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 …
Inside The Black Box Of Financial Analysts: What Drives Systematic Forecast Optimism?,
2020
Faculty of Commerce and Accountancy
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 …
Mutual Fund Recommendations On Fund Flows And Returns,
2020
Faculty of Commerce and Accountancy
Mutual Fund Recommendations On Fund Flows And Returns, Rachapoom Karnasoot
Chulalongkorn University Theses and Dissertations (Chula ETD)
Using Thailand open-end mutual fund samples from 2017 to 2019, this study examines the impact of analysts’ recommendations on mutual fund flow and return. We decide to use the analysts’ recommendation from two big management companies in Thailand who publicly released their analysts’ recommendation in weekly periods, SCBAM and KAsset. We hypothesize and find the recommendations have a significantly positive impact on mutual fund flows and found no significant impact on return. Our study further examines the risk-adjusted return and observe no significant excess return is generated from recommended mutual funds.
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.
Premium, Ownership And Operating Performance In Rto,
2020
Faculty of Commerce and Accountancy
Premium, Ownership And Operating Performance In Rto, Chawalit Rungpiboonsopit
Chulalongkorn University Theses and Dissertations (Chula ETD)
A reverse takeover is an alternative method of listing instead of IPO. Compared to IPO, firms using RTO can avoid the stringent requirement of IPO and disclose less information. Hence, these transactions were viewed as suspicious transactions. The U.S-SEC also issued the warning that investors should be careful when considering investing in the RTO firm. However, it is unlikely that investors in the market can separate between the good RTO firm and the bad RTO firm because of the loose requirement of RTO which led to the arising of asymmetric information between investors and RTO firm. As a result, in …
The Impact Of Etf Mechanics And The Bank Of Japan Intervention On The Intraday Volatility Of The Underlying Stocks,
2020
Faculty of Commerce and Accountancy
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,
2020
Faculty of Commerce and Accountancy
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,
2020
Faculty of Commerce and Accountancy
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,
2020
Faculty of Commerce and Accountancy
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,
2020
Faculty of Commerce and Accountancy
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 …
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 …
Determining The Tracking Error And Value-At-Risk Of An Active Portfolio When Combined With A Passive Portfolio With Value-At-Risk Constraint,
2020
Faculty of Commerce and Accountancy
Determining The Tracking Error And Value-At-Risk Of An Active Portfolio When Combined With A Passive Portfolio With Value-At-Risk Constraint, Nuttawoot Ladee
Chulalongkorn University Theses and Dissertations (Chula ETD)
When an asset manager manages a portfolio, he usually imposes a TE or a VaR limit on his portfolio to control portfolio risks. However, a portfolio may be divided into different portions. In our research, we consider a portfolio that consists of an active portion and a passive portion. Having a VaR budget of an entire portfolio, we propose methods to determine TE and VaR limit on the active portfolio and illustrate them by using real data. In the empirical part, some problems can occur when we relax certain theoretical assumptions such as (1) stocks in an investment universe can …
Double Bottom Pattern Recognition For Trading Strategy,
2020
Faculty of Commerce and Accountancy
Double Bottom Pattern Recognition For Trading Strategy, Chusana Nuntanart
Chulalongkorn University Theses and Dissertations (Chula ETD)
We utilize the Double bottom pattern, which is a common and the most easily recognized reversal pattern in the technical analysis approach, to seek the existence of abnormal returns from 1 Jan 2009 to 31 Dec 2019. The general event study methodology was used to statistically test for the existence of abnormal returns from 611 stocks in SET. We concluded that there was an existence of abnormal return from trading with the Double bottom pattern strategy. This led to the conclusion that the Thai stock market might be not as informationally efficient as academics have conjectured.
Option Pricing Using Local Volatility Function: How To Specify Its Knots?,
2020
Faculty of Commerce and Accountancy
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,
2020
Faculty of Commerce and Accountancy
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,
2020
Faculty of Commerce and Accountancy
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 …
News Shocks And Business Cycle In Emerging Markets,
2020
Faculty of Commerce and Accountancy
News Shocks And Business Cycle In Emerging Markets, Jakkraphan Kangwanvibul
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines news shocks in theoretical real-business-cycle model in the aspect of emerging-market economy. Many features in emerging-market business cycles, such as consumption volatility that exceeds income volatility, sudden stop pattern in capital flows and strongly countercyclical current account to income, distinguish itself from a developed small opened economy, and in this study, it also differentiates itself from previous works in the literature by studying in the aspect of business cycles in emerging markets. The study uses simulation method, developing on real-business-cycle theory to generate artificial business cycle moments and impulse response function. For the result, it considers news …
Market Liquidity And Mutual Fund Performance During Financial Crisis,
2020
Faculty of Commerce and Accountancy
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 …
Sell-Side Analysts' Benchmarks,
2020
Washington University in St. Louis
Sell-Side Analysts' Benchmarks, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi Zach
Research Collection Lee Kong Chian School Of Business
Sell-side analysts employ different benchmarks when defining their recommendations. A buy for some brokers means the stock is expected to outperform its industry, while for other brokers it means the stock is expected to outperform the market, or some return threshold. We show that these stated benchmarks have implications for the distribution of recommendations, price reactions to recommendations, and the investment value of recommendations. We conclude that, depending on the question, academics may need to account for the benchmarks when studying analysts’ outputs, and investors may find the benchmarks beneficial in interpreting analysts’ advice.
The Narrowness Of Shorting Profitability,
2020
Brigham Young University - Provo
The Narrowness Of Shorting Profitability, Karl B. Diether
Faculty Publications
I examine the persistence in stock level short-selling profitability by using contract level shorting data. I do find that short-sellers are profitable on average using an approach that takes into account the exact timing of the opening and closing of short positions. But I also find that this profitability is driven by the set of stocks for which short-sellers previously had strongly profitable outcomes. I find that if short-selling contracts for a given stock are profitable in the last six months that on average short sellers continue to make profitable trades in that stock in the future. For stocks with …
