Real Effects Of Search Frictions In Consumer Credit Markets,
2020
Brigham Young University - Provo
Real Effects Of Search Frictions In Consumer Credit Markets, Bronson Argyle, Taylor Nadauld, Christopher Palmer
Faculty Publications
We establish two underappreciated facts about costly search. First, unless demand is perfectly inelastic, search frictions can result in significant deadweight loss by decreasing consumption. Second, whenever cross-price elasticities are non-zero, costly search in one market also affects quantities in other markets. As predicted by our model of search for credit under elastic demand, we show that search frictions in credit markets contribute to price dispersion, affect loan sizes, and decrease final-goods consumption. Using microdata from millions of auto-loan applications and originations not intermediated by car dealers, we isolate plausibly exogenous variation in interest rates due to institution-specific pricing rules …
Editor's Note,
2020
De La Salle University, Manila, Philippines
The Impact Of The Introduction Of Fx Futures On The Volatility Of The Underlying Asian Emerging Market Currencies,
2020
Sacred Heart University
The Impact Of The Introduction Of Fx Futures On The Volatility Of The Underlying Asian Emerging Market Currencies, Teresa Starzecki
Doctoral Dissertations (DBA)
This paper examines the impact of the introduction of currency futures on the volatility of four Asian emerging market currencies: Chinese yuan, Indian rupee, South Korean won, and Thai baht. A GARCH(1,1) model is implemented to measure volatility in pre- and post- futures introduction periods along with an MCMC procedure to estimate the model and test the significance in changes in volatility between the periods. We find that for three of the four currencies, the persistence and long-run mean of volatility significantly decrease after futures were introduced, while the variance of variance decreases for all four currencies. The results suggest …
Accruals And Volatility In A Real Options-Based Investment Approach: Evidence From Thai Market,
2020
Faculty of Commerce and Accountancy
Accruals And Volatility In A Real Options-Based Investment Approach: Evidence From Thai Market, Chayaporn Chuenurajit
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the relationship between year-ahead net working capital accruals as a proxy of investment behavior and expected volatility during the period of 2009 to 2018 of listed non-financial firms in Thailand. I apply a real options-based investment framework to view accruals as a result of investment decision and investigate the impact of firm’s expected volatility. The results show that firms with higher expected volatility have lower level of year-ahead accruals which is consistent with Grenadier and Malenko (2010). Moreover, this study also indicates that high expected volatility period induces distressed firms to invest because they have opportunity to …
Analysts’ Consensus And Predictability Of Forward P/E Ratios,
2020
Faculty of Commerce and Accountancy
Analysts’ Consensus And Predictability Of Forward P/E Ratios, Thanakorn Petkajee
Chulalongkorn University Theses and Dissertations (Chula ETD)
Analysts play a crucial role in providing some important investment data, such as firms’ performance analysis, target prices, the forward P/E ratios, and so on, to investors. This special project studies the impact of analysts’ consensus on predictability of the stocks listed on the Stock Exchange of Thailand. Two models of analysts’ forecast error are proposed and used as a proxy for predictability in the study. The first model of analysts’ forecast error, ln(AFE), is computed from the natural logarithm of the squared error in a median forecast of one year ahead, i.e. (Actual next 12M EPS – median forecast …
Arbitrage Profit From Pairwise Correlation: Evidence From Thailand,
2020
Faculty of Commerce and Accountancy
Arbitrage Profit From Pairwise Correlation: Evidence From Thailand, Salinporn Dachasiriprapha
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper aims to examine the usefulness of the Dynamic Conditional Correlation in the aspect of pair trade. Since one of the challenges in the pair trading is pair formation, this research would like to fulfill and find a new method for pair formation. Also, not only find the effective way to form pair we also examine whether this strategy can generate an abnormal return by constructs the portfolio where short one stock and long another one, by this investor can enjoy a 2-way price spread. The finding in this suggests that first by using Dynamic Conditional Correlation to form …
