Finance and Financial Management Commons^™

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, 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, 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?, 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.

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, 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 …

Financial Advisor Retention Strategies, Anthony Latere Williams

Walden Dissertations and Doctoral Studies

Ineffective retention strategies can negatively impact business productivity and profitability. Financial advisor managers who struggle to maintain productivity and profitability because of ineffective retention strategies are at a high risk of failure. Grounded in Herzberg's two-factor theory, the purpose of this qualitative multiple case study was to explore strategies successful financial advisor managers used to retain financial advisor employees and maximize productivity and profitability. The participants comprised 5 financial advisor managers from 5 different financial service firms in Houston who effectively used retention strategies to maximize productivity and profitability. Data were collected from semistructured interviews and company website documents. Yin's …

Cash Conversion Cycle Strategies To Avoid Business Failure, Brian Savino

Walden Dissertations and Doctoral Studies

At the end of 2018, the leading 2,000 U.S. and European companies had more than $2.5 trillion of cash unnecessarily tied up in working capital. The efficient management of working capital will lead to more cash invested in profitable projects leading to long term stability. This research will benefit chief financial officers (CFO) looking for strategies to manage working capital, which leads to higher profits and will help CFOs better manage economic downturns. Using the resource dependence theory as the conceptual framework, the purpose of this qualitative multiple case study was to explore cash conversion cycle (CCC) strategies used by …

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, 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 …

Differences In Financial Literacy Across Generations, Audra R. Sherwood

Walden Dissertations and Doctoral Studies

The United States federal government allocates $670 million annually towards financial literacy despite the fact 73 million adults are struggling financially, and over 65% of Americans are financially illiterate and unable to manage their finances. The specific management problem addressed in this study was the awareness of the differences in financial literacy between Millennials and Generation Xers who have and have not taken personal finance courses in high school in the United States. The purpose of this quantitative, nonexperimental, causal-comparative study was to test the self-efficacy theory and goal-setting theory in determining the differences between the two generational groups of …

A Practitioner's Approach To Implementing Community Bank Internal Controls, Paul A. Dubrey Jr

Walden Dissertations and Doctoral Studies

Some community bank compliance professionals lack strategies to comply with the 2013 Committee of Sponsoring Organizations of the Treadway Commission (COSO) internal control framework statement, so they have been slow to adapt to the new COSO framework. However, they will be under increased regulatory pressure to do so. Grounded in Cressey's fraud triangle theory, the purpose of this qualitative single case study was to explore strategies community bank compliance professionals use to comply with the revised COSO internal control framework. Four compliance professionals at a community bank in the Boston, Massachusetts area who have successfully implemented strategies for internal control …

Workforce Agility Strategies For Improving The Success Rate Of Change Initiatives, Marvia Herfah Evangelist-Roach

Walden Dissertations and Doctoral Studies

Failure to implement change initiatives is a direct result of low employee resilience and adaptability. Successful agility strategies are important to financial business leaders to remain competitive in financial markets. Grounded in the dynamic capabilities theory, the purpose of this qualitative multiple case study was to explore workforce agility strategies used by financial business leaders to improve the success rate of change initiatives. The participants were 4 financial business leaders in Jamaica who successfully improved the success rate of change initiatives. Data were collected from semistructured interviews, organizational strategic plans, annual reports, and change management plans. Four themes emerged through …

Financial Management Strategies For Sustaining Small Entertainment Businesses, Michael Nana Nitto

Walden Dissertations and Doctoral Studies

Lack of effective financial management control strategies results in many small business entertainment owners (SBEOs) failing within their first 5 years of operations. Without strategies to develop and maintain adequate financial management controls, SBEOs may lose market share and potentially go bankrupt, which would result in the loss of jobs and income for employees. Grounded in the mental budgeting theory, the purpose of this qualitative multiple case study was to explore financial management strategies successful SBEOs use to improve productivity and profitability to sustain business operations beyond 5 years. The participants comprised 4 successful SBEOs in Northern Virginia who effectively …

Essays On The Tax Cuts And Jobs Act Of 2017, Tahsina Haque Simu

Open Access Theses & Dissertations

This study investigates the effects of a tax reform act on the financing and tax planning activities of firms using the Tax Cuts and Jobs Act of 2017 as the experimental setting. This paper examines the changes in debt levels, effective tax rates, use of interest and non-debt tax shields and various tax constructs before and after the tax revision. The results show that debt ratios significantly rise from pre to post event year. Economically, this increase seems significant, as well, as increases in debt ratios range from 1% to 4%. There is also evidence that effective tax rates do …

Two Essays On Executive Compensation, Michael Abrokwah

Open Access Theses & Dissertations

This doctoral dissertation examines the effect of an exogenous event on Executive compensation and the relationship between executive compensation and earnings management undertaken by the firm.

My first essay presents evidence that natural disasters have an effect on CEO compensation. Our main findings are that option compensation is lower for CEOs in counties where a natural disaster occurred. Furthermore, in the year of the disaster, stock compensation is higher among CEOs in natural disaster counties when compared to those in non-disaster counties. When considering liquidity, option compensation levels are lower for firms with below average liquidity levels but stock compensation …

Stochastic Modeling Of Earthquakes And Option Pricing Using Bns-Gamma-Ou Model, Mandela Bright Quashie

Open Access Theses & Dissertations

High frequency data are becoming increasingly popular these days. They are fundamental in basically every facet of people’s lives. They are the determining factors in hedging in the field of finance. In geology, they help in the accurate prediction of earthquakes’ magnitude which goes along way to help save lives and properties.

High frequency data are also used more and more frequently for speculations. For this reason, it is important not only for scientists to apply models allowing correct quantification of these data, but also to improve the eciency of these models.

The Black-Scholes model, which is widely used because …

Editor's Note, Marites Tiongco

DLSU Business & Economics Review

No abstract provided.

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 …