with certain demographics; however, research in the context of immigrants in the U.K. are limited. The problem is the lack of information about the association between credit card debt and immigrants, specifically on whether the income gap between U.K. immigrants and British citizens affects the level of consumer debt. The purpose of this quantitative cross-sectional correlational study is to examine whether there is an association between the income gap that exists between immigrants and British citizens and their respective levels of consumer debt, …
Risk Management And Hedging Approaches In Energy Markets,
2020
Technological University Dublin
Risk Management And Hedging Approaches In Energy Markets, Jim Hanly
Articles
Energy based assets are showing increased susceptibility to volatility arising out of geo-political, economic, climate and technological events. Given the economic importance of energy products, their market participants need to be able to access efficient strategies to effectively manage their exposures and reduce price risk. This chapter will outline the key futures based hedging approaches that have been developed for managing energy price risk and evaluate their effectiveness. A key element of this analysis will be the breadth of assets considered. These include Crude and Refined Oil products, Natural Gas, and wholesale Electricity markets. We find significant differences in the …
Stochastic Volatility And Garch: Do Squared End-Of-Day Returns Provide Similar Information?,
2020
Edith Cowan University
Stochastic Volatility And Garch: Do Squared End-Of-Day Returns Provide Similar Information?, David Edmund Allen
Research outputs 2014 to 2021
The paper examines the relative performance of Stochastic Volatility (SV) and GARCH(1,1) models fitted to twenty plus years of daily data for three indices. As a benchmark, I use the realized volatility (RV) for the S&P 500, DOW JONES and STOXX50 indices, sampled at 5-minute intervals, taken from the Oxford Man Realised Library. Both models demonstrate comparable performance and are correlated to a similar extent with the RV estimates, when measured by OLS. However, a crude variant of Corsi’s (2009) Heterogenous Auto-Regressive (HAR) model, applied to squared demeaned daily returns on the indices, appears to predict the daily RV of …
Challenges And Trends In Sustainable Corporate Finance: A Bibliometric Systematic Review,
2020
Edith Cowan University
Challenges And Trends In Sustainable Corporate Finance: A Bibliometric Systematic Review, Tad Dat Bui, Mohd Helmi Ali, Feng Ming Tsai, Mohammad Iranmanesh, Ming-Lang Tseng, Ming K. Lim
Research outputs 2014 to 2021
Sustainable corporate finance is an attractive field of study in sustainability literature; however, the literature lacks systematic bibliometric analysis that provides a comprehensive review to clarify state-of-the-art sustainable corporate finance and that discusses new opportunities and potential instructions for further studies. To address this gap, this study adopts a literature review, bibliometric analysis, network analysis and co-wording technique to systematically investigate the Scopus database. In total, 30 keywords listed at least three times are used and are divided into six clusters considering six fields of research, namely, corporate finance in corporate sustainability, sustainable competitive advantages, sustainable stakeholder engagement, circular economy, …
Essays On Risk Management Of Insurance Companies,
2020
Wilfrid Laurier University
Essays On Risk Management Of Insurance Companies, Olga Kanj
Theses and Dissertations (Comprehensive)
This dissertation examines the risk management of insurance companies. It consists of three essays, which study the risk management of property and casualty (P/C) insurance companies. The first essay examines the impact of board diversity on firms’ risk-taking strategies using Canadian P/C insurance companies. The findings show that board ethnic diversity significantly decreases company risk as measured by reinsurance, asset risk, and leverage risk. Ethnic background values of the board members could be the reason behind this effect, board members with ethnic backgrounds from countries with high (low) Uncertainty Avoidance Index (UAI) decrease (increase) the risk. Results also show that …
Modelling Cross-Market Linkages Between Global Markets And China’S A-, B- And H-Shares,
2020
Edith Cowan University
Modelling Cross-Market Linkages Between Global Markets And China’S A-, B- And H-Shares, Thi Tuan Anh Do
Theses: Doctorates and Masters
One of the biggest challenges in quantifying joint risk and forming effective policies in financial management and investment strategies is to fully understand the characteristics of market associations in low and high volatility periods. Market interdependence, therefore, is a hot topic that has received interest from academics and industry experts, especially since the Asian Financial Crisis in 1997. China, being the world’s second-largest economy, has been the centre of many studies investigating stock market dependencies. While China has three major share types, namely A-, B- and H-shares, with different market players, market characteristics and operating efficiency, the number of studies …
Potential Pilot Problems: Treatment Spillovers In Financial Regulatory Experiments,
2020
Singapore Management University
Potential Pilot Problems: Treatment Spillovers In Financial Regulatory Experiments, Ekkehart Boehmer, Charles Jones, Xiaoyan Zhang
Research Collection Lee Kong Chian School Of Business
In analyzing regulatory experiments, a fundamental assumption is that the control group is unaffected. However, in many settings, this assumption may not hold. Generally, the total effect of a regulatory change consists of direct and indirect effects, but the standard difference-in-difference approach measures only direct effects. We apply our methods to the 2007 repeal of the uptick rule by the SEC. The indirect effects are substantial, because unlike the 2005 partial repeal, total repeal enables aggressive portfolio shorting. In particular, we find that short sellers become much more aggressive across the board, and shorting activity increases, even in control stocks …
Financial Vulnerability And The Reproduction Of Disadvantage In Economic Exchanges,
2020
INSEAD
Financial Vulnerability And The Reproduction Of Disadvantage In Economic Exchanges, Tianyu He, Rellie Derfler-Rozin, Marko Pitesa
Research Collection Lee Kong Chian School Of Business
Integrative value generation through negotiated business deals is a fundamental way in which organizations and economic systems attain economic benefits. It is also an important way in which individuals can improve their financial situation. We propose that individuals most in need of improving their financial standing, those in a financially vulnerable situation, are least likely to reap the benefits of integrative value generation. We theorize that financial vulnerability induces a more zero-sum construal of success, or a view that success for one person must come at another person’s success. A more zero-sum construal of success, in turn, hampers negotiators’ ability …