Asia Reits Interdependence And The Impact Of Covid-19 Pandemic,
2020
Faculty of Commerce and Accountancy
Asia Reits Interdependence And The Impact Of Covid-19 Pandemic, Boonchai Asawapiched
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates Asia REIT interdependence and the impact of COVID-19 pandemic. The data of six major REIT markets in Asia (Japan, Singapore, Hong Kong, Thailand, Malaysia, and Taiwan) have been applied with Johansen cointegration test, Granger causality test, impulse response functions, and variance decomposition. In addition, U.S. REIT is incorporated to emphasis the its impact on Asia markets. The results indicate market integration at long-run period as REIT performance is closely related to the direct real estate market whereas REIT is affected by shocks and noise like stock in short-run. Moreover, it is found that Asia developed markets (Japan, …
Capital Structure Volatility And Dividend Policy: Evidence From Thai Listed Firms,
2020
Faculty of Commerce and Accountancy
Capital Structure Volatility And Dividend Policy: Evidence From Thai Listed Firms, Thippapha Glinlek
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study attempts to identify the factors affecting capital structure volatility using firm-specific on a sample of listed Thai firms from 2001 – 2020. This study documents that firm-specific factors impact capital structure volatility. Firms with higher growth opportunities, more profitable and have greater change in their assets tend to vary their capital structure more. In the second part, after determining the factors influencing capital structure volatility. This study provides the evidence of capital structure volatility (CSV) on dividend policies. And find that a high level of CSV is negatively associated with dividend policies. This paper also examines the variation …
Clayton Copula Value-At-Risk In Crisis And The Gold Optimal Weight: Evidence In Thailand,
2020
Faculty of Commerce and Accountancy
Clayton Copula Value-At-Risk In Crisis And The Gold Optimal Weight: Evidence In Thailand, Pimsuda Tunyalagsanakul
Chulalongkorn University Theses and Dissertations (Chula ETD)
In recent days, investors are facing higher market risk due to the pandemic situation, but this is not the only time, investors also experienced similar risk during the Global Financial Crisis in 2007. We are interested in the tool to accurately estimate the market risk and ways to keep the portfolio maintaining the good performance in the extreme situation. This paper particularly investigates the Value-at-risk (VaR), which is one of the simplest and helpful tools to estimate market risk. By using data of SET50 and Thai Baht Gold, this paper demonstrates the best way to compute VaR among the various …
Could Morningstar Sustainability Rating Be An Indicator For Downside Protection?,
2020
Faculty of Commerce and Accountancy
Could Morningstar Sustainability Rating Be An Indicator For Downside Protection?, Purisa Ruengsrichaiya
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates whether the Morningstar Sustainability Rating indicates the downside protection for the 2018 Global stock market downturn and 2020 Stock market crash by using daily time-series analysis and investigate whether fund characteristics have an effect on performance of each Morningstar Sustainability Rating by using a panel data analysis at a quarterly frequency for the active equity mutual fund in the US market. This paper finds the neutral performance in every group of ratings in any market period according to the neutral alpha or abnormal return and the fund characteristics influence the fund performance pattern which can observe that …
Cross Hedging Currency Risk From Frontier/Emerging Markets: Thai Portfolio Investors' Perspectives,
2020
Faculty of Commerce and Accountancy
Cross Hedging Currency Risk From Frontier/Emerging Markets: Thai Portfolio Investors' Perspectives, Tanatuch Kujiranuwat
Chulalongkorn University Theses and Dissertations (Chula ETD)
The study explored performances of cross-hedging emerging/frontier market currency risk with developed market currencies from Thai investors’ perspective. The results showed that Thai investors can use a cross-hedging strategy to reduce currency risk and improve risk adjusted return from their emerging market investment. Single cross hedging can reduce portfolio risk significantly as confirmed by the F-test. Multiple cross-hedging showed signs of improvement from single cross-hedging both in currency risk reduction and risk adjusted return improvement, but the statistical test failed to prove that the improvement is significant. While the portfolio return was penalized by the hedging cost. The risk reduction …
