Return Predictability Of Cape Versus Pe, A Case Of Thai Stock Exchange Market,
2020
Faculty of Commerce and Accountancy
Return Predictability Of Cape Versus Pe, A Case Of Thai Stock Exchange Market, Theerapat Muenpakdee
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
Determinants Of Firm’S Internals & Macroeconomic Factors On Financial Performance Of Ethiopian Insurers,
2020
Bule Hora University, Ethiopia
Determinants Of Firm’S Internals & Macroeconomic Factors On Financial Performance Of Ethiopian Insurers, Kishor Chandra Meher, Temesgen Zewudu
DLSU Business & Economics Review
Insurance acts as a social instrument that indemnifies the human life and properties against unforeseeable risks. It is imperative for the insurance companies to be profitable while obliging the society and nation as a risk saver of insurable risk. The research aims to investigate the association between specific internals and macroeconomic factors and the financial performance of insurance companies in Ethiopia. A quantitative approach is applied in this research by adopting inferential statistics with a balanced panel data of nine insurance companies for 15 years (2002–2016). Explanatory analysis is deployed where Pearson’s correlation and OLS regression model are applied to …
A Productivity Assessment Of Pwd Employees In A Philippine Company,
2020
De La Salle University
A Productivity Assessment Of Pwd Employees In A Philippine Company, Rosemary R. Seva
DLSU Business & Economics Review
This study assessed and compared the work capability of persons with disabilities (PWDs) and their able counterparts that covered the following aspects of work: (a) time on task, (b) work attitude, and (c) task compatibility. It was hypothesized that PWD workers are competent and productive in the workplace if the right task is given to them. Four employees with autism spectrum disorder (ASD) working either as administrative or store clerk in a drugstore chain participated in the study. Productivity comparison was made using time study and work sampling over two days. Supervisors were also interviewed regarding attitudes and capabilities. The …
Fiscal Policy And Stock Market Movement In The Philippines,
2020
De La Salle University, Manila Philippines
Fiscal Policy And Stock Market Movement In The Philippines, Deborah Kim S. Sy
DLSU Business & Economics Review
The Philippine government has suffered greatly from fiscal imbalances for the past few decades. The largest fiscal deficit was recorded at PhP112 billion in 2017. Fiscal reforms led to a considerable decline of the national government debt from 52.4% of GDP in 2010 to 44.8% in 2015. The study aims to investigate the Philippine fiscal policy and its link to asset prices, as measured by the changes in the Philippine Stock Exchange Index (PSEI). Quarterly observations from 2001 to 2017 of monetary, fiscal, and economic variables were used on a vector error correction model (VECM) to observe their long-run relationship …
Corporate Social Responsibility And Investment Efficiency: Evidence From An Emerging Asian Market,
2020
Ming Chuan University Taipei, Taiwan
Corporate Social Responsibility And Investment Efficiency: Evidence From An Emerging Asian Market, Ming-Te Lee
DLSU Business & Economics Review
The purpose of this paper is to test opposing views of the relationship between corporate social responsibility (CSR) and investment efficiency in a major Asian emerging stock market. The empirical results show that CSR significantly mitigates investment inefficiency among Taiwanese firms. This finding is consistent with the notion that socially responsible Taiwanese firms have fewer agency problems and lower information asymmetry, thus reducing investment inefficiency. The empirical results also show that CSR has a more pronounced effect in mitigating investment inefficiency for Taiwanese firms with more effective corporate governance. In particular, due to the mandatory preparation of CSR reporting, CSR …
Corporate Social Responsibility And Earnings Management: Evidence From Controversial And Non-Controversial Sectors In Asia,
2020
Bulacan State University, Philippines; I-Shou University, Taiwan, R.O.C.
Corporate Social Responsibility And Earnings Management: Evidence From Controversial And Non-Controversial Sectors In Asia, Eugene Burgos Mutuc, Jen-Sin Lee, Fu-Sheng Tsai
DLSU Business & Economics Review
In this study, we investigate the impact of corporate social responsibility (CSR) on earnings management through discretionary accruals and real-activities decisions, in light of the increasing attention and engagement of firms from different sectors. This study contemplates on non-financial Asian firms from controversial and non-controversial sectors with 889 and 3,017 firm-year observations from 2011 to 2017. The findings reveal that Asian firms likely use a mix of accrual-based earnings management (AEM) and real-activities earnings management (REM) as a strategy to manipulate reported earnings. In terms of sector classifications, managers from controversial sectors exhibit higher opportunistic behavior than managers from non-controversial …
The Effects Of External Stakeholder Pressure On Csr Disclosure: Evidence From Indonesia,
2020
Badan Pengawasan Keuangan dan Pembangunan
The Effects Of External Stakeholder Pressure On Csr Disclosure: Evidence From Indonesia, Anisa Ramadhini Trianaputri, Desi Adhariani, Chaerul D. Djakman
DLSU Business & Economics Review
This study examines the effect of external stakeholder pressure on the extent of social and environmental disclosure or corporate social responsibility (CSR) disclosure. Several studies have examined the impact of internal stakeholder pressure (e.g., ownership or board of directors’ structure) and corporate characteristics on CSR disclosure, but there has been little attention focused on the role of external stakeholders. Therefore, this research seeks to examine the influence on the extent of CSR disclosure by four external stakeholder groups: customer, creditor, auditor, and media. A total of 327 annual reports produced by 109 manufacturing companies listed on the Indonesia Stock Exchange …
On Extreme Perception Bias,
2020
Osaka University, Japan
On Extreme Perception Bias, Emerico Habacon Aguilar, Klarizze Martin Puzon, Imelda Revilla Molina
DLSU Business & Economics Review
This note investigates perception bias: To what extent do individual opinions confound reality? We estimated the relative gap between self-declared estimates and real data. With a sample of respondents from Laguna, Philippines, we asked about the prevalence of diabetes and smartphone usage. We observed a trend of judgment miscalibration. Responses exhibit significant deviation from facts; for example, inaccuracies can go as high as seven times the real value. Especially for estimates on smartphone ownership, bootstrapped quantile regression models showed that perception bias is associated with age.
Japanese And Filipino College Students As Consumers: Does Country Of Origin Affect Their Purchase Intent?,
2020
De La Salle University, Manila, Philippines
Japanese And Filipino College Students As Consumers: Does Country Of Origin Affect Their Purchase Intent?, Luz Suplico Jeong, Reynaldo Bautista Jr., Takanori Osaki
DLSU Business & Economics Review
The marketing literature shows that consumers evaluate and buy products based on the country of origin. The impact of the country of origin (COO) on consumers, especially college students who influence demand in global markets, is becoming increasingly important due to advances in information technology. There are studies that show that COO can directly affect purchase intent without mediator variables. However, this study shows that COO does not have a direct effect on purchase intent. COO can only affect the purchase intent of Japanese and Filipino consumers if perceived product quality is used as a mediator variable. In the case …
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 …