Demographic, Macroeconomic And Institutional Determinants Of Life Insurance Consumption: Evidence From Countries In Asia,
2020
Faculty of Commerce and Accountancy
Demographic, Macroeconomic And Institutional Determinants Of Life Insurance Consumption: Evidence From Countries In Asia, Pattha Yodseranee
Chulalongkorn University Theses and Dissertations (Chula ETD)
Objective of this paper is to examine the determinants of life insurance consumption in terms of demographic, macroeconomic and institutional conditions from 26 countries from Asia covering the period of 1980 to 2019. The variables including 4 demographic variables, 7 macroeconomic variables and 3 institutional variables are explored by fixed effect estimation. The study also further examines difference of impact in different countries characteristic, that divided into Muslim, High-income and High-aged dependency ratio countries. The findings show that life insurance consumption have significant positive relationship with life expectancy. For high-income country, found that the Aged dependency ratio had less impact …
Determinants Of Power Purchase Agreements And Levelized Cost Of Electricity In Renewable Energy Projects,
2020
Faculty of Commerce and Accountancy
Determinants Of Power Purchase Agreements And Levelized Cost Of Electricity In Renewable Energy Projects, Krit Yodpradit
Chulalongkorn University Theses and Dissertations (Chula ETD)
Similar to the concept of concessions, governments worldwide encourage investment in renewable energy by providing a fixed price under the power purchase agreement (PPA) to the renewable energy developers. Depending on each renewable energy technology, the PPA usually corresponds to the levelized costs of electricity (LCOE) or the average lifetime costs of electricity produced by a power plant. Hence, these two parameters play an important role in boosting renewable energy development. Little is however known about the determinants of the PPA and LCOE. Therefore, the paper tries to shed some light on the determinants of the PPA and LCOE of …
Do Women On Boards, Education Diversity And Corporate Governance Affect Firm Risk And Firm Performance In Thailand?,
2020
Faculty of Commerce and Accountancy
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,
2020
Faculty of Commerce and Accountancy
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 …
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 …
Effects Of Abnormal Trading Volume In The Stock Exchange Of Thailand,
2020
Faculty of Commerce and Accountancy
Effects Of Abnormal Trading Volume In The Stock Exchange Of Thailand, Chatchanun Kallayasiri
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research aims to investigate the opportunity to exploit the abnormal returns follow the abnormal trading volume events for the stock listed in the Stock Exchange of Thailand (SET) from 2010 to 2019. The result suggested that investors could use abnormal trading volume as a signal to invest and obtain extra-profit by holding the stock for a certain period of time. The result also indicated that there was evidence of trading volume’s information content that could be used to implement the zero-investment portfolio strategy which trades based on trading volume. The strategy suggested investors to take a long position in …
Herding Behavior ,Case Of Listed Companies In Thailand,
2020
Faculty of Commerce and Accountancy
Herding Behavior ,Case Of Listed Companies In Thailand, Patipol Prawangsuk
Chulalongkorn University Theses and Dissertations (Chula ETD)
We examine herding behavior in the Thailand stock market under different market conditions, industries, firm sizes, and investor types. We also study herding behavior during the Covid19 period. Lastly, we further develop a new factor that is a qualified price-risk element for stock return. The results show evidence of herding behavior in the Thailand stock market during the extreme positive and negative markets condition. And the herding behavior exists in twenty sectors out of twenty-six. The small-cap portfolio shows a greater magnitude of herding behavior compares with a large-cap portfolio. During the covid19 period, the result indicates herding behavior is …
Impact Of Monetary Policy On Firm’S Risk-Taking Position And Investment Decision,
2020
Faculty of Commerce and Accountancy
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,
2020
Faculty of Commerce and Accountancy
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 …
